| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 4.0% |
| Cumulative Return | 33.17% |
| CAGR﹪ | 3.36% |
| Sharpe | 0.86 |
| Prob. Sharpe Ratio | 99.85% |
| Smart Sharpe | 0.85 |
| Sortino | 1.78 |
| Smart Sortino | 1.77 |
| Sortino/√2 | 1.26 |
| Smart Sortino/√2 | 1.25 |
| Omega | 2.08 |
| Max Drawdown | -6.84% |
| Longest DD Days | 329 |
| Volatility (ann.) | 3.94% |
| Calmar | 0.49 |
| Skew | 6.41 |
| Kurtosis | 98.23 |
| Expected Daily | 0.01% |
| Expected Monthly | 0.39% |
| Expected Yearly | 4.18% |
| Kelly Criterion | 30.16% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -0.4% |
| Expected Shortfall (cVaR) | -0.4% |
| Max Consecutive Wins | 1 |
| Max Consecutive Losses | 3 |
| Gain/Pain Ratio | 1.08 |
| Gain/Pain (1M) | 1.56 |
| Payoff Ratio | 1.5 |
| Profit Factor | 2.08 |
| Common Sense Ratio | - |
| CPC Index | 1.81 |
| Tail Ratio | - |
| Outlier Win Ratio | 37.25 |
| Outlier Loss Ratio | 0.7 |
| MTD | 1.08% |
| 3M | -1.84% |
| 6M | 9.66% |
| YTD | 9.66% |
| 1Y | 4.47% |
| 3Y (ann.) | 1.19% |
| 5Y (ann.) | 2.69% |
| 10Y (ann.) | 3.36% |
| All-time (ann.) | 3.36% |
| Best Day | 4.51% |
| Worst Day | -1.64% |
| Best Month | 7.26% |
| Worst Month | -2.89% |
| Best Year | 9.98% |
| Worst Year | -4.95% |
| Avg. Drawdown | -2.26% |
| Avg. Drawdown Days | 148 |
| Recovery Factor | 4.28 |
| Ulcer Index | 0.02 |
| Serenity Index | 1.0 |
| Avg. Up Month | 1.67% |
| Avg. Down Month | -1.11% |
| Win Days | 58.11% |
| Win Month | 63.04% |
| Win Quarter | 66.67% |
| Win Year | 71.43% |
| Year | Return | Cumulative |
|---|---|---|
| 2019 | 5.72% | 5.79% |
| 2020 | 7.64% | 7.85% |
| 2021 | 9.63% | 9.98% |
| 2022 | 2.01% | 1.96% |
| 2023 | -0.11% | -0.14% |
| 2024 | -5.01% | -4.95% |
| 2025 | 9.43% | 9.66% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-05-21 | 2025-04-14 | -6.84 | 329 |
| 2025-05-08 | 2025-07-18 | -2.89 | 72 |
| 2021-12-22 | 2022-05-25 | -2.52 | 155 |
| 2023-04-06 | 2024-01-30 | -1.99 | 300 |
| 2021-08-19 | 2021-12-06 | -1.57 | 110 |
| 2019-07-30 | 2019-08-07 | -1.56 | 9 |
| 2022-09-05 | 2023-03-09 | -1.30 | 186 |
| 2020-10-06 | 2021-03-16 | -1.05 | 162 |
| 2024-03-07 | 2024-03-19 | -0.60 | 13 |