| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 108.16% | 40.45% |
| CAGR﹪ | 25.17% | 10.96% |
| Sharpe | 1.1 | 21.37 |
| Prob. Sharpe Ratio | 94.13% | 99.87% |
| Smart Sharpe | 1.03 | 20.05 |
| Sortino | 1.44 | - |
| Smart Sortino | 1.35 | - |
| Sortino/√2 | 1.02 | - |
| Smart Sortino/√2 | 0.95 | - |
| Omega | 1.27 | 1.27 |
| Max Drawdown | -36.95% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 25.35% | 0.53% |
| R^2 | 0.23 | 0.23 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 0.68 | - |
| Skew | -5.28 | 16.61 |
| Kurtosis | 96.33 | 381.99 |
| Expected Daily | 0.1% | 0.05% |
| Expected Monthly | 1.95% | 0.9% |
| Expected Yearly | 20.12% | 8.86% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.52% | -0.01% |
| Expected Shortfall (cVaR) | -2.52% | -0.01% |
| Max Consecutive Wins | 9 | 753 |
| Max Consecutive Losses | 9 | 0 |
| Gain/Pain Ratio | 0.27 | - |
| Gain/Pain (1M) | 1.43 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.27 | - |
| Common Sense Ratio | 1.39 | - |
| CPC Index | - | - |
| Tail Ratio | 1.1 | 2.98 |
| Outlier Win Ratio | 2.33 | 46.51 |
| Outlier Loss Ratio | 1.7 | - |
| MTD | 5.18% | 1.79% |
| 3M | 23.29% | 5.25% |
| 6M | 33.26% | 9.81% |
| YTD | 50.33% | 16.59% |
| 1Y | 56.1% | 18.14% |
| 3Y (ann.) | 28.27% | 11.31% |
| 5Y (ann.) | 25.17% | 10.96% |
| 10Y (ann.) | 25.17% | 10.96% |
| All-time (ann.) | 25.17% | 10.96% |
| Best Day | 9.11% | 0.82% |
| Worst Day | -25.97% | 0.0% |
| Best Month | 19.21% | 1.79% |
| Worst Month | -25.97% | 0.41% |
| Best Year | 50.33% | 16.59% |
| Worst Year | -4.77% | 2.77% |
| Avg. Drawdown | -3.66% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 2.93 | - |
| Ulcer Index | 0.14 | 0.0 |
| Serenity Index | 0.44 | - |
| Avg. Up Month | 5.75% | 0.92% |
| Avg. Down Month | - | - |
| Win Days | 56.62% | 100.0% |
| Win Month | 65.79% | 100.0% |
| Win Quarter | 78.57% | 100.0% |
| Win Year | 75.0% | 100.0% |
| Beta | -23.08 | - |
| Alpha | 2.9 | - |
| Correlation | -48.39% | - |
| Treynor Ratio | -4.69% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.77 | 2.03 | 0.73 | - |
| 2022 | 6.57 | -4.77 | -0.73 | - |
| 2023 | 10.00 | 42.51 | 4.25 | + |
| 2024 | 16.59 | 50.33 | 3.03 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-25 | 2023-03-30 | -36.95 | 398 |
| 2024-04-15 | 2024-08-29 | -13.04 | 136 |
| 2023-09-08 | 2024-03-05 | -9.35 | 179 |
| 2021-09-07 | 2021-11-12 | -6.90 | 66 |
| 2023-08-14 | 2023-09-05 | -6.80 | 22 |
| 2024-10-31 | 2024-11-22 | -6.80 | 22 |
| 2023-04-14 | 2023-06-30 | -5.78 | 77 |
| 2022-01-27 | 2022-02-17 | -5.68 | 21 |
| 2021-11-17 | 2022-01-05 | -5.04 | 49 |
| 2024-08-30 | 2024-09-12 | -3.85 | 13 |