| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 10.92% | 5.27% |
| CAGR﹪ | 19.04% | 9.02% |
| Sharpe | 1.17 | 43.25 |
| Prob. Sharpe Ratio | 80.93% | - |
| Smart Sharpe | 1.03 | 38.08 |
| Sortino | 1.61 | - |
| Smart Sortino | 1.41 | - |
| Sortino/√2 | 1.14 | - |
| Smart Sortino/√2 | 1.0 | - |
| Omega | 1.23 | 1.23 |
| Max Drawdown | -14.07% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 15.9% | 0.2% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 1.35 | - |
| Skew | -0.75 | -0.05 |
| Kurtosis | 3.15 | -1.16 |
| Expected Daily | 0.07% | 0.03% |
| Expected Monthly | 1.3% | 0.64% |
| Expected Yearly | 5.32% | 2.6% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.57% | -0.01% |
| Expected Shortfall (cVaR) | -1.57% | -0.01% |
| Max Consecutive Wins | 7 | 150 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.23 | - |
| Gain/Pain (1M) | 1.61 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.23 | - |
| Common Sense Ratio | 0.99 | - |
| CPC Index | - | - |
| Tail Ratio | 0.81 | 2.65 |
| Outlier Win Ratio | 1.86 | 39.75 |
| Outlier Loss Ratio | 1.99 | - |
| MTD | 0.15% | 0.16% |
| 3M | 7.26% | 1.37% |
| 6M | 7.9% | 3.98% |
| YTD | 15.74% | 2.56% |
| 1Y | 10.92% | 5.27% |
| 3Y (ann.) | 19.04% | 9.02% |
| 5Y (ann.) | 19.04% | 9.02% |
| 10Y (ann.) | 19.04% | 9.02% |
| All-time (ann.) | 19.04% | 9.02% |
| Best Day | 2.74% | 0.05% |
| Worst Day | -4.35% | 0.0% |
| Best Month | 6.63% | 1.11% |
| Worst Month | -3.75% | 0.16% |
| Best Year | 15.74% | 2.64% |
| Worst Year | -4.17% | 2.56% |
| Avg. Drawdown | -3.07% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.78 | - |
| Ulcer Index | 0.05 | 0.0 |
| Serenity Index | 0.26 | - |
| Avg. Up Month | 3.62% | 0.53% |
| Avg. Down Month | - | - |
| Win Days | 54.67% | 100.0% |
| Win Month | 62.5% | 100.0% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -5.84 | - |
| Alpha | 0.69 | - |
| Correlation | -7.28% | - |
| Treynor Ratio | -1.87% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 2.64 | -4.17 | -1.58 | - |
| 2024 | 2.56 | 15.74 | 6.15 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-10-26 | 2024-03-29 | -14.07 | 155 |
| 2024-04-18 | 2024-05-14 | -4.22 | 26 |
| 2024-04-09 | 2024-04-12 | -0.95 | 3 |
| 2024-04-04 | 2024-04-08 | -0.89 | 4 |
| 2023-10-18 | 2023-10-20 | -0.71 | 2 |
| 2023-10-12 | 2023-10-13 | -0.57 | 1 |
| 2023-10-24 | 2023-10-25 | -0.06 | 1 |