| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 2.0% |
| Cumulative Return | 17.76% |
| CAGR﹪ | 1.92% |
| Sharpe | 0.62 |
| Prob. Sharpe Ratio | 98.76% |
| Smart Sharpe | 0.62 |
| Sortino | 1.36 |
| Smart Sortino | 1.35 |
| Sortino/√2 | 0.96 |
| Smart Sortino/√2 | 0.95 |
| Omega | 2.17 |
| Max Drawdown | -3.3% |
| Longest DD Days | 259 |
| Volatility (ann.) | 3.14% |
| Calmar | 0.58 |
| Skew | 11.24 |
| Kurtosis | 260.78 |
| Expected Daily | 0.01% |
| Expected Monthly | 0.23% |
| Expected Yearly | 2.36% |
| Kelly Criterion | 32.9% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -0.32% |
| Expected Shortfall (cVaR) | -0.32% |
| Max Consecutive Wins | 2 |
| Max Consecutive Losses | 1 |
| Gain/Pain Ratio | 1.17 |
| Gain/Pain (1M) | 1.34 |
| Payoff Ratio | 1.38 |
| Profit Factor | 2.17 |
| Common Sense Ratio | - |
| CPC Index | 1.82 |
| Tail Ratio | - |
| Outlier Win Ratio | 17.87 |
| Outlier Loss Ratio | -0.0 |
| MTD | 0.0% |
| 3M | -1.53% |
| 6M | 0.33% |
| YTD | 0.33% |
| 1Y | 3.23% |
| 3Y (ann.) | 2.05% |
| 5Y (ann.) | 1.06% |
| 10Y (ann.) | 1.92% |
| All-time (ann.) | 1.92% |
| Best Day | 4.7% |
| Worst Day | -1.86% |
| Best Month | 9.03% |
| Worst Month | -1.66% |
| Best Year | 8.05% |
| Worst Year | -2.39% |
| Avg. Drawdown | -1.43% |
| Avg. Drawdown Days | 88 |
| Recovery Factor | 5.08 |
| Ulcer Index | 0.01 |
| Serenity Index | 1.96 |
| Avg. Up Month | 1.85% |
| Avg. Down Month | -0.97% |
| Win Days | 61.11% |
| Win Month | 55.17% |
| Win Quarter | 61.9% |
| Win Year | 71.43% |
| Year | Return | Cumulative |
|---|---|---|
| 2019 | -1.08% | -1.08% |
| 2020 | 7.97% | 8.05% |
| 2021 | 2.28% | 2.28% |
| 2022 | -2.38% | -2.39% |
| 2023 | 7.43% | 7.67% |
| 2024 | 2.16% | 2.15% |
| 2025 | 0.38% | 0.33% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-05-30 | 2025-07-10 | -3.30 | 42 |
| 2022-07-15 | 2023-03-30 | -2.92 | 259 |
| 2020-10-16 | 2021-03-31 | -2.13 | 167 |
| 2019-12-13 | 2020-03-08 | -1.78 | 87 |
| 2022-05-31 | 2022-06-13 | -1.04 | 14 |
| 2024-01-18 | 2024-02-22 | -0.85 | 36 |
| 2024-05-08 | 2024-08-04 | -0.77 | 89 |
| 2021-07-26 | 2021-12-26 | -0.77 | 154 |
| 2023-06-20 | 2023-07-05 | -0.74 | 16 |
| 2023-07-14 | 2023-08-01 | -0.00 | 19 |