| Metric | Strategy |
|---|---|
| Risk-Free Rate | 4.15% |
| Time in Market | 100.0% |
| Cumulative Return | 42.92% |
| CAGR﹪ | 6.48% |
| Sharpe | 1.19 |
| Prob. Sharpe Ratio | 95.94% |
| Smart Sharpe | 1.18 |
| Sortino | 1.75 |
| Smart Sortino | 1.73 |
| Sortino/√2 | 1.24 |
| Smart Sortino/√2 | 1.22 |
| Omega | 1.27 |
| Max Drawdown | -7.04% |
| Longest DD Days | 161 |
| Volatility (ann.) | 7.6% |
| Calmar | 0.92 |
| Skew | -0.23 |
| Kurtosis | 7.87 |
| Expected Daily | 0.05% |
| Expected Monthly | 0.75% |
| Expected Yearly | 7.4% |
| Kelly Criterion | 16.43% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -0.74% |
| Expected Shortfall (cVaR) | -0.74% |
| Max Consecutive Wins | 8 |
| Max Consecutive Losses | 8 |
| Gain/Pain Ratio | 0.41 |
| Gain/Pain (1M) | 2.26 |
| Payoff Ratio | 1.09 |
| Profit Factor | 1.41 |
| Common Sense Ratio | 1.59 |
| CPC Index | 0.87 |
| Tail Ratio | 1.13 |
| Outlier Win Ratio | 4.6 |
| Outlier Loss Ratio | 4.62 |
| MTD | 0.3% |
| 3M | 0.42% |
| 6M | 9.37% |
| YTD | 1.51% |
| 1Y | 9.12% |
| 3Y (ann.) | 5.82% |
| 5Y (ann.) | 6.48% |
| 10Y (ann.) | 6.48% |
| All-time (ann.) | 6.48% |
| Best Day | 2.6% |
| Worst Day | -3.06% |
| Best Month | 5.23% |
| Worst Month | -5.37% |
| Best Year | 12.67% |
| Worst Year | 1.51% |
| Avg. Drawdown | -0.85% |
| Avg. Drawdown Days | 14 |
| Recovery Factor | 5.19 |
| Ulcer Index | 0.02 |
| Serenity Index | 2.96 |
| Avg. Up Month | 1.6% |
| Avg. Down Month | -1.09% |
| Win Days | 56.45% |
| Win Month | 68.75% |
| Win Quarter | 94.12% |
| Win Year | 100.0% |
| Year | Return | Cumulative |
|---|---|---|
| 2020 | 4.95% | 5.0% |
| 2021 | 12.09% | 12.67% |
| 2022 | 7.75% | 7.88% |
| 2023 | 10.11% | 10.32% |
| 2024 | 1.61% | 1.51% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-03-10 | 2024-04-18 | -7.04 | 40 |
| 2023-10-02 | 2023-11-17 | -6.07 | 47 |
| 2023-08-24 | 2023-09-26 | -3.06 | 34 |
| 2021-03-19 | 2021-04-14 | -2.78 | 27 |
| 2020-09-01 | 2021-02-08 | -2.77 | 161 |
| 2022-01-07 | 2022-02-09 | -2.47 | 34 |
| 2020-05-21 | 2020-06-18 | -2.37 | 29 |
| 2021-05-11 | 2021-05-31 | -2.31 | 21 |
| 2022-09-25 | 2022-11-17 | -1.81 | 54 |
| 2022-02-14 | 2022-03-09 | -1.46 | 24 |