| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 100.0% |
| Cumulative Return | 47.36% |
| CAGR﹪ | 5.53% |
| Sharpe | 1.24 |
| Prob. Sharpe Ratio | 98.78% |
| Smart Sharpe | 1.07 |
| Sortino | 1.85 |
| Smart Sortino | 1.59 |
| Sortino/√2 | 1.31 |
| Smart Sortino/√2 | 1.12 |
| Omega | 1.28 |
| Max Drawdown | -15.45% |
| Longest DD Days | 421 |
| Volatility (ann.) | 9.8% |
| Calmar | 0.36 |
| Skew | 0.01 |
| Kurtosis | 5.13 |
| Expected Daily | 0.05% |
| Expected Monthly | 0.64% |
| Expected Yearly | 6.68% |
| Kelly Criterion | 12.06% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -0.97% |
| Expected Shortfall (cVaR) | -0.97% |
| Max Consecutive Wins | 8 |
| Max Consecutive Losses | 8 |
| Gain/Pain Ratio | 0.28 |
| Gain/Pain (1M) | 1.38 |
| Payoff Ratio | 1.05 |
| Profit Factor | 1.28 |
| Common Sense Ratio | 1.6 |
| CPC Index | 0.74 |
| Tail Ratio | 1.25 |
| Outlier Win Ratio | 5.01 |
| Outlier Loss Ratio | 5.05 |
| MTD | -0.64% |
| 3M | 13.89% |
| 6M | 13.07% |
| YTD | 14.74% |
| 1Y | 3.16% |
| 3Y (ann.) | 4.45% |
| 5Y (ann.) | 5.26% |
| 10Y (ann.) | 5.53% |
| All-time (ann.) | 5.53% |
| Best Day | 2.92% |
| Worst Day | -3.06% |
| Best Month | 11.35% |
| Worst Month | -6.28% |
| Best Year | 14.74% |
| Worst Year | -8.78% |
| Avg. Drawdown | -0.96% |
| Avg. Drawdown Days | 19 |
| Recovery Factor | 2.61 |
| Ulcer Index | 0.04 |
| Serenity Index | 0.74 |
| Avg. Up Month | 1.75% |
| Avg. Down Month | -1.39% |
| Win Days | 55.02% |
| Win Month | 65.57% |
| Win Quarter | 85.71% |
| Win Year | 83.33% |
| Year | Return | Cumulative |
|---|---|---|
| 2020 | 4.95% | 5.0% |
| 2021 | 12.09% | 12.67% |
| 2022 | 7.75% | 7.88% |
| 2023 | 10.11% | 10.32% |
| 2024 | -8.6% | -8.78% |
| 2025 | 14.07% | 14.74% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-03-10 | 2025-05-04 | -15.45 | 421 |
| 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 |