| Metric | close | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 75.0% |
| Cumulative Return | 2,844.99% | 43.94% |
| CAGR﹪ | 70.71% | 5.93% |
| Sharpe | 1.32 | 0.34 |
| Prob. Sharpe Ratio | 99.96% | 80.48% |
| Smart Sharpe | 1.23 | 0.32 |
| Sortino | 2.04 | 0.5 |
| Smart Sortino | 1.9 | 0.47 |
| Sortino/√2 | 1.45 | 0.36 |
| Smart Sortino/√2 | 1.35 | 0.33 |
| Omega | 1.25 | 1.07 |
| Max Drawdown | -66.36% | -59.13% |
| Max DD Date | 2022-10-14 | 2022-12-28 |
| Max DD Period Start | 2021-11-30 | 2021-11-22 |
| Max DD Period End | 2023-05-24 | 2024-05-24 |
| Longest DD Days | 541 | 915 |
| Volatility (ann.) | 49.92% | 37.25% |
| R^2 | 0.64 | 0.64 |
| Information Ratio | -0.11 | -0.11 |
| Calmar | 1.07 | 0.1 |
| Skew | 0.44 | 0.69 |
| Kurtosis | 4.37 | 11.74 |
| Ulcer Performance Index | 130.68 | 1.54 |
| Risk-Adjusted Return | 70.71% | 7.9% |
| Risk-Return Ratio | 0.08 | 0.02 |
| Avg. Return | 0.14% | 0.07% |
| Avg. Win | 2.49% | 2.04% |
| Avg. Loss | -2.43% | -2.05% |
| Win/Loss Ratio | 1.03 | 1.0 |
| Profit Ratio | 0.9 | 0.35 |
| Expected Daily | 0.21% | 0.02% |
| Expected Monthly | 4.49% | 0.47% |
| Expected Yearly | 62.13% | 5.34% |
| Kelly Criterion | 9.33% | 1.99% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.91% | -3.81% |
| Expected Shortfall (cVaR) | -6.73% | -5.58% |
| Max Consecutive Wins | 11 | 10 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.25 | 0.07 |
| Gain/Pain (1M) | 1.83 | 0.31 |
| Payoff Ratio | 1.03 | 1.0 |
| Profit Factor | 1.25 | 1.07 |
| Common Sense Ratio | 1.39 | 1.09 |
| CPC Index | 0.7 | 0.55 |
| Tail Ratio | 1.11 | 1.02 |
| Outlier Win Ratio | 3.34 | 5.83 |
| Outlier Loss Ratio | 3.25 | 3.34 |
| MTD | 7.21% | 7.76% |
| 3M | -3.69% | -0.6% |
| 6M | 13.38% | 11.24% |
| YTD | 15.4% | 5.99% |
| 1Y | 22.7% | -4.92% |
| 3Y (ann.) | 75.17% | 10.92% |
| 5Y (ann.) | 60.6% | 3.17% |
| 10Y (ann.) | 70.71% | 5.93% |
| All-time (ann.) | 70.71% | 5.93% |
| Best Day | 24.37% | 24.42% |
| Worst Day | -16.97% | -16.46% |
| Best Month | 36.34% | 32.55% |
| Worst Month | -32.03% | -23.64% |
| Best Year | 238.87% | 69.89% |
| Worst Year | -50.31% | -54.06% |
| Avg. Drawdown | -6.66% | -8.36% |
| Avg. Drawdown Days | 26 | 92 |
| Recovery Factor | 6.28 | 1.35 |
| Ulcer Index | 0.22 | 0.29 |
| Serenity Index | 1.15 | 0.12 |
| Avg. Up Month | 15.19% | 8.94% |
| Avg. Down Month | -9.28% | -9.08% |
| Win Days | 54.08% | 51.02% |
| Win Month | 63.64% | 53.33% |
| Win Quarter | 69.23% | 61.54% |
| Win Year | 85.71% | 71.43% |
| Beta | - | 0.6 |
| Alpha | - | -0.27 |
| Correlation | - | 80.29% |
| Treynor Ratio | - | 73.35% |
| Year | close | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 98.59 | 7.87 | 0.08 | - |
| 2021 | 125.29 | 33.51 | 0.27 | - |
| 2022 | -50.31 | -54.06 | 1.07 | - |
| 2023 | 238.87 | 69.89 | 0.29 | - |
| 2024 | 171.17 | 39.89 | 0.23 | - |
| 2025 | 38.88 | -13.62 | -0.35 | - |
| 2026 | 15.40 | 5.99 | 0.39 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-22 | 2024-05-24 | -59.13 | 915 |
| 2024-07-11 | 2026-08-21 | -46.11 | 772 |
| 2020-10-08 | 2021-06-25 | -18.20 | 261 |
| 2020-09-03 | 2020-10-05 | -16.97 | 33 |
| 2021-07-13 | 2021-08-04 | -10.41 | 23 |
| 2020-04-20 | 2020-06-09 | -7.87 | 51 |
| 2021-09-13 | 2021-10-20 | -7.41 | 38 |
| 2021-08-06 | 2021-08-19 | -5.33 | 14 |
| 2021-11-09 | 2021-11-17 | -5.01 | 9 |
| 2020-06-23 | 2020-07-13 | -4.99 | 21 |