| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 23.31% | 13.28% |
| CAGR﹪ | 11.67% | 6.79% |
| Sharpe | 0.59 | 12.98 |
| Prob. Sharpe Ratio | 73.64% | 99.07% |
| Smart Sharpe | 0.56 | 12.36 |
| Sortino | 0.72 | - |
| Smart Sortino | 0.68 | - |
| Sortino/√2 | 0.51 | - |
| Smart Sortino/√2 | 0.48 | - |
| Omega | 1.14 | 1.14 |
| Max Drawdown | -50.23% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 39.16% | 0.66% |
| R^2 | 0.48 | 0.48 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.23 | - |
| Skew | -6.29 | 18.46 |
| Kurtosis | 86.84 | 348.81 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.05% | 0.63% |
| Expected Yearly | 7.23% | 4.25% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.97% | -0.03% |
| Expected Shortfall (cVaR) | -3.97% | -0.03% |
| Max Consecutive Wins | 8 | 365 |
| Max Consecutive Losses | 7 | 0 |
| Gain/Pain Ratio | 0.14 | - |
| Gain/Pain (1M) | 0.4 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.14 | - |
| Common Sense Ratio | 1.5 | - |
| CPC Index | - | - |
| Tail Ratio | 1.31 | 1.86 |
| Outlier Win Ratio | 1.85 | 70.34 |
| Outlier Loss Ratio | 1.74 | - |
| MTD | -4.99% | 0.81% |
| 3M | 12.6% | 2.52% |
| 6M | 35.19% | 3.63% |
| YTD | 50.41% | 4.99% |
| 1Y | 88.63% | 7.14% |
| 3Y (ann.) | 11.67% | 6.79% |
| 5Y (ann.) | 11.67% | 6.79% |
| 10Y (ann.) | 11.67% | 6.79% |
| All-time (ann.) | 11.67% | 6.79% |
| Best Day | 9.98% | 0.82% |
| Worst Day | -32.81% | 0.0% |
| Best Month | 28.06% | 0.82% |
| Worst Month | -32.81% | 0.0% |
| Best Year | 50.41% | 6.57% |
| Worst Year | -24.1% | 1.25% |
| Avg. Drawdown | -5.4% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.46 | - |
| Ulcer Index | 0.27 | 0.0 |
| Serenity Index | 0.04 | - |
| Avg. Up Month | 9.3% | 0.65% |
| Avg. Down Month | - | - |
| Win Days | 54.78% | 100.0% |
| Win Month | 68.42% | 100.0% |
| Win Quarter | 75.0% | 100.0% |
| Win Year | 66.67% | 100.0% |
| Beta | -40.84 | - |
| Alpha | 3.74 | - |
| Correlation | -69.04% | - |
| Treynor Ratio | -0.57% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.25 | 8.01 | 6.43 | + |
| 2022 | 6.57 | -24.10 | -3.67 | - |
| 2023 | 4.99 | 50.41 | 10.09 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-06 | 2023-06-14 | -50.23 | 524 |
| 2023-08-14 | 2023-09-22 | -8.98 | 39 |
| 2021-11-23 | 2022-01-04 | -6.38 | 42 |
| 2021-11-17 | 2021-11-22 | -1.71 | 5 |
| 2023-06-20 | 2023-06-26 | -1.65 | 6 |
| 2023-07-20 | 2023-07-28 | -1.46 | 8 |
| 2023-07-03 | 2023-07-07 | -1.07 | 4 |
| 2021-11-08 | 2021-11-12 | -0.81 | 4 |
| 2023-07-17 | 2023-07-19 | -0.79 | 2 |
| 2023-08-07 | 2023-08-09 | -0.76 | 2 |