| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 87.0% | 100.0% |
| Cumulative Return | 16.5% | 30.6% |
| CAGR﹪ | 5.63% | 10.05% |
| Sharpe | 0.47 | 10.47 |
| Prob. Sharpe Ratio | 76.15% | 99.13% |
| Smart Sharpe | 0.36 | 8.02 |
| Sortino | 0.61 | - |
| Smart Sortino | 0.47 | - |
| Sortino/√2 | 0.43 | - |
| Smart Sortino/√2 | 0.33 | - |
| Omega | 1.21 | 1.21 |
| Max Drawdown | -22.71% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 14.01% | 0.94% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.25 | - |
| Skew | -5.22 | 24.43 |
| Kurtosis | 221.08 | 624.51 |
| Expected Daily | 0.02% | 0.04% |
| Expected Monthly | 0.45% | 0.79% |
| Expected Yearly | 3.89% | 6.9% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.42% | -0.06% |
| Expected Shortfall (cVaR) | -1.42% | -0.06% |
| Max Consecutive Wins | 10 | 684 |
| Max Consecutive Losses | 9 | 0 |
| Gain/Pain Ratio | 0.21 | - |
| Gain/Pain (1M) | 0.91 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.21 | - |
| Common Sense Ratio | 1.38 | - |
| CPC Index | - | - |
| Tail Ratio | 1.14 | 2.57 |
| Outlier Win Ratio | 3.1 | 19.32 |
| Outlier Loss Ratio | 1.67 | - |
| MTD | 0.17% | 1.24% |
| 3M | 2.28% | 4.12% |
| 6M | 5.42% | 7.83% |
| YTD | 2.64% | 5.04% |
| 1Y | 7.59% | 12.78% |
| 3Y (ann.) | 5.63% | 10.05% |
| 5Y (ann.) | 5.63% | 10.05% |
| 10Y (ann.) | 5.63% | 10.05% |
| All-time (ann.) | 5.63% | 10.05% |
| Best Day | 12.33% | 1.55% |
| Worst Day | -16.17% | 0.0% |
| Best Month | 6.64% | 1.55% |
| Worst Month | -10.09% | 0.43% |
| Best Year | 7.6% | 10.0% |
| Worst Year | -0.62% | 3.32% |
| Avg. Drawdown | -0.97% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.73 | - |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 0.65 | - |
| Avg. Up Month | 1.59% | 0.79% |
| Avg. Down Month | - | - |
| Win Days | 57.6% | 100.0% |
| Win Month | 70.59% | 100.0% |
| Win Quarter | 83.33% | 100.0% |
| Win Year | 75.0% | 100.0% |
| Beta | -0.59 | - |
| Alpha | 0.12 | - |
| Correlation | -3.97% | - |
| Treynor Ratio | -27.84% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.32 | -0.62 | -0.19 | - |
| 2022 | 9.41 | 6.14 | 0.65 | - |
| 2023 | 10.00 | 7.60 | 0.76 | - |
| 2024 | 5.04 | 2.64 | 0.52 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-14 | 2022-09-07 | -22.71 | 358 |
| 2022-09-19 | 2022-11-07 | -6.71 | 49 |
| 2023-08-04 | 2023-12-25 | -2.84 | 143 |
| 2023-06-20 | 2023-07-31 | -1.25 | 41 |
| 2023-02-13 | 2023-02-24 | -1.11 | 11 |
| 2022-11-08 | 2022-11-16 | -1.02 | 8 |
| 2024-04-01 | 2024-04-22 | -0.86 | 21 |
| 2022-11-17 | 2022-11-23 | -0.73 | 6 |
| 2024-01-15 | 2024-01-29 | -0.70 | 14 |
| 2024-01-08 | 2024-01-11 | -0.70 | 3 |