| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 35.29% | 27.51% |
| CAGR﹪ | 5.97% | 4.77% |
| Sharpe | 0.52 | 29.87 |
| Prob. Sharpe Ratio | 84.15% | 100.0% |
| Smart Sharpe | 0.51 | 29.22 |
| Sortino | 0.84 | - |
| Smart Sortino | 0.82 | - |
| Sortino/√2 | 0.59 | - |
| Smart Sortino/√2 | 0.58 | - |
| Omega | 1.15 | 1.15 |
| Max Drawdown | -26.1% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 21.04% | 0.24% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.23 | - |
| Skew | 3.48 | 2.54 |
| Kurtosis | 182.49 | 7.48 |
| Expected Daily | 0.04% | 0.03% |
| Expected Monthly | 0.72% | 0.58% |
| Expected Yearly | 5.17% | 4.13% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.14% | -0.0% |
| Expected Shortfall (cVaR) | -2.14% | -0.0% |
| Max Consecutive Wins | 8 | 862 |
| Max Consecutive Losses | 7 | 0 |
| Gain/Pain Ratio | 0.15 | - |
| Gain/Pain (1M) | 0.91 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.15 | - |
| Common Sense Ratio | 1.34 | - |
| CPC Index | - | - |
| Tail Ratio | 1.16 | 3.68 |
| Outlier Win Ratio | 2.17 | 49.55 |
| Outlier Loss Ratio | 1.76 | - |
| MTD | 0.33% | 1.24% |
| 3M | 3.98% | 3.99% |
| 6M | 28.63% | 6.33% |
| YTD | 3.87% | 5.04% |
| 1Y | 28.63% | 6.33% |
| 3Y (ann.) | 2.39% | 3.95% |
| 5Y (ann.) | 6.12% | 4.57% |
| 10Y (ann.) | 5.97% | 4.77% |
| All-time (ann.) | 5.97% | 4.77% |
| Best Day | 24.17% | 0.1% |
| Worst Day | -19.56% | 0.0% |
| Best Month | 23.84% | 1.24% |
| Worst Month | -17.25% | 0.37% |
| Best Year | 25.78% | 6.5% |
| Worst Year | -17.42% | 1.23% |
| Avg. Drawdown | -3.04% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 1.35 | - |
| Ulcer Index | 0.05 | 0.0 |
| Serenity Index | 0.9 | - |
| Avg. Up Month | 3.14% | 0.64% |
| Avg. Down Month | - | - |
| Win Days | 50.06% | 100.0% |
| Win Month | 59.52% | 100.0% |
| Win Quarter | 50.0% | 100.0% |
| Win Year | 66.67% | 100.0% |
| Beta | 8.03 | - |
| Alpha | -0.46 | - |
| Correlation | 9.07% | - |
| Treynor Ratio | 4.39% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 6.50 | 2.65 | 0.41 | - |
| 2020 | 4.97 | 25.78 | 5.19 | + |
| 2021 | 5.82 | -1.34 | -0.23 | - |
| 2022 | 1.36 | -17.42 | -12.77 | - |
| 2023 | 1.23 | 23.84 | 19.39 | + |
| 2024 | 5.04 | 3.87 | 0.77 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-11-03 | 2024-04-10 | -26.10 | 1254 |
| 2020-03-19 | 2020-08-25 | -9.70 | 159 |
| 2019-09-04 | 2020-02-25 | -6.60 | 174 |
| 2020-09-30 | 2020-10-30 | -3.12 | 30 |
| 2020-03-13 | 2020-03-18 | -3.07 | 5 |
| 2019-02-15 | 2019-05-02 | -2.97 | 76 |
| 2024-04-17 | 2024-04-26 | -2.66 | 9 |
| 2019-06-07 | 2019-08-02 | -2.64 | 56 |
| 2020-08-27 | 2020-09-03 | -2.51 | 7 |
| 2020-09-09 | 2020-09-21 | -1.98 | 12 |