| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 91.0% | 100.0% |
| Cumulative Return | 18.1% | 30.12% |
| CAGR﹪ | 4.72% | 7.57% |
| Sharpe | 0.47 | 30.1 |
| Prob. Sharpe Ratio | 72.06% | 100.0% |
| Smart Sharpe | 0.45 | 28.67 |
| Sortino | 0.6 | - |
| Smart Sortino | 0.57 | - |
| Sortino/√2 | 0.43 | - |
| Smart Sortino/√2 | 0.4 | - |
| Omega | 1.2 | 1.2 |
| Max Drawdown | -52.16% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 45.49% | 0.47% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.09 | - |
| Skew | -5.57 | 1.23 |
| Kurtosis | 169.63 | 3.22 |
| Expected Daily | 0.04% | 0.06% |
| Expected Monthly | 0.67% | 1.06% |
| Expected Yearly | 3.38% | 5.41% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.63% | -0.01% |
| Expected Shortfall (cVaR) | -4.63% | -0.01% |
| Max Consecutive Wins | 6 | 470 |
| Max Consecutive Losses | 5 | 0 |
| Gain/Pain Ratio | 0.2 | - |
| Gain/Pain (1M) | 0.55 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.2 | - |
| Common Sense Ratio | 1.47 | - |
| CPC Index | - | - |
| Tail Ratio | 1.22 | 3.44 |
| Outlier Win Ratio | 2.72 | 41.7 |
| Outlier Loss Ratio | 1.86 | - |
| MTD | 0.1% | 0.15% |
| 3M | 3.8% | 4.96% |
| 6M | 7.05% | 10.61% |
| YTD | 7.05% | 10.61% |
| 1Y | 49.41% | 20.13% |
| 3Y (ann.) | 26.93% | 8.05% |
| 5Y (ann.) | 4.72% | 7.57% |
| 10Y (ann.) | 4.72% | 7.57% |
| All-time (ann.) | 4.72% | 7.57% |
| Best Day | 32.08% | 0.18% |
| Worst Day | -45.56% | 0.0% |
| Best Month | 31.46% | 1.83% |
| Worst Month | -51.26% | 0.15% |
| Best Year | 39.58% | 10.61% |
| Worst Year | -28.47% | 1.15% |
| Avg. Drawdown | -2.03% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.35 | - |
| Ulcer Index | 0.26 | 0.0 |
| Serenity Index | 0.04 | - |
| Avg. Up Month | 5.69% | 1.18% |
| Avg. Down Month | - | - |
| Win Days | 54.12% | 100.0% |
| Win Month | 80.0% | 100.0% |
| Win Quarter | 90.91% | 100.0% |
| Win Year | 80.0% | 100.0% |
| Beta | 7.58 | - |
| Alpha | -0.85 | - |
| Correlation | 7.8% | - |
| Treynor Ratio | 2.39% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.15 | 0.25 | 0.22 | - |
| 2022 | 5.69 | -28.47 | -5.00 | - |
| 2023 | 1.32 | 10.24 | 7.78 | + |
| 2024 | 8.61 | 39.58 | 4.60 | + |
| 2025 | 10.61 | 7.05 | 0.66 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-06-15 | 2024-08-21 | -52.16 | 798 |
| 2022-01-25 | 2022-02-25 | -8.49 | 31 |
| 2021-11-29 | 2022-01-04 | -2.32 | 36 |
| 2022-01-14 | 2022-01-24 | -2.06 | 10 |
| 2022-01-06 | 2022-01-13 | -2.00 | 7 |
| 2024-10-25 | 2024-11-18 | -0.93 | 24 |
| 2025-01-08 | 2025-01-27 | -0.89 | 19 |
| 2021-11-24 | 2021-11-26 | -0.88 | 2 |
| 2025-02-03 | 2025-02-17 | -0.77 | 14 |
| 2024-08-22 | 2024-09-06 | -0.71 | 15 |