| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 17.17% | 10.2% |
| CAGR﹪ | 8.7% | 5.25% |
| Sharpe | 0.54 | 10.79 |
| Prob. Sharpe Ratio | 71.61% | 99.86% |
| Smart Sharpe | 0.51 | 10.22 |
| Sortino | 0.83 | - |
| Smart Sortino | 0.79 | - |
| Sortino/√2 | 0.59 | - |
| Smart Sortino/√2 | 0.56 | - |
| Omega | 1.13 | 1.13 |
| Max Drawdown | -42.86% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 49.5% | 0.82% |
| R^2 | 0.12 | 0.12 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.2 | - |
| Skew | 1.4 | 13.15 |
| Kurtosis | 48.28 | 192.83 |
| Expected Daily | 0.06% | 0.04% |
| Expected Monthly | 1.0% | 0.61% |
| Expected Yearly | 5.42% | 3.29% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.02% | -0.05% |
| Expected Shortfall (cVaR) | -5.02% | -0.05% |
| Max Consecutive Wins | 8 | 274 |
| Max Consecutive Losses | 9 | 0 |
| Gain/Pain Ratio | 0.13 | - |
| Gain/Pain (1M) | 0.48 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.13 | - |
| Common Sense Ratio | 1.35 | - |
| CPC Index | - | - |
| Tail Ratio | 1.19 | 1.6 |
| Outlier Win Ratio | 1.49 | 75.57 |
| Outlier Loss Ratio | 1.64 | - |
| MTD | 29.61% | 0.81% |
| 3M | 29.61% | 0.81% |
| 6M | 29.61% | 0.81% |
| YTD | 42.16% | 2.13% |
| 1Y | 69.24% | 4.22% |
| 3Y (ann.) | 8.7% | 5.25% |
| 5Y (ann.) | 8.7% | 5.25% |
| 10Y (ann.) | 8.7% | 5.25% |
| All-time (ann.) | 8.7% | 5.25% |
| Best Day | 30.41% | 0.82% |
| Worst Day | -25.6% | 0.0% |
| Best Month | 29.61% | 0.82% |
| Worst Month | -25.6% | 0.0% |
| Best Year | 42.16% | 6.57% |
| Worst Year | -18.31% | 1.25% |
| Avg. Drawdown | -11.22% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.4 | - |
| Ulcer Index | 0.26 | 0.0 |
| Serenity Index | 0.05 | - |
| Avg. Up Month | 7.34% | 0.64% |
| Avg. Down Month | - | - |
| Win Days | 49.63% | 100.0% |
| Win Month | 80.0% | 100.0% |
| Win Quarter | 85.71% | 100.0% |
| Win Year | 66.67% | 100.0% |
| Beta | -20.62 | - |
| Alpha | 2.1 | - |
| Correlation | -34.37% | - |
| Treynor Ratio | -0.83% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.25 | 0.89 | 0.72 | - |
| 2022 | 6.57 | -18.31 | -2.79 | - |
| 2023 | 2.13 | 42.16 | 19.75 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-05-31 | 2023-09-19 | -42.86 | 476 |
| 2021-11-15 | 2022-02-25 | -10.00 | 102 |
| 2023-09-20 | 2023-09-22 | -2.08 | 2 |
| 2021-11-09 | 2021-11-10 | -0.76 | 1 |
| 2021-11-05 | 2021-11-08 | -0.41 | 3 |