| Metric | close | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 65.0% |
| Cumulative Return | 361.6% | 227.53% |
| CAGR﹪ | 27.39% | 20.66% |
| Sharpe | 0.98 | 1.03 |
| Prob. Sharpe Ratio | 99.35% | 99.63% |
| Smart Sharpe | 0.96 | 1.01 |
| Sortino | 1.46 | 1.63 |
| Smart Sortino | 1.43 | 1.59 |
| Sortino/√2 | 1.03 | 1.16 |
| Smart Sortino/√2 | 1.01 | 1.13 |
| Omega | 1.19 | 1.28 |
| Max Drawdown | -33.43% | -20.83% |
| Max DD Date | 2025-04-08 | 2025-04-08 |
| Max DD Period Start | 2024-12-27 | 2025-02-21 |
| Max DD Period End | 2025-10-17 | 2025-08-05 |
| Longest DD Days | 522 | 280 |
| Volatility (ann.) | 28.97% | 20.1% |
| R^2 | 0.57 | 0.57 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.82 | 0.99 |
| Skew | 0.29 | 1.17 |
| Kurtosis | 5.45 | 19.47 |
| Ulcer Performance Index | 31.85 | 39.15 |
| Risk-Adjusted Return | 27.39% | 31.78% |
| Risk-Return Ratio | 0.06 | 0.07 |
| Avg. Return | 0.14% | 0.13% |
| Avg. Win | 1.39% | 1.14% |
| Avg. Loss | -1.34% | -1.07% |
| Win/Loss Ratio | 1.03 | 1.07 |
| Profit Ratio | 0.89 | 0.23 |
| Expected Daily | 0.1% | 0.07% |
| Expected Monthly | 2.01% | 1.55% |
| Expected Yearly | 24.42% | 18.47% |
| Kelly Criterion | 8.59% | 10.84% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.89% | -2.0% |
| Expected Shortfall (cVaR) | -4.05% | -3.31% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 8 | 6 |
| Gain/Pain Ratio | 0.19 | 0.28 |
| Gain/Pain (1M) | 1.11 | 1.48 |
| Payoff Ratio | 1.03 | 1.07 |
| Profit Factor | 1.19 | 1.28 |
| Common Sense Ratio | 1.19 | 1.48 |
| CPC Index | 0.66 | 0.74 |
| Tail Ratio | 1.0 | 1.16 |
| Outlier Win Ratio | 3.43 | 6.89 |
| Outlier Loss Ratio | 3.74 | 3.45 |
| MTD | 0.26% | -0.21% |
| 3M | 2.46% | 12.83% |
| 6M | 17.05% | 30.56% |
| YTD | 13.92% | 20.4% |
| 1Y | 37.03% | 37.24% |
| 3Y (ann.) | 21.6% | 25.56% |
| 5Y (ann.) | 17.09% | 20.16% |
| 10Y (ann.) | 27.39% | 20.66% |
| All-time (ann.) | 27.39% | 20.66% |
| Best Day | 15.33% | 14.98% |
| Worst Day | -9.25% | -9.12% |
| Best Month | 21.44% | 14.43% |
| Worst Month | -12.23% | -12.69% |
| Best Year | 97.77% | 29.23% |
| Worst Year | -26.83% | -12.37% |
| Avg. Drawdown | -4.66% | -3.46% |
| Avg. Drawdown Days | 33 | 30 |
| Recovery Factor | 5.37 | 6.31 |
| Ulcer Index | 0.11 | 0.06 |
| Serenity Index | 1.2 | 2.07 |
| Avg. Up Month | 7.95% | 4.9% |
| Avg. Down Month | -6.01% | -3.76% |
| Win Days | 53.53% | 53.92% |
| Win Month | 59.74% | 64.94% |
| Win Quarter | 65.38% | 65.38% |
| Win Year | 85.71% | 85.71% |
| Beta | - | 0.52 |
| Alpha | - | 0.06 |
| Correlation | - | 75.33% |
| Treynor Ratio | - | 435.2% |
| Year | close | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 98.05 | 24.65 | 0.25 | - |
| 2021 | 33.82 | 29.23 | 0.86 | - |
| 2022 | -26.83 | -12.37 | 0.46 | + |
| 2023 | 48.18 | 23.79 | 0.49 | - |
| 2024 | 30.07 | 28.65 | 0.95 | - |
| 2025 | 8.56 | 21.03 | 2.46 | + |
| 2026 | 13.92 | 20.40 | 1.47 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-02-21 | 2025-08-05 | -20.83 | 166 |
| 2022-08-19 | 2023-05-25 | -20.36 | 280 |
| 2022-02-10 | 2022-08-09 | -17.15 | 181 |
| 2025-12-03 | 2026-05-05 | -14.60 | 154 |
| 2021-09-08 | 2021-11-17 | -10.16 | 71 |
| 2024-01-30 | 2024-05-02 | -9.09 | 94 |
| 2021-12-28 | 2022-01-28 | -8.73 | 32 |
| 2026-07-31 | 2026-08-21 | -8.62 | 22 |
| 2020-07-16 | 2020-09-03 | -7.56 | 50 |
| 2020-09-08 | 2020-10-09 | -6.96 | 32 |