| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 31.41% | 74.78% |
| CAGR﹪ | 5.59% | 11.76% |
| Sharpe | 0.35 | 19.41 |
| Prob. Sharpe Ratio | 77.82% | 100.0% |
| Smart Sharpe | 0.34 | 18.91 |
| Sortino | 0.46 | - |
| Smart Sortino | 0.45 | - |
| Sortino/√2 | 0.33 | - |
| Smart Sortino/√2 | 0.32 | - |
| Omega | 1.07 | 1.07 |
| Max Drawdown | -54.41% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 24.2% | 0.58% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.1 | - |
| Skew | -1.54 | 12.9 |
| Kurtosis | 16.19 | 255.15 |
| Expected Daily | 0.02% | 0.04% |
| Expected Monthly | 0.44% | 0.9% |
| Expected Yearly | 4.66% | 9.75% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.47% | -0.02% |
| Expected Shortfall (cVaR) | -2.47% | -0.02% |
| Max Consecutive Wins | 10 | 1259 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | 0.07 | - |
| Gain/Pain (1M) | 0.3 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.07 | - |
| Common Sense Ratio | 0.99 | - |
| CPC Index | - | - |
| Tail Ratio | 0.93 | 5.08 |
| Outlier Win Ratio | 2.16 | 43.57 |
| Outlier Loss Ratio | 1.68 | - |
| MTD | -1.49% | 0.13% |
| 3M | 6.1% | 4.42% |
| 6M | -6.77% | 9.68% |
| YTD | 5.42% | 13.58% |
| 1Y | 17.62% | 21.59% |
| 3Y (ann.) | 23.55% | 15.2% |
| 5Y (ann.) | 6.7% | 11.87% |
| 10Y (ann.) | 5.59% | 11.76% |
| All-time (ann.) | 5.59% | 11.76% |
| Best Day | 8.3% | 0.77% |
| Worst Day | -14.27% | 0.0% |
| Best Month | 15.31% | 1.83% |
| Worst Month | -31.78% | 0.13% |
| Best Year | 51.35% | 18.74% |
| Worst Year | -37.9% | 1.77% |
| Avg. Drawdown | -4.05% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.58 | - |
| Ulcer Index | 0.24 | 0.0 |
| Serenity Index | 0.04 | - |
| Avg. Up Month | 5.31% | 0.89% |
| Avg. Down Month | - | - |
| Win Days | 54.98% | 100.0% |
| Win Month | 56.45% | 100.0% |
| Win Quarter | 61.9% | 100.0% |
| Win Year | 83.33% | 100.0% |
| Beta | 4.42 | - |
| Alpha | -0.41 | - |
| Correlation | 10.51% | - |
| Treynor Ratio | 7.11% | - |
| 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 | 13.58 | 5.42 | 0.40 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2025-09-02 | -54.41 | 1412 |
| 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 |