| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | 14.42% | 10.09% |
| CAGR﹪ | 4.84% | 3.43% |
| Sharpe | 0.77 | 17.85 |
| Prob. Sharpe Ratio | 78.21% | 100.0% |
| Smart Sharpe | 0.58 | 13.3 |
| Sortino | 1.21 | - |
| Smart Sortino | 0.9 | - |
| Sortino/√2 | 0.85 | - |
| Smart Sortino/√2 | 0.64 | - |
| Omega | 1.43 | 1.43 |
| Max Drawdown | -13.87% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 19.48% | 0.53% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.35 | - |
| Skew | 0.94 | 7.48 |
| Kurtosis | 82.14 | 72.74 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 0.97% | 0.69% |
| Expected Yearly | 3.43% | 2.43% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -0.02% |
| Expected Shortfall (cVaR) | -1.96% | -0.02% |
| Max Consecutive Wins | 6 | 257 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.43 | - |
| Gain/Pain (1M) | 9.74 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.43 | - |
| Common Sense Ratio | 1.7 | - |
| CPC Index | - | - |
| Tail Ratio | 1.18 | 8.37 |
| Outlier Win Ratio | 2.59 | 24.47 |
| Outlier Loss Ratio | 1.27 | - |
| MTD | 0.44% | 0.21% |
| 3M | 3.7% | 1.83% |
| 6M | 14.96% | 2.91% |
| YTD | 11.44% | 2.16% |
| 1Y | 14.96% | 2.91% |
| 3Y (ann.) | 4.84% | 3.43% |
| 5Y (ann.) | 4.84% | 3.43% |
| 10Y (ann.) | 4.84% | 3.43% |
| All-time (ann.) | 4.84% | 3.43% |
| Best Day | 12.35% | 0.36% |
| Worst Day | -12.19% | 0.0% |
| Best Month | 7.85% | 1.17% |
| Worst Month | -2.44% | 0.17% |
| Best Year | 11.44% | 4.71% |
| Worst Year | -2.54% | 0.73% |
| Avg. Drawdown | -0.85% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 1.04 | - |
| Ulcer Index | 0.01 | 0.0 |
| Serenity Index | 9.01 | - |
| Avg. Up Month | 1.7% | 0.62% |
| Avg. Down Month | - | - |
| Win Days | 53.5% | 100.0% |
| Win Month | 71.43% | 100.0% |
| Win Quarter | 85.71% | 100.0% |
| Win Year | 75.0% | 100.0% |
| Beta | 3.35 | - |
| Alpha | -0.16 | - |
| Correlation | 9.04% | - |
| Treynor Ratio | 4.31% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 4.71 | 2.13 | 0.45 | - |
| 2022 | 2.17 | -2.54 | -1.17 | - |
| 2023 | 0.73 | 3.16 | 4.33 | + |
| 2024 | 2.16 | 11.44 | 5.30 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-06 | 2024-01-11 | -13.87 | 735 |
| 2021-10-21 | 2022-01-03 | -1.54 | 74 |
| 2024-01-15 | 2024-01-17 | -0.95 | 2 |
| 2024-01-18 | 2024-01-24 | -0.86 | 6 |
| 2024-02-05 | 2024-02-07 | -0.76 | 2 |
| 2021-07-06 | 2021-07-29 | -0.74 | 23 |
| 2024-01-25 | 2024-01-29 | -0.72 | 4 |
| 2021-08-18 | 2021-08-30 | -0.68 | 12 |
| 2024-02-08 | 2024-02-15 | -0.67 | 7 |
| 2021-07-30 | 2021-08-03 | -0.65 | 4 |