| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 5.0% |
| Cumulative Return | 38.08% |
| CAGR﹪ | 3.08% |
| Sharpe | 0.68 |
| Prob. Sharpe Ratio | 99.42% |
| Smart Sharpe | 0.66 |
| Sortino | 1.26 |
| Smart Sortino | 1.22 |
| Sortino/√2 | 0.89 |
| Smart Sortino/√2 | 0.86 |
| Omega | 1.74 |
| Max Drawdown | -4.71% |
| Longest DD Days | 504 |
| Volatility (ann.) | 4.6% |
| Calmar | 0.65 |
| Skew | 6.66 |
| Kurtosis | 135.34 |
| Expected Daily | 0.01% |
| Expected Monthly | 0.36% |
| Expected Yearly | 4.12% |
| Kelly Criterion | 26.01% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -0.46% |
| Expected Shortfall (cVaR) | -0.46% |
| Max Consecutive Wins | 2 |
| Max Consecutive Losses | 1 |
| Gain/Pain Ratio | 0.74 |
| Gain/Pain (1M) | 1.23 |
| Payoff Ratio | 1.1 |
| Profit Factor | 1.74 |
| Common Sense Ratio | - |
| CPC Index | 1.17 |
| Tail Ratio | - |
| Outlier Win Ratio | 31.46 |
| Outlier Loss Ratio | 0.94 |
| MTD | -2.24% |
| 3M | -1.39% |
| 6M | -3.68% |
| YTD | -4.34% |
| 1Y | -2.8% |
| 3Y (ann.) | 0.19% |
| 5Y (ann.) | 2.49% |
| 10Y (ann.) | 3.08% |
| All-time (ann.) | 3.08% |
| Best Day | 5.84% |
| Worst Day | -2.73% |
| Best Month | 11.97% |
| Worst Month | -2.3% |
| Best Year | 14.01% |
| Worst Year | -4.34% |
| Avg. Drawdown | -2.2% |
| Avg. Drawdown Days | 189 |
| Recovery Factor | 7.09 |
| Ulcer Index | 0.02 |
| Serenity Index | 1.33 |
| Avg. Up Month | 1.7% |
| Avg. Down Month | -1.01% |
| Win Days | 61.21% |
| Win Month | 57.14% |
| Win Quarter | 50.0% |
| Win Year | 62.5% |
| 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 | 0.03% | -0.01% |
| 2025 | 5.37% | 5.37% |
| 2026 | -4.27% | -4.34% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-08-06 | 2026-10-23 | -4.71 | 444 |
| 2022-07-18 | 2023-05-25 | -4.28 | 312 |
| 2020-07-15 | 2021-11-30 | -4.00 | 504 |
| 2024-07-10 | 2025-04-29 | -3.80 | 294 |
| 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 |