| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 93.0% | 100.0% |
| Cumulative Return | 6.45% | 8.9% |
| CAGR﹪ | 6.45% | 8.9% |
| Sharpe | 0.51 | 22.23 |
| Prob. Sharpe Ratio | 69.75% | 100.0% |
| Smart Sharpe | 0.46 | 20.01 |
| Sortino | 0.74 | - |
| Smart Sortino | 0.67 | - |
| Sortino/√2 | 0.53 | - |
| Smart Sortino/√2 | 0.47 | - |
| Omega | 1.1 | 1.1 |
| Max Drawdown | -14.5% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 13.82% | 0.38% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.44 | - |
| Skew | 0.05 | 4.94 |
| Kurtosis | 3.19 | 29.6 |
| Expected Daily | 0.02% | 0.03% |
| Expected Monthly | 0.48% | 0.66% |
| Expected Yearly | 3.17% | 4.35% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.4% | -0.01% |
| Expected Shortfall (cVaR) | -1.4% | -0.01% |
| Max Consecutive Wins | 7 | 255 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.1 | - |
| Gain/Pain (1M) | 0.51 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.1 | - |
| Common Sense Ratio | 1.15 | - |
| CPC Index | - | - |
| Tail Ratio | 1.05 | 5.43 |
| Outlier Win Ratio | 2.33 | 39.09 |
| Outlier Loss Ratio | 1.82 | - |
| MTD | 6.87% | 0.52% |
| 3M | 5.82% | 1.83% |
| 6M | 0.56% | 4.08% |
| YTD | 1.32% | 7.12% |
| 1Y | 6.45% | 8.9% |
| 3Y (ann.) | 6.45% | 8.9% |
| 5Y (ann.) | 6.45% | 8.9% |
| 10Y (ann.) | 6.45% | 8.9% |
| All-time (ann.) | 6.45% | 8.9% |
| Best Day | 3.82% | 0.18% |
| Worst Day | -3.41% | 0.0% |
| Best Month | 6.87% | 1.14% |
| Worst Month | -5.27% | 0.2% |
| Best Year | 5.06% | 7.12% |
| Worst Year | 1.32% | 1.66% |
| Avg. Drawdown | -3.03% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.44 | - |
| Ulcer Index | 0.07 | 0.0 |
| Serenity Index | 0.06 | - |
| Avg. Up Month | 2.68% | 0.55% |
| Avg. Down Month | - | - |
| Win Days | 54.01% | 100.0% |
| Win Month | 61.54% | 100.0% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.42 | - |
| Alpha | 0.04 | - |
| Correlation | 1.15% | - |
| Treynor Ratio | 15.33% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 1.66 | 5.06 | 3.05 | + |
| 2024 | 7.12 | 1.32 | 0.19 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-04-18 | 2024-11-22 | -14.50 | 218 |
| 2024-01-09 | 2024-02-22 | -5.38 | 44 |
| 2023-12-25 | 2024-01-03 | -2.79 | 9 |
| 2023-12-07 | 2023-12-21 | -2.62 | 14 |
| 2024-02-26 | 2024-03-15 | -1.85 | 18 |
| 2024-03-18 | 2024-03-22 | -1.10 | 4 |
| 2024-03-26 | 2024-04-09 | -1.00 | 14 |
| 2024-04-11 | 2024-04-16 | -0.45 | 5 |
| 2024-01-05 | 2024-01-08 | -0.37 | 3 |
| 2023-11-29 | 2023-11-30 | -0.20 | 1 |