| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 91.0% | 100.0% |
| Cumulative Return | 13.07% | 28.59% |
| CAGR﹪ | 4.55% | 9.54% |
| Sharpe | 0.48 | 26.59 |
| Prob. Sharpe Ratio | 75.94% | 100.0% |
| Smart Sharpe | 0.38 | 20.97 |
| Sortino | 0.66 | - |
| Smart Sortino | 0.52 | - |
| Sortino/√2 | 0.46 | - |
| Smart Sortino/√2 | 0.37 | - |
| Omega | 1.1 | 1.1 |
| Max Drawdown | -14.73% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 13.24% | 0.42% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.31 | - |
| Skew | -1.38 | 4.32 |
| Kurtosis | 15.64 | 27.24 |
| Expected Daily | 0.02% | 0.04% |
| Expected Monthly | 0.37% | 0.76% |
| Expected Yearly | 3.12% | 6.49% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.35% | -0.0% |
| Expected Shortfall (cVaR) | -1.35% | -0.0% |
| Max Consecutive Wins | 11 | 561 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.1 | - |
| Gain/Pain (1M) | 0.46 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.1 | - |
| Common Sense Ratio | 1.13 | - |
| CPC Index | - | - |
| Tail Ratio | 1.03 | 3.73 |
| Outlier Win Ratio | 2.35 | 24.05 |
| Outlier Loss Ratio | 1.6 | - |
| MTD | -3.82% | 1.24% |
| 3M | -2.58% | 4.8% |
| 6M | 0.98% | 8.29% |
| YTD | -2.99% | 5.04% |
| 1Y | 0.09% | 13.12% |
| 3Y (ann.) | 4.55% | 9.54% |
| 5Y (ann.) | 4.55% | 9.54% |
| 10Y (ann.) | 4.55% | 9.54% |
| All-time (ann.) | 4.55% | 9.54% |
| Best Day | 4.07% | 0.25% |
| Worst Day | -7.71% | 0.0% |
| Best Month | 10.12% | 1.24% |
| Worst Month | -11.7% | 0.44% |
| Best Year | 11.65% | 9.99% |
| Worst Year | -2.99% | 3.32% |
| Avg. Drawdown | -1.21% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.89 | - |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 0.65 | - |
| Avg. Up Month | 2.15% | 0.76% |
| Avg. Down Month | - | - |
| Win Days | 54.79% | 100.0% |
| Win Month | 63.64% | 100.0% |
| Win Quarter | 58.33% | 100.0% |
| Win Year | 75.0% | 100.0% |
| Beta | -1.06 | - |
| Alpha | 0.18 | - |
| Correlation | -3.39% | - |
| Treynor Ratio | -12.36% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.32 | 0.61 | 0.18 | - |
| 2022 | 7.73 | 11.65 | 1.51 | + |
| 2023 | 9.99 | 3.77 | 0.38 | - |
| 2024 | 5.04 | -2.99 | -0.59 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-08-26 | 2022-06-09 | -14.73 | 287 |
| 2022-09-15 | 2022-11-08 | -5.87 | 54 |
| 2023-08-01 | 2024-03-01 | -4.76 | 213 |
| 2024-04-02 | 2024-04-09 | -3.82 | 7 |
| 2022-12-16 | 2022-12-27 | -2.10 | 11 |
| 2023-01-09 | 2023-02-06 | -2.03 | 28 |
| 2022-11-15 | 2022-11-29 | -1.89 | 14 |
| 2022-12-07 | 2022-12-12 | -1.88 | 5 |
| 2022-12-05 | 2022-12-06 | -1.75 | 1 |
| 2022-06-14 | 2022-06-24 | -1.33 | 10 |