| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | 17.23% | 4.3% |
| CAGR﹪ | 39.32% | 9.18% |
| Sharpe | 2.77 | 17.06 |
| Prob. Sharpe Ratio | 96.81% | 100.0% |
| Smart Sharpe | 2.61 | 16.04 |
| Sortino | 4.2 | - |
| Smart Sortino | 3.95 | - |
| Sortino/√2 | 2.97 | - |
| Smart Sortino/√2 | 2.79 | - |
| Omega | 1.64 | 1.64 |
| Max Drawdown | -7.67% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 12.22% | 0.51% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.13 | 0.13 |
| Calmar | 5.13 | - |
| Skew | -0.32 | 4.09 |
| Kurtosis | 2.38 | 16.72 |
| Expected Daily | 0.13% | 0.03% |
| Expected Monthly | 2.3% | 0.6% |
| Expected Yearly | 8.27% | 2.13% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.13% | -0.02% |
| Expected Shortfall (cVaR) | -1.13% | -0.02% |
| Max Consecutive Wins | 8 | 120 |
| Max Consecutive Losses | 4 | 0 |
| Gain/Pain Ratio | 0.64 | - |
| Gain/Pain (1M) | 9.57 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.64 | - |
| Common Sense Ratio | 1.64 | - |
| CPC Index | - | - |
| Tail Ratio | 1.0 | 2.1 |
| Outlier Win Ratio | 2.46 | 36.47 |
| Outlier Loss Ratio | 1.64 | - |
| MTD | 2.88% | 0.19% |
| 3M | 9.18% | 1.35% |
| 6M | 17.23% | 4.3% |
| YTD | 17.47% | 2.6% |
| 1Y | 17.23% | 4.3% |
| 3Y (ann.) | 39.32% | 9.18% |
| 5Y (ann.) | 39.32% | 9.18% |
| 10Y (ann.) | 39.32% | 9.18% |
| All-time (ann.) | 39.32% | 9.18% |
| Best Day | 2.48% | 0.18% |
| Worst Day | -2.4% | 0.0% |
| Best Month | 7.29% | 0.92% |
| Worst Month | -1.69% | 0.19% |
| Best Year | 17.47% | 2.6% |
| Worst Year | -0.2% | 1.66% |
| Avg. Drawdown | -1.29% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 2.25 | - |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 2.02 | - |
| Avg. Up Month | 3.0% | 0.55% |
| Avg. Down Month | - | - |
| Win Days | 64.6% | 100.0% |
| Win Month | 85.71% | 100.0% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -2.78 | - |
| Alpha | 0.58 | - |
| Correlation | -11.69% | - |
| Treynor Ratio | -6.21% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 1.66 | -0.20 | -0.12 | - |
| 2024 | 2.60 | 17.47 | 6.72 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 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 | 2024-03-27 | -1.63 | 14 |
| 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 |
| 2024-02-02 | 2024-02-05 | -0.28 | 3 |