| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 30.49% | 22.35% |
| CAGR﹪ | 17.6% | 13.08% |
| Sharpe | 1.25 | 54.9 |
| Prob. Sharpe Ratio | 94.81% | - |
| Smart Sharpe | 1.19 | 52.12 |
| Sortino | 1.88 | - |
| Smart Sortino | 1.79 | - |
| Sortino/√2 | 1.33 | - |
| Smart Sortino/√2 | 1.26 | - |
| Omega | 1.25 | 1.25 |
| Max Drawdown | -17.44% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 13.49% | 0.22% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 1.01 | - |
| Skew | 0.28 | -0.18 |
| Kurtosis | 5.94 | -1.3 |
| Expected Daily | 0.06% | 0.05% |
| Expected Monthly | 1.28% | 0.97% |
| Expected Yearly | 14.23% | 10.61% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.33% | -0.03% |
| Expected Shortfall (cVaR) | -1.33% | -0.03% |
| Max Consecutive Wins | 8 | 418 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | 0.25 | - |
| Gain/Pain (1M) | 1.64 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.25 | - |
| Common Sense Ratio | 1.34 | - |
| CPC Index | - | - |
| Tail Ratio | 1.07 | 2.27 |
| Outlier Win Ratio | 1.62 | 20.24 |
| Outlier Loss Ratio | 2.09 | - |
| MTD | 5.89% | 0.33% |
| 3M | 5.01% | 4.4% |
| 6M | 2.93% | 8.39% |
| YTD | 3.38% | 11.29% |
| 1Y | -2.35% | 15.91% |
| 3Y (ann.) | 17.6% | 13.08% |
| 5Y (ann.) | 17.6% | 13.08% |
| 10Y (ann.) | 17.6% | 13.08% |
| All-time (ann.) | 17.6% | 13.08% |
| Best Day | 5.06% | 0.07% |
| Worst Day | -3.55% | 0.0% |
| Best Month | 8.49% | 1.46% |
| Worst Month | -5.42% | 0.33% |
| Best Year | 26.22% | 11.29% |
| Worst Year | 3.38% | 9.94% |
| Avg. Drawdown | -2.37% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 1.75 | - |
| Ulcer Index | 0.07 | 0.0 |
| Serenity Index | 0.3 | - |
| Avg. Up Month | 3.02% | 0.91% |
| Avg. Down Month | - | - |
| Win Days | 54.37% | 100.0% |
| Win Month | 71.43% | 100.0% |
| Win Quarter | 71.43% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | -4.07 | - |
| Alpha | 0.66 | - |
| Correlation | -6.67% | - |
| Treynor Ratio | -7.49% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 9.94 | 26.22 | 2.64 | + |
| 2024 | 11.29 | 3.38 | 0.30 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-10-09 | 2024-09-06 | -17.44 | 333 |
| 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 |