| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 37.37% | 16.46% |
| CAGR﹪ | 16.52% | 7.61% |
| Sharpe | 0.76 | 13.94 |
| Prob. Sharpe Ratio | 81.2% | 99.24% |
| Smart Sharpe | 0.7 | 12.85 |
| Sortino | 0.96 | - |
| Smart Sortino | 0.89 | - |
| Sortino/√2 | 0.68 | - |
| Smart Sortino/√2 | 0.63 | - |
| Omega | 1.19 | 1.19 |
| Max Drawdown | -36.95% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 29.85% | 0.61% |
| R^2 | 0.38 | 0.38 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.45 | - |
| Skew | -5.39 | 19.04 |
| Kurtosis | 83.48 | 387.45 |
| Expected Daily | 0.07% | 0.03% |
| Expected Monthly | 1.33% | 0.64% |
| Expected Yearly | 11.16% | 5.21% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.0% | -0.03% |
| Expected Shortfall (cVaR) | -3.0% | -0.03% |
| Max Consecutive Wins | 9 | 449 |
| Max Consecutive Losses | 9 | 0 |
| Gain/Pain Ratio | 0.19 | - |
| Gain/Pain (1M) | 0.79 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.19 | - |
| Common Sense Ratio | 1.38 | - |
| CPC Index | - | - |
| Tail Ratio | 1.16 | 2.07 |
| Outlier Win Ratio | 2.38 | 70.6 |
| Outlier Loss Ratio | 1.6 | - |
| MTD | -2.47% | 0.81% |
| 3M | 12.09% | 2.52% |
| 6M | 21.05% | 4.88% |
| YTD | 41.38% | 6.34% |
| 1Y | 80.79% | 8.51% |
| 3Y (ann.) | 16.52% | 7.61% |
| 5Y (ann.) | 16.52% | 7.61% |
| 10Y (ann.) | 16.52% | 7.61% |
| All-time (ann.) | 16.52% | 7.61% |
| Best Day | 9.11% | 0.82% |
| Worst Day | -25.97% | 0.0% |
| Best Month | 19.21% | 0.82% |
| Worst Month | -25.97% | 0.41% |
| Best Year | 41.38% | 6.57% |
| Worst Year | -4.77% | 2.77% |
| Avg. Drawdown | -4.24% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 1.01 | - |
| Ulcer Index | 0.18 | 0.0 |
| Serenity Index | 0.11 | - |
| Avg. Up Month | 5.77% | 0.64% |
| Avg. Down Month | - | - |
| Win Days | 54.85% | 100.0% |
| Win Month | 66.67% | 100.0% |
| Win Quarter | 77.78% | 100.0% |
| Win Year | 66.67% | 100.0% |
| Beta | -30.06 | - |
| Alpha | 2.79 | - |
| Correlation | -61.65% | - |
| Treynor Ratio | -1.24% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.77 | 2.03 | 0.73 | - |
| 2022 | 6.57 | -4.77 | -0.73 | - |
| 2023 | 6.34 | 41.38 | 6.53 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-25 | 2023-03-30 | -36.95 | 398 |
| 2021-09-07 | 2021-11-12 | -6.90 | 66 |
| 2023-08-14 | 2023-09-05 | -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 |
| 2023-09-08 | 2023-09-22 | -4.23 | 14 |
| 2022-01-06 | 2022-01-13 | -2.35 | 7 |
| 2023-07-10 | 2023-07-12 | -1.40 | 2 |
| 2023-07-20 | 2023-07-31 | -1.37 | 11 |