| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 3.59% | 8.49% |
| CAGR﹪ | 7.05% | 17.05% |
| Sharpe | 0.63 | 69.32 |
| Prob. Sharpe Ratio | 67.32% | 100.0% |
| Smart Sharpe | 0.59 | 65.23 |
| Sortino | 0.88 | - |
| Smart Sortino | 0.83 | - |
| Sortino/√2 | 0.62 | - |
| Smart Sortino/√2 | 0.58 | - |
| Omega | 1.13 | 1.13 |
| Max Drawdown | -5.76% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 11.83% | 0.22% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 1.22 | - |
| Skew | -0.46 | 1.89 |
| Kurtosis | 3.18 | 9.24 |
| Expected Daily | 0.03% | 0.06% |
| Expected Monthly | 0.51% | 1.17% |
| Expected Yearly | 1.78% | 4.16% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.2% | -0.04% |
| Expected Shortfall (cVaR) | -1.2% | -0.04% |
| Max Consecutive Wins | 7 | 131 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.13 | - |
| Gain/Pain (1M) | 1.66 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.13 | - |
| Common Sense Ratio | 1.34 | - |
| CPC Index | - | - |
| Tail Ratio | 1.19 | 2.16 |
| Outlier Win Ratio | 2.09 | 16.93 |
| Outlier Loss Ratio | 2.27 | - |
| MTD | -0.36% | 1.24% |
| 3M | 3.67% | 4.06% |
| 6M | 7.3% | 8.13% |
| YTD | 3.13% | 5.04% |
| 1Y | 3.59% | 8.49% |
| 3Y (ann.) | 7.05% | 17.05% |
| 5Y (ann.) | 7.05% | 17.05% |
| 10Y (ann.) | 7.05% | 17.05% |
| All-time (ann.) | 7.05% | 17.05% |
| Best Day | 2.42% | 0.11% |
| Worst Day | -2.79% | 0.0% |
| Best Month | 2.74% | 1.24% |
| Worst Month | -1.31% | 0.89% |
| Best Year | 3.13% | 5.04% |
| Worst Year | 0.45% | 3.29% |
| Avg. Drawdown | -1.72% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.62 | - |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 0.49 | - |
| Avg. Up Month | 1.55% | 1.23% |
| Avg. Down Month | - | - |
| Win Days | 51.94% | 100.0% |
| Win Month | 57.14% | 100.0% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | -2.55 | - |
| Alpha | 0.47 | - |
| Correlation | -4.84% | - |
| Treynor Ratio | -1.41% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 3.29 | 0.45 | 0.14 | - |
| 2024 | 5.04 | 3.13 | 0.62 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-10-20 | 2023-12-05 | -5.76 | 46 |
| 2024-04-23 | 2024-04-25 | -3.63 | 2 |
| 2024-01-05 | 2024-02-06 | -3.11 | 32 |
| 2023-12-25 | 2024-01-03 | -1.82 | 9 |
| 2023-12-06 | 2023-12-21 | -1.67 | 15 |
| 2024-03-01 | 2024-03-15 | -1.57 | 14 |
| 2024-04-18 | 2024-04-22 | -1.07 | 4 |
| 2024-02-19 | 2024-02-29 | -0.69 | 10 |
| 2024-03-26 | 2024-04-05 | -0.63 | 10 |
| 2024-03-18 | 2024-03-22 | -0.41 | 4 |