| Metric | close | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 74.0% |
| Cumulative Return | 119.21% | 11.95% |
| CAGR﹪ | 13.21% | 1.8% |
| Sharpe | 0.53 | 0.2 |
| Prob. Sharpe Ratio | 90.87% | 69.38% |
| Smart Sharpe | 0.51 | 0.2 |
| Sortino | 0.78 | 0.3 |
| Smart Sortino | 0.76 | 0.29 |
| Sortino/√2 | 0.55 | 0.21 |
| Smart Sortino/√2 | 0.54 | 0.21 |
| Omega | 1.1 | 1.04 |
| Max Drawdown | -56.15% | -50.87% |
| Max DD Date | 2022-12-28 | 2022-12-28 |
| Max DD Period Start | 2021-07-09 | 2021-11-19 |
| Max DD Period End | 2024-04-10 | 2026-08-21 |
| Longest DD Days | 1007 | 1737 |
| Volatility (ann.) | 35.23% | 27.17% |
| R^2 | 0.66 | 0.66 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.24 | 0.04 |
| Skew | 0.31 | 0.79 |
| Kurtosis | 5.42 | 14.56 |
| Ulcer Performance Index | 5.52 | 0.37 |
| Risk-Adjusted Return | 13.21% | 2.43% |
| Risk-Return Ratio | 0.03 | 0.01 |
| Avg. Return | 0.07% | 0.03% |
| Avg. Win | 1.71% | 1.41% |
| Avg. Loss | -1.7% | -1.45% |
| Win/Loss Ratio | 1.01 | 0.97 |
| Profit Ratio | 0.93 | 0.33 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 1.02% | 0.15% |
| Expected Yearly | 11.86% | 1.63% |
| Kelly Criterion | 4.42% | 0.52% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.58% | -2.79% |
| Expected Shortfall (cVaR) | -5.25% | -4.25% |
| Max Consecutive Wins | 8 | 8 |
| Max Consecutive Losses | 9 | 9 |
| Gain/Pain Ratio | 0.1 | 0.04 |
| Gain/Pain (1M) | 0.54 | 0.18 |
| Payoff Ratio | 1.01 | 0.97 |
| Profit Factor | 1.1 | 1.04 |
| Common Sense Ratio | 1.18 | 1.03 |
| CPC Index | 0.58 | 0.52 |
| Tail Ratio | 1.07 | 0.98 |
| Outlier Win Ratio | 3.62 | 5.96 |
| Outlier Loss Ratio | 3.51 | 3.58 |
| MTD | -4.15% | 2.48% |
| 3M | -1.77% | 6.3% |
| 6M | 23.89% | 6.34% |
| YTD | 12.78% | -0.64% |
| 1Y | 16.31% | -6.0% |
| 3Y (ann.) | 25.27% | -0.5% |
| 5Y (ann.) | 9.38% | -7.91% |
| 10Y (ann.) | 13.21% | 1.8% |
| All-time (ann.) | 13.21% | 1.8% |
| Best Day | 15.32% | 15.18% |
| Worst Day | -14.05% | -13.88% |
| Best Month | 27.27% | 25.62% |
| Worst Month | -23.75% | -19.63% |
| Best Year | 80.88% | 67.61% |
| Worst Year | -49.62% | -45.4% |
| Avg. Drawdown | -8.38% | -5.82% |
| Avg. Drawdown Days | 74 | 97 |
| Recovery Factor | 2.09 | 0.68 |
| Ulcer Index | 0.22 | 0.33 |
| Serenity Index | 0.26 | 0.03 |
| Avg. Up Month | 8.8% | 5.98% |
| Avg. Down Month | -7.51% | -6.53% |
| Win Days | 52.04% | 50.9% |
| Win Month | 55.84% | 53.25% |
| Win Quarter | 65.38% | 42.31% |
| Win Year | 85.71% | 57.14% |
| Beta | - | 0.63 |
| Alpha | - | -0.06 |
| Correlation | - | 81.45% |
| Treynor Ratio | - | 19.03% |
| Year | close | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 59.44 | 67.61 | 1.14 | + |
| 2021 | 2.38 | 0.50 | 0.21 | - |
| 2022 | -49.62 | -45.40 | 0.91 | + |
| 2023 | 80.88 | 14.43 | 0.18 | - |
| 2024 | 44.39 | 15.12 | 0.34 | - |
| 2025 | 5.21 | -7.00 | -1.34 | - |
| 2026 | 12.78 | -0.64 | -0.05 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-19 | 2026-08-21 | -50.87 | 1737 |
| 2021-07-08 | 2021-11-17 | -12.60 | 133 |
| 2020-12-30 | 2021-04-08 | -10.48 | 100 |
| 2021-04-30 | 2021-07-02 | -6.98 | 64 |
| 2020-07-21 | 2020-07-30 | -6.58 | 10 |
| 2020-11-06 | 2020-12-28 | -6.34 | 53 |
| 2020-08-07 | 2020-08-17 | -4.45 | 11 |
| 2020-09-10 | 2020-09-25 | -4.43 | 16 |
| 2020-04-20 | 2020-04-29 | -4.23 | 10 |
| 2020-06-11 | 2020-06-17 | -3.85 | 7 |