| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 13.0% |
| Cumulative Return | 35.54% |
| CAGR﹪ | 8.96% |
| Sharpe | 1.12 |
| Prob. Sharpe Ratio | 99.86% |
| Smart Sharpe | 1.1 |
| Sortino | 4.24 |
| Smart Sortino | 4.16 |
| Sortino/√2 | 3.0 |
| Smart Sortino/√2 | 2.94 |
| Omega | 2.34 |
| Max Drawdown | -3.8% |
| Longest DD Days | 302 |
| Volatility (ann.) | 7.93% |
| Calmar | 2.36 |
| Skew | 8.85 |
| Kurtosis | 98.78 |
| Expected Daily | 0.03% |
| Expected Monthly | 1.02% |
| Expected Yearly | 10.67% |
| Kelly Criterion | 11.16% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -0.79% |
| Expected Shortfall (cVaR) | -0.79% |
| Max Consecutive Wins | 1 |
| Max Consecutive Losses | 3 |
| Gain/Pain Ratio | 1.34 |
| Gain/Pain (1M) | 2.75 |
| Payoff Ratio | 9.69 |
| Profit Factor | 2.34 |
| Common Sense Ratio | 0.0 |
| CPC Index | 4.42 |
| Tail Ratio | 0.0 |
| Outlier Win Ratio | 32.63 |
| Outlier Loss Ratio | 2.76 |
| MTD | -0.6% |
| 3M | -0.13% |
| 6M | 1.81% |
| YTD | 1.92% |
| 1Y | 5.32% |
| 3Y (ann.) | 8.96% |
| 5Y (ann.) | 8.96% |
| 10Y (ann.) | 8.96% |
| All-time (ann.) | 8.96% |
| Best Day | 7.11% |
| Worst Day | -1.27% |
| Best Month | 14.6% |
| Worst Month | -1.82% |
| Best Year | 28.22% |
| Worst Year | 1.92% |
| Avg. Drawdown | -1.6% |
| Avg. Drawdown Days | 60 |
| Recovery Factor | 8.28 |
| Ulcer Index | 0.01 |
| Serenity Index | 5.24 |
| Avg. Up Month | 3.34% |
| Avg. Down Month | -0.95% |
| Win Days | 19.47% |
| Win Month | 52.0% |
| Win Quarter | 70.0% |
| Win Year | 100.0% |
| Year | Return | Cumulative |
|---|---|---|
| 2022 | 25.7% | 28.22% |
| 2023 | 3.78% | 3.72% |
| 2024 | 2.02% | 1.92% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-10-24 | 2022-11-21 | -3.80 | 29 |
| 2024-07-11 | 2024-09-29 | -3.44 | 81 |
| 2023-02-28 | 2023-12-26 | -2.93 | 302 |
| 2022-11-28 | 2023-02-12 | -2.44 | 77 |
| 2022-08-29 | 2022-10-19 | -2.27 | 52 |
| 2022-07-01 | 2022-08-03 | -1.83 | 34 |
| 2023-12-28 | 2024-01-15 | -1.05 | 19 |
| 2022-06-10 | 2022-06-21 | -0.81 | 12 |
| 2024-01-30 | 2024-03-11 | -0.77 | 42 |
| 2024-10-01 | 2024-10-14 | -0.60 | 14 |