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 |