| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 5.0% |
| Cumulative Return | 44.4% |
| CAGR﹪ | 3.81% |
| Sharpe | 0.85 |
| Prob. Sharpe Ratio | 99.95% |
| Smart Sharpe | 0.83 |
| Sortino | 1.78 |
| Smart Sortino | 1.73 |
| Sortino/√2 | 1.26 |
| Smart Sortino/√2 | 1.22 |
| Omega | 2.1 |
| Max Drawdown | -4.28% |
| Longest DD Days | 504 |
| Volatility (ann.) | 4.49% |
| Calmar | 0.89 |
| Skew | 8.34 |
| Kurtosis | 154.98 |
| Expected Daily | 0.01% |
| Expected Monthly | 0.44% |
| Expected Yearly | 4.7% |
| Kelly Criterion | 32.93% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -0.45% |
| Expected Shortfall (cVaR) | -0.45% |
| Max Consecutive Wins | 2 |
| Max Consecutive Losses | 1 |
| Gain/Pain Ratio | 1.1 |
| Gain/Pain (1M) | 1.83 |
| Payoff Ratio | 1.25 |
| Profit Factor | 2.1 |
| Common Sense Ratio | - |
| CPC Index | 1.65 |
| Tail Ratio | - |
| Outlier Win Ratio | 29.33 |
| Outlier Loss Ratio | 0.88 |
| MTD | 0.0% |
| 3M | -0.68% |
| 6M | 1.77% |
| YTD | -0.68% |
| 1Y | 5.34% |
| 3Y (ann.) | 4.07% |
| 5Y (ann.) | 3.43% |
| 10Y (ann.) | 3.81% |
| All-time (ann.) | 3.81% |
| Best Day | 5.84% |
| Worst Day | -2.04% |
| Best Month | 11.97% |
| Worst Month | -2.28% |
| Best Year | 14.01% |
| Worst Year | -0.68% |
| Avg. Drawdown | -2.0% |
| Avg. Drawdown Days | 162 |
| Recovery Factor | 8.82 |
| Ulcer Index | 0.02 |
| Serenity Index | 1.7 |
| Avg. Up Month | 1.68% |
| Avg. Down Month | -0.94% |
| Win Days | 62.75% |
| Win Month | 61.4% |
| Win Quarter | 51.85% |
| Win Year | 75.0% |
| Year | Return | Cumulative |
|---|---|---|
| 2019 | -0.21% | -0.22% |
| 2020 | 13.36% | 14.01% |
| 2021 | 3.0% | 3.01% |
| 2022 | 3.38% | 3.27% |
| 2023 | 12.72% | 13.21% |
| 2024 | 0.79% | 0.75% |
| 2025 | 5.33% | 5.33% |
| 2026 | -0.65% | -0.68% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-07-18 | 2023-05-25 | -4.28 | 312 |
| 2020-07-15 | 2021-11-30 | -4.00 | 504 |
| 2024-09-12 | 2025-04-29 | -3.70 | 230 |
| 2025-08-06 | 2026-04-02 | -2.78 | 240 |
| 2022-04-20 | 2022-06-16 | -2.44 | 58 |
| 2019-10-09 | 2020-03-01 | -1.06 | 145 |
| 2023-09-14 | 2023-10-16 | -0.94 | 33 |
| 2023-07-07 | 2023-07-19 | -0.76 | 13 |
| 2020-04-23 | 2020-06-11 | -0.01 | 50 |
| 2025-06-17 | 2025-07-23 | -0.01 | 37 |