| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 23.46% | 25.34% |
| CAGR﹪ | 7.03% | 7.55% |
| Sharpe | 0.4 | 12.0 |
| Prob. Sharpe Ratio | 75.11% | 99.98% |
| Smart Sharpe | 0.39 | 11.55 |
| Sortino | 0.51 | - |
| Smart Sortino | 0.49 | - |
| Sortino/√2 | 0.36 | - |
| Smart Sortino/√2 | 0.35 | - |
| Omega | 1.09 | 1.09 |
| Max Drawdown | -54.41% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 25.88% | 0.62% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.13 | - |
| Skew | -2.29 | 17.99 |
| Kurtosis | 19.16 | 340.12 |
| Expected Daily | 0.03% | 0.03% |
| Expected Monthly | 0.54% | 0.58% |
| Expected Yearly | 5.41% | 5.81% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.64% | -0.03% |
| Expected Shortfall (cVaR) | -2.64% | -0.03% |
| Max Consecutive Wins | 10 | 764 |
| Max Consecutive Losses | 5 | 0 |
| Gain/Pain Ratio | 0.09 | - |
| Gain/Pain (1M) | 0.33 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.09 | - |
| Common Sense Ratio | 0.97 | - |
| CPC Index | - | - |
| Tail Ratio | 0.9 | 2.72 |
| Outlier Win Ratio | 2.16 | 65.65 |
| Outlier Loss Ratio | 2.06 | - |
| MTD | 0.16% | 0.04% |
| 3M | 13.11% | 2.34% |
| 6M | 31.9% | 4.34% |
| YTD | 50.15% | 6.39% |
| 1Y | 74.14% | 8.37% |
| 3Y (ann.) | 11.29% | 7.68% |
| 5Y (ann.) | 7.03% | 7.55% |
| 10Y (ann.) | 7.03% | 7.55% |
| All-time (ann.) | 7.03% | 7.55% |
| Best Day | 7.62% | 0.77% |
| Worst Day | -14.27% | 0.0% |
| Best Month | 15.31% | 1.55% |
| Worst Month | -31.78% | 0.04% |
| Best Year | 50.15% | 9.41% |
| Worst Year | -37.9% | 1.77% |
| Avg. Drawdown | -4.05% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.43 | - |
| Ulcer Index | 0.29 | 0.0 |
| Serenity Index | 0.03 | - |
| Avg. Up Month | 5.42% | 0.57% |
| Avg. Down Month | - | - |
| Win Days | 56.55% | 100.0% |
| Win Month | 61.54% | 100.0% |
| Win Quarter | 64.29% | 100.0% |
| Win Year | 75.0% | 100.0% |
| Beta | 6.19 | - |
| Alpha | -0.36 | - |
| Correlation | 14.82% | - |
| Treynor Ratio | 3.79% | - |
| 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 | 6.39 | 50.15 | 7.85 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2023-10-02 | -54.41 | 711 |
| 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 |