| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 14.0% |
| Cumulative Return | 14.6% |
| CAGR﹪ | 7.17% |
| Sharpe | 1.42 |
| Prob. Sharpe Ratio | 93.18% |
| Smart Sharpe | 1.41 |
| Sortino | 1.73 |
| Smart Sortino | 1.72 |
| Sortino/√2 | 1.22 |
| Smart Sortino/√2 | 1.22 |
| Omega | 1.99 |
| Max Drawdown | -4.49% |
| Longest DD Days | 118 |
| Volatility (ann.) | 4.97% |
| Calmar | 1.6 |
| Skew | -6.67 |
| Kurtosis | 93.29 |
| Expected Daily | 0.03% |
| Expected Monthly | 0.8% |
| Expected Yearly | 7.05% |
| Kelly Criterion | 40.94% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -0.49% |
| Expected Shortfall (cVaR) | -0.49% |
| Max Consecutive Wins | 2 |
| Max Consecutive Losses | 1 |
| Gain/Pain Ratio | 0.99 |
| Gain/Pain (1M) | 2.73 |
| Payoff Ratio | 0.44 |
| Profit Factor | 1.99 |
| Common Sense Ratio | - |
| CPC Index | 0.71 |
| Tail Ratio | - |
| Outlier Win Ratio | 13.88 |
| Outlier Loss Ratio | 0.99 |
| MTD | -0.27% |
| 3M | -0.82% |
| 6M | 4.73% |
| YTD | 10.69% |
| 1Y | 8.73% |
| 3Y (ann.) | 7.17% |
| 5Y (ann.) | 7.17% |
| 10Y (ann.) | 7.17% |
| All-time (ann.) | 7.17% |
| Best Day | 1.2% |
| Worst Day | -4.49% |
| Best Month | 2.46% |
| Worst Month | -2.18% |
| Best Year | 10.69% |
| Worst Year | 3.53% |
| Avg. Drawdown | -1.7% |
| Avg. Drawdown Days | 40 |
| Recovery Factor | 3.09 |
| Ulcer Index | 0.01 |
| Serenity Index | 1.05 |
| Avg. Up Month | 1.46% |
| Avg. Down Month | -1.3% |
| Win Days | 82.09% |
| Win Month | 76.47% |
| Win Quarter | 57.14% |
| Win Year | 100.0% |
| Year | Return | Cumulative |
|---|---|---|
| 2023 | 3.53% | 3.53% |
| 2024 | 10.34% | 10.69% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-08-16 | 2024-10-14 | -4.49 | 60 |
| 2023-10-20 | 2024-02-14 | -2.67 | 118 |
| 2023-06-16 | 2023-07-13 | -1.63 | 28 |
| 2024-06-07 | 2024-06-19 | -1.17 | 13 |
| 2024-08-02 | 2024-08-07 | -0.22 | 6 |
| 2023-09-01 | 2023-09-13 | -0.03 | 13 |