| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 98.0% | 99.0% |
| Cumulative Return | 5.97% | 5.9% |
| CAGR﹪ | 12.55% | 12.4% |
| Sharpe | -19.06 | -17.32 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -17.84 | -16.21 |
| Sortino | -12.43 | -12.07 |
| Smart Sortino | -11.64 | -11.3 |
| Sortino/√2 | -8.79 | -8.53 |
| Smart Sortino/√2 | -8.23 | -7.99 |
| Omega | 0.05 | 0.05 |
| Max Drawdown | -4.09% | -6.32% |
| Longest DD Days | 32 | 24 |
| Volatility (ann.) | 10.32% | 11.36% |
| R^2 | 0.4 | 0.4 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 3.07 | 1.96 |
| Skew | -0.07 | -1.01 |
| Kurtosis | 2.54 | 13.36 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 0.83% | 0.82% |
| Expected Yearly | 2.94% | 2.91% |
| Kelly Criterion | 10.08% | 11.6% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.02% | -1.13% |
| Expected Shortfall (cVaR) | -1.02% | -1.13% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | 0.24 | 0.23 |
| Gain/Pain (1M) | 4.04 | 4.86 |
| Payoff Ratio | 1.1 | 0.97 |
| Profit Factor | 1.24 | 1.23 |
| Common Sense Ratio | 1.53 | 1.56 |
| CPC Index | 0.72 | 0.68 |
| Tail Ratio | 1.24 | 1.27 |
| Outlier Win Ratio | 3.77 | 3.99 |
| Outlier Loss Ratio | 3.61 | 3.36 |
| MTD | -1.49% | -1.24% |
| 3M | 1.43% | 1.13% |
| 6M | 5.97% | 5.9% |
| YTD | 3.11% | 3.45% |
| 1Y | 5.97% | 5.9% |
| 3Y (ann.) | 12.55% | 12.4% |
| 5Y (ann.) | 12.55% | 12.4% |
| 10Y (ann.) | 12.55% | 12.4% |
| All-time (ann.) | 12.55% | 12.4% |
| Best Day | 2.42% | 3.17% |
| Worst Day | -2.21% | -4.36% |
| Best Month | 2.74% | 2.55% |
| Worst Month | -1.49% | -1.24% |
| Best Year | 3.11% | 3.45% |
| Worst Year | 2.77% | 2.37% |
| Avg. Drawdown | -1.49% | -1.21% |
| Avg. Drawdown Days | 10 | 7 |
| Recovery Factor | 1.46 | 0.93 |
| Ulcer Index | 0.01 | 0.01 |
| Serenity Index | -128.19 | -119.47 |
| Avg. Up Month | 1.47% | 1.44% |
| Avg. Down Month | -1.49% | -1.24% |
| Win Days | 52.85% | 56.45% |
| Win Month | 85.71% | 71.43% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.57 | - |
| Alpha | 0.05 | - |
| Correlation | 63.19% | - |
| Treynor Ratio | -1208.71% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 2.37 | 2.77 | 1.17 | + |
| 2024 | 3.45 | 3.11 | 0.90 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-11-13 | 2023-12-01 | -4.09 | 18 |
| 2024-04-23 | 2024-05-03 | -3.65 | 10 |
| 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 |