| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 25.05% | 81.98% |
| CAGR﹪ | 4.33% | 12.01% |
| Sharpe | 0.3 | 20.18 |
| Prob. Sharpe Ratio | 75.01% | 100.0% |
| Smart Sharpe | 0.29 | 19.75 |
| Sortino | 0.4 | - |
| Smart Sortino | 0.39 | - |
| Sortino/√2 | 0.28 | - |
| Smart Sortino/√2 | 0.27 | - |
| Omega | 1.06 | 1.06 |
| Max Drawdown | -54.41% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 24.24% | 0.56% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.08 | - |
| Skew | -1.4 | 13.0 |
| Kurtosis | 15.36 | 262.8 |
| Expected Daily | 0.02% | 0.05% |
| Expected Monthly | 0.34% | 0.93% |
| Expected Yearly | 3.8% | 10.49% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.48% | -0.01% |
| Expected Shortfall (cVaR) | -2.48% | -0.01% |
| Max Consecutive Wins | 10 | 1327 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | 0.06 | - |
| Gain/Pain (1M) | 0.25 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.06 | - |
| Common Sense Ratio | 0.99 | - |
| CPC Index | - | - |
| Tail Ratio | 0.93 | 4.82 |
| Outlier Win Ratio | 2.13 | 43.06 |
| Outlier Loss Ratio | 1.67 | - |
| MTD | 0.8% | 0.32% |
| 3M | -5.27% | 4.02% |
| 6M | -0.94% | 8.47% |
| YTD | 0.32% | 18.26% |
| 1Y | 18.9% | 20.11% |
| 3Y (ann.) | 15.22% | 16.04% |
| 5Y (ann.) | 2.24% | 12.54% |
| 10Y (ann.) | 4.33% | 12.01% |
| All-time (ann.) | 4.33% | 12.01% |
| Best Day | 8.3% | 0.77% |
| Worst Day | -14.27% | 0.0% |
| Best Month | 15.31% | 1.83% |
| Worst Month | -31.78% | 0.28% |
| Best Year | 51.35% | 18.74% |
| Worst Year | -37.9% | 1.77% |
| Avg. Drawdown | -4.05% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.46 | - |
| Ulcer Index | 0.24 | 0.0 |
| Serenity Index | 0.04 | - |
| Avg. Up Month | 5.21% | 0.88% |
| Avg. Down Month | - | - |
| Win Days | 54.37% | 100.0% |
| Win Month | 56.92% | 100.0% |
| Win Quarter | 59.09% | 100.0% |
| Win Year | 83.33% | 100.0% |
| Beta | 4.36 | - |
| Alpha | -0.42 | - |
| Correlation | 10.13% | - |
| Treynor Ratio | 5.75% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 1.77 | 10.54 | 5.96 | + |
| 2021 | 5.82 | 19.78 | 3.40 | + |
| 2022 | 9.41 | -37.90 | -4.03 | - |
| 2023 | 10.00 | 51.35 | 5.14 | + |
| 2024 | 18.74 | 0.16 | 0.01 | - |
| 2025 | 18.26 | 0.32 | 0.02 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2025-12-05 | -54.41 | 1506 |
| 2020-08-27 | 2020-11-09 | -9.62 | 74 |
| 2021-01-12 | 2021-03-12 | -6.17 | 59 |
| 2021-07-08 | 2021-08-10 | -4.35 | 33 |
| 2021-03-16 | 2021-04-22 | -4.01 | 37 |
| 2020-12-18 | 2020-12-30 | -3.10 | 12 |
| 2021-09-16 | 2021-09-27 | -2.59 | 11 |
| 2021-08-18 | 2021-09-01 | -2.39 | 14 |
| 2021-06-15 | 2021-07-01 | -1.97 | 16 |
| 2021-04-28 | 2021-05-05 | -1.62 | 7 |