Metric | Strategy |
---|---|
Risk-Free Rate | 0.0% |
Time in Market | 4.0% |
Cumulative Return | 31.75% |
CAGR﹪ | 3.26% |
Sharpe | 0.83 |
Prob. Sharpe Ratio | 99.78% |
Smart Sharpe | 0.83 |
Sortino | 1.72 |
Smart Sortino | 1.72 |
Sortino/√2 | 1.22 |
Smart Sortino/√2 | 1.21 |
Omega | 2.04 |
Max Drawdown | -6.84% |
Longest DD Days | 329 |
Volatility (ann.) | 3.95% |
Calmar | 0.48 |
Skew | 6.43 |
Kurtosis | 98.86 |
Expected Daily | 0.01% |
Expected Monthly | 0.38% |
Expected Yearly | 4.02% |
Kelly Criterion | 29.33% |
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 | 1.04 |
Gain/Pain (1M) | 1.5 |
Payoff Ratio | 1.51 |
Profit Factor | 2.04 |
Common Sense Ratio | - |
CPC Index | 1.77 |
Tail Ratio | - |
Outlier Win Ratio | 37.22 |
Outlier Loss Ratio | 0.72 |
MTD | 0.0% |
3M | 4.17% |
6M | 8.49% |
YTD | 8.49% |
1Y | 3.36% |
3Y (ann.) | 0.93% |
5Y (ann.) | 2.53% |
10Y (ann.) | 3.26% |
All-time (ann.) | 3.26% |
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 | 146 |
Recovery Factor | 4.13 |
Ulcer Index | 0.02 |
Serenity Index | 0.97 |
Avg. Up Month | 1.69% |
Avg. Down Month | -1.11% |
Win Days | 57.53% |
Win Month | 62.22% |
Win Quarter | 65.22% |
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 | 8.35% | 8.49% |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2024-05-21 | 2025-04-14 | -6.84 | 329 |
2025-05-08 | 2025-06-27 | -2.89 | 51 |
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 |