| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 45.44% | 35.8% |
| CAGR﹪ | 11.06% | 8.95% |
| Sharpe | 0.59 | 3.83 |
| Prob. Sharpe Ratio | 85.15% | 100.0% |
| Smart Sharpe | 0.52 | 3.39 |
| Sortino | 0.75 | 102.13 |
| Smart Sortino | 0.66 | 90.33 |
| Sortino/√2 | 0.53 | 72.22 |
| Smart Sortino/√2 | 0.47 | 63.87 |
| Omega | 1.13 | 1.13 |
| Max Drawdown | -46.65% | -1.25% |
| Longest DD Days | 908 | 209 |
| Volatility (ann.) | 22.42% | 2.28% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.24 | 7.13 |
| Skew | -3.13 | 16.62 |
| Kurtosis | 36.38 | 280.44 |
| Expected Daily | 0.04% | 0.03% |
| Expected Monthly | 0.85% | 0.7% |
| Expected Yearly | 7.78% | 6.31% |
| Kelly Criterion | 4.51% | 88.55% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.27% | -0.2% |
| Expected Shortfall (cVaR) | -2.27% | -0.2% |
| Max Consecutive Wins | 11 | 416 |
| Max Consecutive Losses | 6 | 65 |
| Gain/Pain Ratio | 0.13 | 23.28 |
| Gain/Pain (1M) | 0.67 | 23.28 |
| Payoff Ratio | 0.87 | 2.14 |
| Profit Factor | 1.13 | 24.28 |
| Common Sense Ratio | 1.1 | 76.47 |
| CPC Index | 0.55 | 47.95 |
| Tail Ratio | 0.97 | 3.15 |
| Outlier Win Ratio | 1.78 | 36.54 |
| Outlier Loss Ratio | 2.5 | 118.73 |
| MTD | 4.41% | 0.29% |
| 3M | 8.76% | 1.74% |
| 6M | 8.52% | 4.48% |
| YTD | 14.21% | 2.24% |
| 1Y | 31.48% | 7.76% |
| 3Y (ann.) | 3.31% | 9.16% |
| 5Y (ann.) | 11.06% | 8.95% |
| 10Y (ann.) | 11.06% | 8.95% |
| All-time (ann.) | 11.06% | 8.95% |
| Best Day | 8.06% | 2.47% |
| Worst Day | -17.25% | -0.02% |
| Best Month | 17.87% | 7.61% |
| Worst Month | -20.75% | -0.52% |
| Best Year | 34.84% | 11.92% |
| Worst Year | -28.61% | 1.93% |
| Avg. Drawdown | -2.89% | -0.66% |
| Avg. Drawdown Days | 42 | 110 |
| Recovery Factor | 0.97 | 28.53 |
| Ulcer Index | 0.21 | 0.0 |
| Serenity Index | 0.08 | 22.18 |
| Avg. Up Month | 4.0% | 0.57% |
| Avg. Down Month | -1.4% | -0.37% |
| Win Days | 55.44% | 92.19% |
| Win Month | 68.18% | 90.91% |
| Win Quarter | 68.75% | 87.5% |
| Win Year | 80.0% | 100.0% |
| Beta | -0.87 | - |
| Alpha | 0.21 | - |
| Correlation | -8.85% | - |
| Treynor Ratio | -52.29% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 1.93 | 18.25 | 9.48 | + |
| 2021 | 8.39 | 11.86 | 1.41 | + |
| 2022 | 11.92 | -28.61 | -2.40 | - |
| 2023 | 7.42 | 34.84 | 4.70 | + |
| 2024 | 2.24 | 14.21 | 6.35 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-20 | 2024-04-15 | -46.65 | 908 |
| 2021-06-15 | 2021-08-30 | -5.07 | 76 |
| 2021-01-15 | 2021-03-11 | -4.68 | 55 |
| 2020-09-29 | 2020-11-05 | -4.41 | 37 |
| 2021-09-09 | 2021-10-05 | -3.44 | 26 |
| 2021-04-27 | 2021-06-01 | -2.94 | 35 |
| 2021-03-16 | 2021-03-31 | -2.58 | 15 |
| 2020-12-21 | 2020-12-22 | -1.84 | 1 |
| 2020-11-30 | 2020-12-02 | -1.77 | 2 |
| 2021-04-19 | 2021-04-22 | -1.46 | 3 |