| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 4.0% |
| Cumulative Return | 38.2% |
| CAGR﹪ | 3.1% |
| Sharpe | 0.8 |
| Prob. Sharpe Ratio | 99.83% |
| Smart Sharpe | 0.8 |
| Sortino | 1.54 |
| Smart Sortino | 1.54 |
| Sortino/√2 | 1.09 |
| Smart Sortino/√2 | 1.09 |
| Omega | 1.98 |
| Max Drawdown | -6.84% |
| Longest DD Days | 414 |
| Volatility (ann.) | 3.91% |
| Calmar | 0.45 |
| Skew | 5.24 |
| Kurtosis | 92.35 |
| Expected Daily | 0.01% |
| Expected Monthly | 0.36% |
| Expected Yearly | 4.13% |
| Kelly Criterion | 28.07% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -0.39% |
| Expected Shortfall (cVaR) | -0.39% |
| Max Consecutive Wins | 1 |
| Max Consecutive Losses | 3 |
| Gain/Pain Ratio | 0.98 |
| Gain/Pain (1M) | 1.4 |
| Payoff Ratio | 1.52 |
| Profit Factor | 1.98 |
| Common Sense Ratio | - |
| CPC Index | 1.7 |
| Tail Ratio | - |
| Outlier Win Ratio | 41.78 |
| Outlier Loss Ratio | 0.69 |
| MTD | -0.0% |
| 3M | 1.3% |
| 6M | 3.6% |
| YTD | 2.46% |
| 1Y | 3.58% |
| 3Y (ann.) | 1.87% |
| 5Y (ann.) | 1.74% |
| 10Y (ann.) | 3.1% |
| All-time (ann.) | 3.1% |
| Best Day | 4.51% |
| Worst Day | -2.61% |
| Best Month | 7.26% |
| Worst Month | -2.89% |
| Best Year | 11.07% |
| Worst Year | -4.95% |
| Avg. Drawdown | -2.21% |
| Avg. Drawdown Days | 162 |
| Recovery Factor | 4.85 |
| Ulcer Index | 0.02 |
| Serenity Index | 1.14 |
| Avg. Up Month | 1.63% |
| Avg. Down Month | -1.08% |
| Win Days | 56.67% |
| Win Month | 61.4% |
| Win Quarter | 65.52% |
| Win Year | 75.0% |
| 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 | 10.74% | 11.07% |
| 2026 | 2.53% | 2.46% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-05-21 | 2025-04-14 | -6.84 | 329 |
| 2025-09-02 | 2026-10-20 | -3.96 | 414 |
| 2025-05-08 | 2025-08-13 | -2.89 | 98 |
| 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 |