| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 90.0% | 100.0% |
| Cumulative Return | 21.85% | 30.61% |
| CAGR﹪ | 7.42% | 10.16% |
| Sharpe | 0.43 | 18.21 |
| Prob. Sharpe Ratio | 74.55% | 100.0% |
| Smart Sharpe | 0.26 | 11.06 |
| Sortino | 0.67 | - |
| Smart Sortino | 0.41 | - |
| Sortino/√2 | 0.48 | - |
| Smart Sortino/√2 | 0.29 | - |
| Omega | 1.2 | 1.2 |
| Max Drawdown | -33.93% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 32.43% | 0.64% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.22 | - |
| Skew | 2.68 | 8.58 |
| Kurtosis | 165.13 | 93.39 |
| Expected Daily | 0.03% | 0.05% |
| Expected Monthly | 0.58% | 0.79% |
| Expected Yearly | 5.06% | 6.9% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.31% | -0.02% |
| Expected Shortfall (cVaR) | -3.31% | -0.02% |
| Max Consecutive Wins | 7 | 577 |
| Max Consecutive Losses | 5 | 0 |
| Gain/Pain Ratio | 0.2 | - |
| Gain/Pain (1M) | 1.91 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.2 | - |
| Common Sense Ratio | 1.3 | - |
| CPC Index | - | - |
| Tail Ratio | 1.09 | 3.66 |
| Outlier Win Ratio | 1.98 | 24.59 |
| Outlier Loss Ratio | 1.5 | - |
| MTD | 7.19% | 1.24% |
| 3M | 9.01% | 4.78% |
| 6M | 11.5% | 8.41% |
| YTD | 8.82% | 5.04% |
| 1Y | 10.89% | 13.15% |
| 3Y (ann.) | 7.42% | 10.16% |
| 5Y (ann.) | 7.42% | 10.16% |
| 10Y (ann.) | 7.42% | 10.16% |
| All-time (ann.) | 7.42% | 10.16% |
| Best Day | 31.45% | 0.51% |
| Worst Day | -27.99% | 0.0% |
| Best Month | 7.19% | 1.55% |
| Worst Month | -8.07% | 0.44% |
| Best Year | 11.16% | 10.0% |
| Worst Year | -0.79% | 3.32% |
| Avg. Drawdown | -2.15% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.64 | - |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 2.32 | - |
| Avg. Up Month | 1.92% | 0.84% |
| Avg. Down Month | - | - |
| Win Days | 52.91% | 100.0% |
| Win Month | 70.59% | 100.0% |
| Win Quarter | 58.33% | 100.0% |
| Win Year | 75.0% | 100.0% |
| Beta | 3.91 | - |
| Alpha | -0.32 | - |
| Correlation | 7.71% | - |
| Treynor Ratio | 5.59% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.32 | -0.79 | -0.24 | - |
| 2022 | 9.41 | 11.16 | 1.19 | + |
| 2023 | 10.00 | 1.54 | 0.15 | - |
| 2024 | 5.04 | 8.82 | 1.75 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-01 | 2022-06-06 | -33.93 | 278 |
| 2024-03-12 | 2024-04-09 | -8.33 | 28 |
| 2022-09-15 | 2022-11-17 | -5.22 | 63 |
| 2023-07-04 | 2024-02-19 | -4.86 | 230 |
| 2022-12-16 | 2022-12-26 | -2.13 | 10 |
| 2022-12-02 | 2022-12-15 | -2.00 | 13 |
| 2023-01-10 | 2023-01-17 | -1.89 | 7 |
| 2022-11-22 | 2022-12-01 | -1.87 | 9 |
| 2023-01-19 | 2023-02-13 | -1.76 | 25 |
| 2023-02-14 | 2023-03-02 | -1.71 | 16 |