| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 28.43% | 62.44% |
| CAGR﹪ | 5.58% | 11.11% |
| Sharpe | 0.35 | 18.0 |
| Prob. Sharpe Ratio | 76.79% | 100.0% |
| Smart Sharpe | 0.34 | 17.48 |
| Sortino | 0.46 | - |
| Smart Sortino | 0.45 | - |
| Sortino/√2 | 0.32 | - |
| Smart Sortino/√2 | 0.32 | - |
| Omega | 1.07 | 1.07 |
| Max Drawdown | -54.41% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 24.33% | 0.59% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.1 | - |
| Skew | -1.64 | 13.19 |
| Kurtosis | 17.29 | 254.07 |
| Expected Daily | 0.02% | 0.04% |
| Expected Monthly | 0.44% | 0.85% |
| Expected Yearly | 4.26% | 8.42% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.49% | -0.02% |
| Expected Shortfall (cVaR) | -2.49% | -0.02% |
| Max Consecutive Wins | 10 | 1148 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | 0.07 | - |
| Gain/Pain (1M) | 0.28 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.07 | - |
| Common Sense Ratio | 0.99 | - |
| CPC Index | - | - |
| Tail Ratio | 0.92 | 5.08 |
| Outlier Win Ratio | 2.21 | 46.42 |
| Outlier Loss Ratio | 1.69 | - |
| MTD | -2.12% | 0.24% |
| 3M | 3.03% | 5.56% |
| 6M | 9.49% | 11.11% |
| YTD | 3.03% | 5.56% |
| 1Y | -5.69% | 20.68% |
| 3Y (ann.) | 14.9% | 13.57% |
| 5Y (ann.) | 5.58% | 11.11% |
| 10Y (ann.) | 5.58% | 11.11% |
| All-time (ann.) | 5.58% | 11.11% |
| Best Day | 8.3% | 0.77% |
| Worst Day | -14.27% | 0.0% |
| Best Month | 15.31% | 1.83% |
| Worst Month | -31.78% | 0.24% |
| Best Year | 51.35% | 18.74% |
| Worst Year | -37.9% | 1.77% |
| Avg. Drawdown | -4.05% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.52 | - |
| Ulcer Index | 0.25 | 0.0 |
| Serenity Index | 0.04 | - |
| Avg. Up Month | 5.39% | 0.85% |
| Avg. Down Month | - | - |
| Win Days | 55.29% | 100.0% |
| Win Month | 57.89% | 100.0% |
| Win Quarter | 60.0% | 100.0% |
| Win Year | 83.33% | 100.0% |
| Beta | 4.58 | - |
| Alpha | -0.4 | - |
| Correlation | 11.13% | - |
| Treynor Ratio | 6.21% | - |
| 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 | 5.56 | 3.03 | 0.54 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2025-04-03 | -54.41 | 1260 |
| 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 |