| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 4.0% |
| Cumulative Return | 16.17% |
| CAGR﹪ | 1.62% |
| Sharpe | 0.66 |
| Prob. Sharpe Ratio | 97.46% |
| Smart Sharpe | 0.64 |
| Sortino | 0.97 |
| Smart Sortino | 0.94 |
| Sortino/√2 | 0.69 |
| Smart Sortino/√2 | 0.66 |
| Omega | 1.75 |
| Max Drawdown | -3.4% |
| Longest DD Days | 730 |
| Volatility (ann.) | 2.49% |
| Calmar | 0.48 |
| Skew | -0.58 |
| Kurtosis | 85.23 |
| Expected Daily | 0.01% |
| Expected Monthly | 0.19% |
| Expected Yearly | 2.16% |
| Kelly Criterion | 30.24% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -0.25% |
| Expected Shortfall (cVaR) | -0.25% |
| Max Consecutive Wins | 2 |
| Max Consecutive Losses | 1 |
| Gain/Pain Ratio | 0.75 |
| Gain/Pain (1M) | 1.02 |
| Payoff Ratio | 0.74 |
| Profit Factor | 1.75 |
| Common Sense Ratio | - |
| CPC Index | 0.91 |
| Tail Ratio | - |
| Outlier Win Ratio | 40.98 |
| Outlier Loss Ratio | -0.0 |
| MTD | 0.6% |
| 3M | 3.06% |
| 6M | 4.8% |
| YTD | 4.16% |
| 1Y | 4.16% |
| 3Y (ann.) | 1.38% |
| 5Y (ann.) | 1.06% |
| 10Y (ann.) | 1.62% |
| All-time (ann.) | 1.62% |
| Best Day | 2.19% |
| Worst Day | -2.42% |
| Best Month | 3.42% |
| Worst Month | -1.81% |
| Best Year | 4.52% |
| Worst Year | -1.44% |
| Avg. Drawdown | -1.28% |
| Avg. Drawdown Days | 179 |
| Recovery Factor | 4.49 |
| Ulcer Index | 0.01 |
| Serenity Index | 0.63 |
| Avg. Up Month | 1.12% |
| Avg. Down Month | -0.83% |
| Win Days | 70.42% |
| Win Month | 60.0% |
| Win Quarter | 68.0% |
| Win Year | 85.71% |
| Year | Return | Cumulative |
|---|---|---|
| 2019 | 4.45% | 4.52% |
| 2020 | 3.14% | 3.12% |
| 2021 | 0.11% | 0.08% |
| 2022 | 0.94% | 0.89% |
| 2023 | 3.93% | 3.98% |
| 2024 | -1.41% | -1.44% |
| 2025 | 4.12% | 4.16% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-07-15 | 2025-10-02 | -3.40 | 445 |
| 2020-11-10 | 2022-11-09 | -3.07 | 730 |
| 2024-01-02 | 2024-07-04 | -1.16 | 185 |
| 2023-02-09 | 2023-03-30 | -1.06 | 50 |
| 2023-05-18 | 2023-06-29 | -0.89 | 43 |
| 2022-12-13 | 2023-01-05 | -0.66 | 24 |
| 2020-07-21 | 2020-11-08 | -0.65 | 111 |
| 2023-07-03 | 2023-07-11 | -0.65 | 9 |
| 2023-11-03 | 2023-11-13 | -0.00 | 11 |