| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | 9.03% | 46.08% |
| CAGR﹪ | 2.17% | 9.85% |
| Sharpe | 0.31 | 19.81 |
| Prob. Sharpe Ratio | 72.35% | 100.0% |
| Smart Sharpe | 0.21 | 13.51 |
| Sortino | 0.43 | - |
| Smart Sortino | 0.29 | - |
| Sortino/√2 | 0.3 | - |
| Smart Sortino/√2 | 0.21 | - |
| Omega | 1.06 | 1.06 |
| Max Drawdown | -9.84% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 8.66% | 0.51% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.22 | - |
| Skew | -1.06 | 10.23 |
| Kurtosis | 12.69 | 147.14 |
| Expected Daily | 0.01% | 0.04% |
| Expected Monthly | 0.17% | 0.76% |
| Expected Yearly | 1.74% | 7.87% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.89% | -0.01% |
| Expected Shortfall (cVaR) | -0.89% | -0.01% |
| Max Consecutive Wins | 7 | 943 |
| Max Consecutive Losses | 5 | 0 |
| Gain/Pain Ratio | 0.06 | - |
| Gain/Pain (1M) | 0.45 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.06 | - |
| Common Sense Ratio | 1.16 | - |
| CPC Index | - | - |
| Tail Ratio | 1.09 | 4.21 |
| Outlier Win Ratio | 2.14 | 18.04 |
| Outlier Loss Ratio | 1.47 | - |
| MTD | -0.46% | 0.43% |
| 3M | -0.5% | 4.62% |
| 6M | -2.15% | 8.75% |
| YTD | -2.59% | 13.13% |
| 1Y | 1.58% | 16.71% |
| 3Y (ann.) | 3.36% | 11.59% |
| 5Y (ann.) | 2.17% | 9.85% |
| 10Y (ann.) | 2.17% | 9.85% |
| All-time (ann.) | 2.17% | 9.85% |
| Best Day | 2.45% | 0.51% |
| Worst Day | -5.57% | 0.0% |
| Best Month | 4.36% | 1.56% |
| Worst Month | -7.25% | 0.27% |
| Best Year | 8.15% | 13.13% |
| Worst Year | -2.59% | 1.39% |
| Avg. Drawdown | -0.94% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.92 | - |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 0.87 | - |
| Avg. Up Month | 1.29% | 0.74% |
| Avg. Down Month | - | - |
| Win Days | 52.27% | 100.0% |
| Win Month | 50.0% | 100.0% |
| Win Quarter | 50.0% | 100.0% |
| Win Year | 60.0% | 100.0% |
| Beta | 1.77 | - |
| Alpha | -0.15 | - |
| Correlation | 10.42% | - |
| Treynor Ratio | 5.11% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 1.39 | 1.07 | 0.77 | - |
| 2021 | 5.82 | -0.80 | -0.14 | - |
| 2022 | 9.41 | 8.15 | 0.87 | - |
| 2023 | 10.00 | 3.22 | 0.32 | - |
| 2024 | 13.13 | -2.59 | -0.20 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-01-11 | 2022-06-06 | -9.84 | 511 |
| 2023-07-11 | 2024-10-07 | -4.50 | 454 |
| 2022-09-19 | 2022-11-16 | -4.26 | 58 |
| 2023-01-09 | 2023-01-31 | -1.50 | 22 |
| 2023-02-02 | 2023-03-02 | -1.46 | 28 |
| 2022-12-01 | 2022-12-13 | -1.38 | 12 |
| 2022-12-15 | 2023-01-03 | -1.28 | 19 |
| 2022-06-14 | 2022-06-21 | -1.17 | 7 |
| 2022-07-28 | 2022-08-18 | -1.13 | 21 |
| 2023-06-13 | 2023-06-29 | -1.07 | 16 |