| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 5.0% |
| Cumulative Return | 40.45% |
| CAGR﹪ | 4.5% |
| Sharpe | 0.99 |
| Prob. Sharpe Ratio | 99.99% |
| Smart Sharpe | 0.96 |
| Sortino | 2.28 |
| Smart Sortino | 2.2 |
| Sortino/√2 | 1.61 |
| Smart Sortino/√2 | 1.55 |
| Omega | 2.49 |
| Max Drawdown | -4.28% |
| Longest DD Days | 504 |
| Volatility (ann.) | 4.55% |
| Calmar | 1.05 |
| Skew | 9.41 |
| Kurtosis | 168.81 |
| Expected Daily | 0.02% |
| Expected Monthly | 0.52% |
| Expected Yearly | 5.82% |
| Kelly Criterion | 39.08% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -0.45% |
| Expected Shortfall (cVaR) | -0.45% |
| Max Consecutive Wins | 2 |
| Max Consecutive Losses | 1 |
| Gain/Pain Ratio | 1.49 |
| Gain/Pain (1M) | 2.86 |
| Payoff Ratio | 1.32 |
| Profit Factor | 2.49 |
| Common Sense Ratio | - |
| CPC Index | 2.14 |
| Tail Ratio | - |
| Outlier Win Ratio | 28.74 |
| Outlier Loss Ratio | 0.01 |
| MTD | 0.0% |
| 3M | -1.35% |
| 6M | 0.55% |
| YTD | 2.51% |
| 1Y | 3.65% |
| 3Y (ann.) | 4.65% |
| 5Y (ann.) | 4.91% |
| 10Y (ann.) | 4.5% |
| All-time (ann.) | 4.5% |
| Best Day | 5.84% |
| Worst Day | -1.88% |
| Best Month | 11.97% |
| Worst Month | -1.6% |
| Best Year | 14.01% |
| Worst Year | -0.22% |
| Avg. Drawdown | -1.85% |
| Avg. Drawdown Days | 144 |
| Recovery Factor | 8.12 |
| Ulcer Index | 0.02 |
| Serenity Index | 1.64 |
| Avg. Up Month | 1.76% |
| Avg. Down Month | -0.76% |
| Win Days | 65.38% |
| Win Month | 62.79% |
| Win Quarter | 57.14% |
| Win Year | 83.33% |
| Year | Return | Cumulative |
|---|---|---|
| 2019 | -0.21% | -0.22% |
| 2020 | 13.36% | 14.01% |
| 2021 | 3.0% | 3.01% |
| 2022 | 3.38% | 3.27% |
| 2023 | 12.72% | 13.21% |
| 2024 | 2.5% | 2.51% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-07-18 | 2023-05-25 | -4.28 | 312 |
| 2020-07-15 | 2021-11-30 | -4.00 | 504 |
| 2022-04-20 | 2022-06-16 | -2.44 | 58 |
| 2024-09-12 | 2024-10-14 | -1.35 | 33 |
| 2019-10-09 | 2020-03-01 | -1.06 | 145 |
| 2023-09-14 | 2023-10-16 | -0.94 | 33 |
| 2023-07-07 | 2023-07-19 | -0.76 | 13 |
| 2020-04-23 | 2020-06-11 | -0.01 | 50 |