| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 47.22% | 17.76% |
| CAGR﹪ | 21.86% | 8.72% |
| Sharpe | 1.36 | 31.17 |
| Prob. Sharpe Ratio | 97.33% | - |
| Smart Sharpe | 1.29 | 29.69 |
| Sortino | 2.08 | - |
| Smart Sortino | 1.98 | - |
| Sortino/√2 | 1.47 | - |
| Smart Sortino/√2 | 1.4 | - |
| Omega | 1.28 | 1.28 |
| Max Drawdown | -17.44% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 15.2% | 0.26% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | 1.25 | - |
| Skew | 0.34 | 0.74 |
| Kurtosis | 4.9 | -0.16 |
| Expected Daily | 0.08% | 0.03% |
| Expected Monthly | 1.62% | 0.68% |
| Expected Yearly | 21.33% | 8.52% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.49% | -0.01% |
| Expected Shortfall (cVaR) | -1.49% | -0.01% |
| Max Consecutive Wins | 8 | 500 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | 0.28 | - |
| Gain/Pain (1M) | 1.78 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.28 | - |
| Common Sense Ratio | 1.41 | - |
| CPC Index | - | - |
| Tail Ratio | 1.1 | 5.56 |
| Outlier Win Ratio | 1.98 | 40.73 |
| Outlier Loss Ratio | 1.91 | - |
| MTD | -5.94% | 1.5% |
| 3M | 5.05% | 3.75% |
| 6M | 23.68% | 5.62% |
| YTD | 16.64% | 9.71% |
| 1Y | 16.64% | 9.71% |
| 3Y (ann.) | 21.86% | 8.72% |
| 5Y (ann.) | 21.86% | 8.72% |
| 10Y (ann.) | 21.86% | 8.72% |
| All-time (ann.) | 21.86% | 8.72% |
| Best Day | 5.06% | 0.07% |
| Worst Day | -4.13% | 0.0% |
| Best Month | 13.51% | 1.5% |
| Worst Month | -5.94% | 0.2% |
| Best Year | 26.22% | 9.71% |
| Worst Year | 16.64% | 7.34% |
| Avg. Drawdown | -2.6% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 2.71 | - |
| Ulcer Index | 0.07 | 0.0 |
| Serenity Index | 0.59 | - |
| Avg. Up Month | 3.8% | 0.61% |
| Avg. Down Month | - | - |
| Win Days | 54.66% | 100.0% |
| Win Month | 70.83% | 100.0% |
| Win Quarter | 75.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | -2.2 | - |
| Alpha | 0.39 | - |
| Correlation | -3.81% | - |
| Treynor Ratio | -21.51% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 7.34 | 26.22 | 3.57 | + |
| 2024 | 9.71 | 16.64 | 1.71 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-10-09 | 2024-09-20 | -17.44 | 347 |
| 2024-11-29 | 2024-12-30 | -8.95 | 31 |
| 2023-04-12 | 2023-06-29 | -7.67 | 78 |
| 2023-08-14 | 2023-10-05 | -6.46 | 52 |
| 2024-10-07 | 2024-11-22 | -6.18 | 46 |
| 2023-02-27 | 2023-03-16 | -2.51 | 17 |
| 2024-10-03 | 2024-10-04 | -2.01 | 1 |
| 2024-11-27 | 2024-11-28 | -1.97 | 1 |
| 2023-02-17 | 2023-02-22 | -1.16 | 5 |
| 2023-07-03 | 2023-07-04 | -1.16 | 1 |