| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 92.0% | 100.0% |
| Cumulative Return | 59.09% | 41.07% |
| CAGR﹪ | 11.22% | 8.2% |
| Sharpe | 1.05 | 14.6 |
| Prob. Sharpe Ratio | 97.21% | 99.99% |
| Smart Sharpe | 1.05 | 14.55 |
| Sortino | 1.39 | - |
| Smart Sortino | 1.38 | - |
| Sortino/√2 | 0.98 | - |
| Smart Sortino/√2 | 0.98 | - |
| Omega | 1.25 | 1.25 |
| Max Drawdown | -20.43% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 10.86% | 0.55% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.55 | - |
| Skew | -3.51 | 18.13 |
| Kurtosis | 60.05 | 384.07 |
| Expected Daily | 0.04% | 0.03% |
| Expected Monthly | 0.88% | 0.65% |
| Expected Yearly | 8.05% | 5.9% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.08% | -0.03% |
| Expected Shortfall (cVaR) | -1.08% | -0.03% |
| Max Consecutive Wins | 11 | 1080 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.25 | - |
| Gain/Pain (1M) | 1.28 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.25 | - |
| Common Sense Ratio | 1.41 | - |
| CPC Index | - | - |
| Tail Ratio | 1.13 | 3.61 |
| Outlier Win Ratio | 2.13 | 25.01 |
| Outlier Loss Ratio | 1.69 | - |
| MTD | 2.82% | 1.24% |
| 3M | 7.81% | 4.3% |
| 6M | 8.54% | 7.97% |
| YTD | 8.24% | 5.04% |
| 1Y | 20.27% | 12.88% |
| 3Y (ann.) | 10.09% | 9.81% |
| 5Y (ann.) | 11.22% | 8.2% |
| 10Y (ann.) | 11.22% | 8.2% |
| All-time (ann.) | 11.22% | 8.2% |
| Best Day | 4.59% | 0.77% |
| Worst Day | -10.6% | 0.0% |
| Best Month | 9.22% | 1.55% |
| Worst Month | -9.74% | 0.37% |
| Best Year | 27.37% | 10.0% |
| Worst Year | -5.83% | 0.47% |
| Avg. Drawdown | -1.37% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 2.89 | - |
| Ulcer Index | 0.06 | 0.0 |
| Serenity Index | 0.58 | - |
| Avg. Up Month | 2.38% | 0.68% |
| Avg. Down Month | - | - |
| Win Days | 57.0% | 100.0% |
| Win Month | 71.15% | 100.0% |
| Win Quarter | 73.68% | 100.0% |
| Win Year | 83.33% | 100.0% |
| Beta | 2.71 | - |
| Alpha | -0.1 | - |
| Correlation | 13.74% | - |
| Treynor Ratio | 21.78% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 0.47 | 1.29 | 2.75 | + |
| 2020 | 4.97 | 16.90 | 3.40 | + |
| 2021 | 5.82 | 3.49 | 0.60 | - |
| 2022 | 9.41 | -5.83 | -0.62 | - |
| 2023 | 10.00 | 27.37 | 2.74 | + |
| 2024 | 5.04 | 8.24 | 1.64 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-15 | 2023-03-20 | -20.43 | 521 |
| 2020-02-25 | 2020-04-23 | -9.63 | 58 |
| 2023-09-06 | 2024-02-01 | -4.40 | 148 |
| 2021-01-12 | 2021-05-18 | -4.37 | 126 |
| 2020-08-07 | 2020-11-16 | -3.48 | 101 |
| 2023-08-14 | 2023-08-29 | -3.10 | 15 |
| 2023-04-21 | 2023-05-15 | -2.25 | 24 |
| 2020-05-26 | 2020-06-30 | -2.18 | 35 |
| 2021-06-03 | 2021-07-05 | -1.97 | 32 |
| 2021-09-15 | 2021-10-05 | -1.73 | 20 |