| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 8.0% |
| Cumulative Return | 26.71% |
| CAGR﹪ | 3.13% |
| Sharpe | 0.9 |
| Prob. Sharpe Ratio | 99.52% |
| Smart Sharpe | 0.9 |
| Sortino | 1.46 |
| Smart Sortino | 1.46 |
| Sortino/√2 | 1.03 |
| Smart Sortino/√2 | 1.03 |
| Omega | 1.75 |
| Max Drawdown | -5.8% |
| Longest DD Days | 506 |
| Volatility (ann.) | 3.49% |
| Calmar | 0.54 |
| Skew | 2.13 |
| Kurtosis | 61.21 |
| Expected Daily | 0.01% |
| Expected Monthly | 0.36% |
| Expected Yearly | 4.03% |
| Kelly Criterion | 27.89% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -0.35% |
| Expected Shortfall (cVaR) | -0.35% |
| Max Consecutive Wins | 2 |
| Max Consecutive Losses | 3 |
| Gain/Pain Ratio | 0.75 |
| Gain/Pain (1M) | 1.4 |
| Payoff Ratio | 0.94 |
| Profit Factor | 1.75 |
| Common Sense Ratio | - |
| CPC Index | 1.07 |
| Tail Ratio | - |
| Outlier Win Ratio | 30.29 |
| Outlier Loss Ratio | 1.29 |
| MTD | -0.05% |
| 3M | -0.79% |
| 6M | 3.52% |
| YTD | 6.68% |
| 1Y | 5.61% |
| 3Y (ann.) | 2.75% |
| 5Y (ann.) | 3.04% |
| 10Y (ann.) | 3.13% |
| All-time (ann.) | 3.13% |
| Best Day | 3.56% |
| Worst Day | -2.14% |
| Best Month | 6.05% |
| Worst Month | -1.94% |
| Best Year | 11.31% |
| Worst Year | -5.57% |
| Avg. Drawdown | -2.01% |
| Avg. Drawdown Days | 114 |
| Recovery Factor | 4.17 |
| Ulcer Index | 0.02 |
| Serenity Index | 0.74 |
| Avg. Up Month | 1.43% |
| Avg. Down Month | -0.75% |
| Win Days | 65.03% |
| Win Month | 55.77% |
| Win Quarter | 61.9% |
| Win Year | 83.33% |
| Year | Return | Cumulative |
|---|---|---|
| 2019 | 1.12% | 1.1% |
| 2020 | 7.9% | 8.03% |
| 2021 | 3.46% | 3.47% |
| 2022 | 10.85% | 11.31% |
| 2023 | -5.69% | -5.57% |
| 2024 | 6.51% | 6.68% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-01-24 | 2024-06-12 | -5.80 | 506 |
| 2020-04-24 | 2020-09-13 | -3.40 | 143 |
| 2022-05-23 | 2022-08-08 | -2.63 | 78 |
| 2019-10-10 | 2020-03-04 | -2.16 | 147 |
| 2020-11-24 | 2021-01-24 | -2.11 | 62 |
| 2024-07-11 | 2024-10-14 | -1.61 | 96 |
| 2021-05-13 | 2021-09-27 | -1.59 | 138 |
| 2022-02-17 | 2022-03-02 | -1.44 | 14 |
| 2022-11-15 | 2022-12-29 | -1.29 | 45 |
| 2022-04-19 | 2022-04-25 | -0.13 | 7 |