| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 26.74% | 9.85% |
| CAGR﹪ | 20.39% | 7.64% |
| Sharpe | 1.58 | 33.48 |
| Prob. Sharpe Ratio | 96.0% | - |
| Smart Sharpe | 1.5 | 31.91 |
| Sortino | 2.29 | - |
| Smart Sortino | 2.18 | - |
| Sortino/√2 | 1.62 | - |
| Smart Sortino/√2 | 1.54 | - |
| Omega | 1.31 | 1.31 |
| Max Drawdown | -11.38% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 12.07% | 0.22% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.06 | 0.06 |
| Calmar | 1.79 | - |
| Skew | -0.47 | 0.91 |
| Kurtosis | 1.74 | 0.66 |
| Expected Daily | 0.07% | 0.03% |
| Expected Monthly | 1.49% | 0.59% |
| Expected Yearly | 12.58% | 4.81% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.18% | -0.01% |
| Expected Shortfall (cVaR) | -1.18% | -0.01% |
| Max Consecutive Wins | 8 | 325 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | 0.31 | - |
| Gain/Pain (1M) | 2.36 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.31 | - |
| Common Sense Ratio | 1.47 | - |
| CPC Index | - | - |
| Tail Ratio | 1.12 | 4.13 |
| Outlier Win Ratio | 1.5 | 29.65 |
| Outlier Loss Ratio | 2.16 | - |
| MTD | -0.95% | 0.39% |
| 3M | 2.11% | 1.63% |
| 6M | -0.48% | 4.39% |
| YTD | 0.41% | 2.34% |
| 1Y | 8.15% | 7.77% |
| 3Y (ann.) | 20.39% | 7.64% |
| 5Y (ann.) | 20.39% | 7.64% |
| 10Y (ann.) | 20.39% | 7.64% |
| All-time (ann.) | 20.39% | 7.64% |
| Best Day | 2.33% | 0.07% |
| Worst Day | -3.13% | 0.0% |
| Best Month | 8.49% | 1.11% |
| Worst Month | -5.42% | 0.28% |
| Best Year | 26.22% | 7.34% |
| Worst Year | 0.41% | 2.34% |
| Avg. Drawdown | -2.03% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 2.35 | - |
| Ulcer Index | 0.05 | 0.0 |
| Serenity Index | 0.39 | - |
| Avg. Up Month | 3.2% | 0.54% |
| Avg. Down Month | - | - |
| Win Days | 55.62% | 100.0% |
| Win Month | 68.75% | 100.0% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | -1.64 | - |
| Alpha | 0.31 | - |
| Correlation | -2.94% | - |
| Treynor Ratio | -16.34% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 7.34 | 26.22 | 3.57 | + |
| 2024 | 2.34 | 0.41 | 0.18 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-10-09 | 2024-04-26 | -11.38 | 200 |
| 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 |