| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 47.64% | 7.77% |
| CAGR﹪ | 52.88% | 8.49% |
| Sharpe | 2.91 | 19.53 |
| Prob. Sharpe Ratio | 99.44% | 99.99% |
| Smart Sharpe | 2.78 | 18.65 |
| Sortino | 4.7 | - |
| Smart Sortino | 4.49 | - |
| Sortino/√2 | 3.32 | - |
| Smart Sortino/√2 | 3.17 | - |
| Omega | 1.69 | 1.69 |
| Max Drawdown | -7.24% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 18.13% | 0.5% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.15 | 0.15 |
| Calmar | 7.3 | - |
| Skew | 0.06 | 8.82 |
| Kurtosis | 2.27 | 81.87 |
| Expected Daily | 0.2% | 0.04% |
| Expected Monthly | 3.3% | 0.63% |
| Expected Yearly | 21.51% | 3.81% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.67% | -0.01% |
| Expected Shortfall (cVaR) | -1.67% | -0.01% |
| Max Consecutive Wins | 8 | 191 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.69 | - |
| Gain/Pain (1M) | 7.58 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.69 | - |
| Common Sense Ratio | 1.69 | - |
| CPC Index | - | - |
| Tail Ratio | 1.0 | 1.91 |
| Outlier Win Ratio | 1.93 | 42.31 |
| Outlier Loss Ratio | 1.95 | - |
| MTD | -0.42% | 0.68% |
| 3M | 13.49% | 2.6% |
| 6M | 29.36% | 4.65% |
| YTD | 29.36% | 4.65% |
| 1Y | 47.64% | 7.77% |
| 3Y (ann.) | 52.88% | 8.49% |
| 5Y (ann.) | 52.88% | 8.49% |
| 10Y (ann.) | 52.88% | 8.49% |
| All-time (ann.) | 52.88% | 8.49% |
| Best Day | 4.74% | 0.34% |
| Worst Day | -3.15% | 0.0% |
| Best Month | 13.52% | 0.68% |
| Worst Month | -3.04% | 0.54% |
| Best Year | 29.36% | 4.65% |
| Worst Year | 14.13% | 2.98% |
| Avg. Drawdown | -2.12% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 6.58 | - |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 3.35 | - |
| Avg. Up Month | 6.67% | 0.64% |
| Avg. Down Month | - | - |
| Win Days | 59.69% | 100.0% |
| Win Month | 58.33% | 100.0% |
| Win Quarter | 60.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | -0.67 | - |
| Alpha | 0.59 | - |
| Correlation | -1.85% | - |
| Treynor Ratio | -71.3% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 2.98 | 14.13 | 4.75 | + |
| 2023 | 4.65 | 29.36 | 6.31 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-04-12 | 2023-06-08 | -7.24 | 57 |
| 2022-09-06 | 2022-10-10 | -6.85 | 34 |
| 2022-10-13 | 2022-12-16 | -6.36 | 64 |
| 2022-12-29 | 2023-02-08 | -6.03 | 41 |
| 2022-08-18 | 2022-08-26 | -3.54 | 8 |
| 2022-12-22 | 2022-12-28 | -3.31 | 6 |
| 2022-08-29 | 2022-09-02 | -2.22 | 4 |
| 2022-08-09 | 2022-08-15 | -1.29 | 6 |
| 2023-03-09 | 2023-03-15 | -1.28 | 6 |
| 2023-07-03 | 2023-07-04 | -0.96 | 1 |