| Metric | close | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 62.0% |
| Cumulative Return | 212.61% | 151.52% |
| CAGR﹪ | 19.72% | 15.68% |
| Sharpe | 0.64 | 0.66 |
| Prob. Sharpe Ratio | 94.42% | 95.89% |
| Smart Sharpe | 0.63 | 0.66 |
| Sortino | 0.93 | 1.1 |
| Smart Sortino | 0.92 | 1.09 |
| Sortino/√2 | 0.66 | 0.78 |
| Smart Sortino/√2 | 0.65 | 0.77 |
| Omega | 1.13 | 1.18 |
| Max Drawdown | -76.74% | -41.36% |
| Max DD Date | 2022-11-03 | 2022-11-28 |
| Max DD Period Start | 2021-09-08 | 2021-12-16 |
| Max DD Period End | 2024-01-18 | 2024-02-01 |
| Longest DD Days | 863 | 778 |
| Volatility (ann.) | 42.96% | 27.54% |
| R^2 | 0.46 | 0.46 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.26 | 0.38 |
| Skew | -0.09 | 2.09 |
| Kurtosis | 17.58 | 23.32 |
| Ulcer Performance Index | 7.62 | 9.88 |
| Risk-Adjusted Return | 19.72% | 25.29% |
| Risk-Return Ratio | 0.04 | 0.04 |
| Avg. Return | 0.13% | 0.12% |
| Avg. Win | 2.01% | 1.68% |
| Avg. Loss | -1.77% | -1.44% |
| Win/Loss Ratio | 1.14 | 1.16 |
| Profit Ratio | 0.97 | 0.24 |
| Expected Daily | 0.07% | 0.06% |
| Expected Monthly | 1.49% | 1.21% |
| Expected Yearly | 17.68% | 14.08% |
| Kelly Criterion | 9.38% | 6.45% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.34% | -2.78% |
| Expected Shortfall (cVaR) | -6.8% | -4.35% |
| Max Consecutive Wins | 20 | 5 |
| Max Consecutive Losses | 11 | 7 |
| Gain/Pain Ratio | 0.13 | 0.18 |
| Gain/Pain (1M) | 0.71 | 0.91 |
| Payoff Ratio | 1.14 | 1.16 |
| Profit Factor | 1.13 | 1.18 |
| Common Sense Ratio | 1.13 | 1.24 |
| CPC Index | 0.66 | 0.68 |
| Tail Ratio | 1.0 | 1.06 |
| Outlier Win Ratio | 3.93 | 8.34 |
| Outlier Loss Ratio | 3.7 | 3.35 |
| MTD | -0.63% | 0.4% |
| 3M | -8.57% | -7.7% |
| 6M | -15.62% | -5.44% |
| YTD | -16.19% | -10.33% |
| 1Y | -26.01% | 1.81% |
| 3Y (ann.) | 23.5% | 7.64% |
| 5Y (ann.) | 9.43% | 4.58% |
| 10Y (ann.) | 19.72% | 15.68% |
| All-time (ann.) | 19.72% | 15.68% |
| Best Day | 23.28% | 18.89% |
| Worst Day | -26.39% | -9.37% |
| Best Month | 26.77% | 18.07% |
| Worst Month | -32.63% | -17.67% |
| Best Year | 194.13% | 55.43% |
| Worst Year | -64.22% | -30.03% |
| Avg. Drawdown | -6.79% | -4.79% |
| Avg. Drawdown Days | 44 | 50 |
| Recovery Factor | 2.25 | 2.8 |
| Ulcer Index | 0.28 | 0.15 |
| Serenity Index | 0.27 | 0.38 |
| Avg. Up Month | 9.62% | 6.34% |
| Avg. Down Month | -9.24% | -5.23% |
| Win Days | 51.82% | 49.69% |
| Win Month | 59.74% | 59.46% |
| Win Quarter | 53.85% | 73.08% |
| Win Year | 71.43% | 57.14% |
| Beta | - | 0.44 |
| Alpha | - | 0.06 |
| Correlation | - | 67.86% |
| Treynor Ratio | - | 348.28% |
| Year | close | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 55.92 | 43.45 | 0.78 | - |
| 2021 | 23.13 | 55.43 | 2.40 | + |
| 2022 | -64.22 | -30.03 | 0.47 | + |
| 2023 | 194.13 | 37.34 | 0.19 | - |
| 2024 | 65.42 | 41.42 | 0.63 | - |
| 2025 | 12.74 | -7.43 | -0.58 | - |
| 2026 | -16.19 | -10.33 | 0.64 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-16 | 2024-02-01 | -41.36 | 778 |
| 2025-02-20 | 2026-08-21 | -30.87 | 548 |
| 2024-07-08 | 2024-10-28 | -14.15 | 113 |
| 2021-09-08 | 2021-11-18 | -12.35 | 72 |
| 2020-11-06 | 2021-03-15 | -12.28 | 130 |
| 2020-08-21 | 2020-11-03 | -9.05 | 75 |
| 2024-04-12 | 2024-05-14 | -7.19 | 33 |
| 2021-11-29 | 2021-12-07 | -6.63 | 9 |
| 2020-07-21 | 2020-07-30 | -6.21 | 10 |
| 2025-01-07 | 2025-01-23 | -5.70 | 17 |