| Metric | close | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 68.0% |
| Cumulative Return | 446.72% | 144.03% |
| CAGR﹪ | 30.83% | 15.16% |
| Sharpe | 1.02 | 0.75 |
| Prob. Sharpe Ratio | 99.49% | 97.07% |
| Smart Sharpe | 0.98 | 0.72 |
| Sortino | 1.52 | 1.12 |
| Smart Sortino | 1.47 | 1.08 |
| Sortino/√2 | 1.08 | 0.79 |
| Smart Sortino/√2 | 1.04 | 0.77 |
| Omega | 1.19 | 1.18 |
| Max Drawdown | -44.32% | -28.13% |
| Max DD Date | 2022-11-03 | 2022-11-03 |
| Max DD Period Start | 2021-11-19 | 2021-11-01 |
| Max DD Period End | 2024-01-24 | 2023-05-24 |
| Longest DD Days | 797 | 570 |
| Volatility (ann.) | 31.22% | 22.05% |
| R^2 | 0.57 | 0.57 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.7 | 0.54 |
| Skew | 0.17 | 0.21 |
| Kurtosis | 3.19 | 7.81 |
| Ulcer Performance Index | 28.49 | 15.68 |
| Risk-Adjusted Return | 30.83% | 22.29% |
| Risk-Return Ratio | 0.06 | 0.05 |
| Avg. Return | 0.13% | 0.1% |
| Avg. Win | 1.54% | 1.27% |
| Avg. Loss | -1.54% | -1.26% |
| Win/Loss Ratio | 1.0 | 1.0 |
| Profit Ratio | 0.88 | 0.25 |
| Expected Daily | 0.11% | 0.06% |
| Expected Monthly | 2.23% | 1.17% |
| Expected Yearly | 27.47% | 13.59% |
| Kelly Criterion | 7.61% | 7.02% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.11% | -2.22% |
| Expected Shortfall (cVaR) | -4.44% | -3.36% |
| Max Consecutive Wins | 10 | 5 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | 0.19 | 0.18 |
| Gain/Pain (1M) | 1.19 | 0.85 |
| Payoff Ratio | 1.0 | 1.0 |
| Profit Factor | 1.19 | 1.18 |
| Common Sense Ratio | 1.24 | 1.33 |
| CPC Index | 0.64 | 0.63 |
| Tail Ratio | 1.04 | 1.13 |
| Outlier Win Ratio | 3.83 | 6.86 |
| Outlier Loss Ratio | 3.45 | 3.34 |
| MTD | -3.2% | -1.68% |
| 3M | -11.35% | -10.29% |
| 6M | 9.45% | -10.87% |
| YTD | 10.14% | -9.32% |
| 1Y | 72.96% | 10.92% |
| 3Y (ann.) | 38.54% | 19.36% |
| 5Y (ann.) | 20.41% | 12.75% |
| 10Y (ann.) | 30.83% | 15.16% |
| All-time (ann.) | 30.83% | 15.16% |
| Best Day | 10.22% | 9.52% |
| Worst Day | -9.51% | -9.42% |
| Best Month | 33.82% | 19.97% |
| Worst Month | -17.95% | -11.36% |
| Best Year | 65.35% | 46.17% |
| Worst Year | -39.09% | -22.19% |
| Avg. Drawdown | -3.89% | -3.97% |
| Avg. Drawdown Days | 23 | 37 |
| Recovery Factor | 4.53 | 3.72 |
| Ulcer Index | 0.16 | 0.09 |
| Serenity Index | 0.72 | 0.73 |
| Avg. Up Month | 8.17% | 5.51% |
| Avg. Down Month | -5.75% | -3.91% |
| Win Days | 53.8% | 53.4% |
| Win Month | 59.74% | 55.84% |
| Win Quarter | 69.23% | 53.85% |
| Win Year | 85.71% | 71.43% |
| Beta | - | 0.53 |
| Alpha | - | -0.0 |
| Correlation | - | 75.25% |
| Treynor Ratio | - | 270.99% |
| Year | close | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 45.26 | 17.41 | 0.38 | - |
| 2021 | 65.30 | 15.80 | 0.24 | - |
| 2022 | -39.09 | -22.19 | 0.57 | + |
| 2023 | 58.32 | 46.17 | 0.79 | - |
| 2024 | 35.51 | 20.43 | 0.58 | - |
| 2025 | 65.35 | 44.51 | 0.68 | - |
| 2026 | 10.14 | -9.32 | -0.92 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-01 | 2023-05-24 | -28.13 | 570 |
| 2025-02-05 | 2025-07-01 | -20.08 | 147 |
| 2026-02-06 | 2026-08-21 | -17.42 | 197 |
| 2024-07-11 | 2024-11-05 | -12.25 | 118 |
| 2024-02-15 | 2024-06-24 | -11.89 | 131 |
| 2023-10-25 | 2024-01-08 | -11.87 | 76 |
| 2020-09-03 | 2020-11-03 | -10.95 | 62 |
| 2023-06-16 | 2023-08-11 | -10.44 | 57 |
| 2020-06-18 | 2020-09-01 | -8.83 | 76 |
| 2024-11-20 | 2024-12-09 | -7.50 | 20 |