| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 4.88% | 51.68% |
| CAGR﹪ | 1.99% | 18.79% |
| Sharpe | 0.2 | 70.5 |
| Prob. Sharpe Ratio | 62.12% | 100.0% |
| Smart Sharpe | 0.19 | 68.76 |
| Sortino | 0.29 | - |
| Smart Sortino | 0.29 | - |
| Sortino/√2 | 0.21 | - |
| Smart Sortino/√2 | 0.2 | - |
| Omega | 1.04 | 1.04 |
| Max Drawdown | -29.94% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 19.59% | 0.24% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.07 | - |
| Skew | 0.66 | 4.14 |
| Kurtosis | 4.71 | 31.43 |
| Expected Daily | 0.01% | 0.07% |
| Expected Monthly | 0.16% | 1.4% |
| Expected Yearly | 1.2% | 10.98% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.01% | -0.04% |
| Expected Shortfall (cVaR) | -2.01% | -0.04% |
| Max Consecutive Wins | 8 | 618 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | 0.04 | - |
| Gain/Pain (1M) | 0.16 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.04 | - |
| Common Sense Ratio | 1.03 | - |
| CPC Index | - | - |
| Tail Ratio | 0.99 | 1.61 |
| Outlier Win Ratio | 2.15 | 26.35 |
| Outlier Loss Ratio | 1.47 | - |
| MTD | 0.67% | 1.12% |
| 3M | -0.66% | 3.75% |
| 6M | 9.12% | 7.79% |
| YTD | 2.53% | 4.71% |
| 1Y | 4.78% | 17.22% |
| 3Y (ann.) | 1.99% | 18.79% |
| 5Y (ann.) | 1.99% | 18.79% |
| 10Y (ann.) | 1.99% | 18.79% |
| All-time (ann.) | 1.99% | 18.79% |
| Best Day | 8.47% | 0.19% |
| Worst Day | -4.14% | 0.0% |
| Best Month | 15.07% | 1.83% |
| Worst Month | -11.31% | 0.95% |
| Best Year | 2.7% | 19.38% |
| Worst Year | -0.2% | 2.18% |
| Avg. Drawdown | -3.2% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.16 | - |
| Ulcer Index | 0.14 | 0.0 |
| Serenity Index | 0.02 | - |
| Avg. Up Month | 3.86% | 1.37% |
| Avg. Down Month | - | - |
| Win Days | 52.28% | 100.0% |
| Win Month | 60.0% | 100.0% |
| Win Quarter | 63.64% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | 0.93 | - |
| Alpha | -0.12 | - |
| Correlation | 1.15% | - |
| Treynor Ratio | 5.22% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 2.18 | -0.20 | -0.09 | - |
| 2024 | 18.74 | -0.20 | -0.01 | - |
| 2025 | 19.38 | 2.70 | 0.14 | - |
| 2026 | 4.71 | 2.53 | 0.54 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-05-17 | 2026-04-24 | -29.94 | 707 |
| 2023-11-27 | 2023-12-27 | -7.67 | 30 |
| 2024-02-08 | 2024-03-01 | -3.52 | 22 |
| 2024-04-16 | 2024-05-10 | -1.99 | 24 |
| 2024-03-13 | 2024-03-26 | -1.63 | 13 |
| 2024-01-18 | 2024-01-22 | -0.66 | 4 |
| 2023-12-28 | 2024-01-03 | -0.60 | 6 |
| 2024-01-24 | 2024-01-29 | -0.47 | 5 |
| 2024-01-09 | 2024-01-10 | -0.39 | 1 |
| 2024-04-04 | 2024-04-08 | -0.35 | 4 |