| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 28.33% | 15.47% |
| CAGR﹪ | 21.68% | 11.98% |
| Sharpe | 1.67 | 52.32 |
| Prob. Sharpe Ratio | 96.73% | - |
| Smart Sharpe | 1.59 | 49.93 |
| Sortino | 2.43 | - |
| Smart Sortino | 2.32 | - |
| Sortino/√2 | 1.72 | - |
| Smart Sortino/√2 | 1.64 | - |
| Omega | 1.33 | 1.33 |
| Max Drawdown | -11.38% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 12.06% | 0.21% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | 1.9 | - |
| Skew | -0.48 | 0.22 |
| Kurtosis | 1.78 | -1.21 |
| Expected Daily | 0.08% | 0.04% |
| Expected Monthly | 1.57% | 0.9% |
| Expected Yearly | 13.28% | 7.46% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.17% | -0.02% |
| Expected Shortfall (cVaR) | -1.17% | -0.02% |
| Max Consecutive Wins | 8 | 323 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | 0.33 | - |
| Gain/Pain (1M) | 2.72 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.33 | - |
| Common Sense Ratio | 1.51 | - |
| CPC Index | - | - |
| Tail Ratio | 1.14 | 2.36 |
| Outlier Win Ratio | 1.5 | 19.23 |
| Outlier Loss Ratio | 2.14 | - |
| MTD | 0.3% | 1.24% |
| 3M | 4.23% | 4.12% |
| 6M | -0.5% | 7.83% |
| YTD | 1.67% | 5.04% |
| 1Y | 8.76% | 12.78% |
| 3Y (ann.) | 21.68% | 11.98% |
| 5Y (ann.) | 21.68% | 11.98% |
| 10Y (ann.) | 21.68% | 11.98% |
| All-time (ann.) | 21.68% | 11.98% |
| Best Day | 2.33% | 0.07% |
| Worst Day | -3.13% | 0.0% |
| Best Month | 8.49% | 1.24% |
| Worst Month | -5.42% | 0.61% |
| Best Year | 26.22% | 9.94% |
| Worst Year | 1.67% | 5.04% |
| Avg. Drawdown | -2.03% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 2.49 | - |
| Ulcer Index | 0.05 | 0.0 |
| Serenity Index | 0.41 | - |
| Avg. Up Month | 2.96% | 0.87% |
| Avg. Down Month | - | - |
| Win Days | 55.97% | 100.0% |
| Win Month | 75.0% | 100.0% |
| Win Quarter | 83.33% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | -4.22 | - |
| Alpha | 0.67 | - |
| Correlation | -7.49% | - |
| Treynor Ratio | -6.71% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 9.94 | 26.22 | 2.64 | + |
| 2024 | 5.04 | 1.67 | 0.33 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-10-09 | 2024-04-24 | -11.38 | 198 |
| 2023-04-12 | 2023-06-29 | -7.67 | 78 |
| 2023-08-14 | 2023-10-05 | -6.46 | 52 |
| 2023-02-27 | 2023-03-16 | -2.51 | 17 |
| 2023-02-17 | 2023-02-22 | -1.16 | 5 |
| 2023-07-03 | 2023-07-04 | -1.16 | 1 |
| 2023-07-10 | 2023-07-12 | -1.12 | 2 |
| 2023-07-13 | 2023-07-17 | -0.88 | 4 |
| 2023-03-23 | 2023-03-28 | -0.87 | 5 |
| 2023-07-18 | 2023-07-28 | -0.80 | 10 |