| Metric | close | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 62.0% |
| Cumulative Return | 1,092.48% | 833.72% |
| CAGR﹪ | 30.61% | 27.21% |
| Sharpe | 0.8 | 0.9 |
| Prob. Sharpe Ratio | 99.27% | 99.7% |
| Smart Sharpe | 0.76 | 0.86 |
| Sortino | 1.2 | 1.37 |
| Smart Sortino | 1.15 | 1.31 |
| Sortino/√2 | 0.85 | 0.97 |
| Smart Sortino/√2 | 0.81 | 0.93 |
| Omega | 1.16 | 1.25 |
| Max Drawdown | -76.63% | -54.3% |
| Max DD Date | 2022-11-21 | 2022-11-09 |
| Max DD Period Start | 2021-11-09 | 2021-10-21 |
| Max DD Period End | 2024-03-03 | 2024-10-19 |
| Longest DD Days | 846 | 1095 |
| Volatility (ann.) | 47.6% | 32.76% |
| R^2 | 0.63 | 0.63 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.4 | 0.5 |
| Skew | 0.16 | 0.3 |
| Kurtosis | 3.81 | 10.96 |
| Ulcer Performance Index | 28.53 | 30.84 |
| Risk-Adjusted Return | 30.61% | 43.89% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.23% | 0.19% |
| Avg. Win | 2.49% | 1.95% |
| Avg. Loss | -2.18% | -1.71% |
| Win/Loss Ratio | 1.14 | 1.15 |
| Profit Ratio | 1.09 | 0.21 |
| Expected Daily | 0.11% | 0.1% |
| Expected Monthly | 3.23% | 2.91% |
| Expected Yearly | 42.49% | 37.59% |
| Kelly Criterion | 7.72% | 10.42% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.78% | -3.28% |
| Expected Shortfall (cVaR) | -7.08% | -5.78% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 8 | 8 |
| Gain/Pain Ratio | 0.16 | 0.25 |
| Gain/Pain (1M) | 0.98 | 1.37 |
| Payoff Ratio | 1.14 | 1.15 |
| Profit Factor | 1.16 | 1.25 |
| Common Sense Ratio | 1.26 | 1.58 |
| CPC Index | 0.67 | 0.74 |
| Tail Ratio | 1.09 | 1.27 |
| Outlier Win Ratio | 4.38 | 8.61 |
| Outlier Loss Ratio | 4.17 | 3.73 |
| MTD | 22.82% | 22.65% |
| 3M | -0.5% | 18.39% |
| 6M | 13.45% | 20.02% |
| YTD | -11.84% | 3.28% |
| 1Y | -31.37% | -15.61% |
| 3Y (ann.) | 28.66% | 19.08% |
| 5Y (ann.) | 9.39% | 6.53% |
| 10Y (ann.) | 30.61% | 27.21% |
| All-time (ann.) | 30.61% | 27.21% |
| Best Day | 18.75% | 18.23% |
| Worst Day | -15.97% | -15.17% |
| Best Month | 47.77% | 43.54% |
| Worst Month | -37.77% | -30.8% |
| Best Year | 348.26% | 261.12% |
| Worst Year | -64.27% | -42.71% |
| Avg. Drawdown | -9.2% | -6.34% |
| Avg. Drawdown Days | 40 | 44 |
| Recovery Factor | 4.61 | 5.03 |
| Ulcer Index | 0.38 | 0.27 |
| Serenity Index | 0.38 | 0.42 |
| Avg. Up Month | 20.21% | 13.9% |
| Avg. Down Month | -12.31% | -8.05% |
| Win Days | 50.75% | 52.17% |
| Win Month | 56.41% | 58.97% |
| Win Quarter | 55.56% | 66.67% |
| Win Year | 57.14% | 71.43% |
| Beta | - | 0.55 |
| Alpha | - | 0.09 |
| Correlation | - | 79.56% |
| Treynor Ratio | - | 1522.59% |
| Year | close | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 348.26 | 261.12 | 0.75 | - |
| 2021 | 59.67 | 106.15 | 1.78 | + |
| 2022 | -64.27 | -42.71 | 0.66 | + |
| 2023 | 155.42 | 27.54 | 0.18 | - |
| 2024 | 121.05 | 74.57 | 0.62 | - |
| 2025 | -6.34 | -4.78 | 0.75 | + |
| 2026 | -11.84 | 3.28 | -0.28 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2024-10-19 | -54.30 | 1095 |
| 2021-03-14 | 2021-10-18 | -49.79 | 219 |
| 2025-08-14 | 2026-08-22 | -40.15 | 374 |
| 2020-08-18 | 2020-10-20 | -17.28 | 64 |
| 2021-02-22 | 2021-03-10 | -16.20 | 17 |
| 2020-05-08 | 2020-07-26 | -13.20 | 80 |
| 2020-11-25 | 2020-12-15 | -10.96 | 21 |
| 2021-01-10 | 2021-01-27 | -9.51 | 18 |
| 2025-05-23 | 2025-08-12 | -9.17 | 82 |
| 2020-04-09 | 2020-04-22 | -8.57 | 14 |