| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 100.0% |
| Cumulative Return | 33.12% |
| CAGR﹪ | 4.86% |
| Sharpe | 0.4 |
| Prob. Sharpe Ratio | 78.6% |
| Smart Sharpe | 0.39 |
| Sortino | 0.54 |
| Smart Sortino | 0.54 |
| Sortino/√2 | 0.38 |
| Smart Sortino/√2 | 0.38 |
| Omega | 1.08 |
| Max Drawdown | -47.24% |
| Longest DD Days | 637 |
| Volatility (ann.) | 26.53% |
| Calmar | 0.1 |
| Skew | -1.01 |
| Kurtosis | 12.97 |
| Expected Daily | 0.03% |
| Expected Monthly | 0.56% |
| Expected Yearly | 4.88% |
| Kelly Criterion | 3.76% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -2.71% |
| Expected Shortfall (cVaR) | -2.71% |
| Max Consecutive Wins | 9 |
| Max Consecutive Losses | 8 |
| Gain/Pain Ratio | 0.08 |
| Gain/Pain (1M) | 0.39 |
| Payoff Ratio | 0.96 |
| Profit Factor | 1.08 |
| Common Sense Ratio | 1.13 |
| CPC Index | 0.55 |
| Tail Ratio | 1.05 |
| Outlier Win Ratio | 3.63 |
| Outlier Loss Ratio | 3.67 |
| MTD | 5.79% |
| 3M | 9.8% |
| 6M | 14.66% |
| YTD | 9.87% |
| 1Y | 17.4% |
| 3Y (ann.) | 8.05% |
| 5Y (ann.) | 4.86% |
| 10Y (ann.) | 4.86% |
| All-time (ann.) | 4.86% |
| Best Day | 8.94% |
| Worst Day | -16.74% |
| Best Month | 25.73% |
| Worst Month | -35.79% |
| Best Year | 25.32% |
| Worst Year | -9.41% |
| Avg. Drawdown | -4.05% |
| Avg. Drawdown Days | 48 |
| Recovery Factor | 0.92 |
| Ulcer Index | 0.13 |
| Serenity Index | 0.25 |
| Avg. Up Month | 4.85% |
| Avg. Down Month | -6.03% |
| Win Days | 52.94% |
| Win Month | 64.0% |
| Win Quarter | 76.47% |
| Win Year | 80.0% |
| Year | Return | Cumulative |
|---|---|---|
| 2019 | 0.0% | 0.0% |
| 2020 | -3.15% | -9.41% |
| 2021 | 24.18% | 25.32% |
| 2022 | 6.5% | 4.35% |
| 2023 | 6.12% | 2.27% |
| 2024 | 9.66% | 9.87% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-20 | 2021-08-24 | -47.24 | 552 |
| 2022-04-21 | 2024-01-17 | -22.86 | 637 |
| 2021-11-26 | 2022-01-03 | -7.07 | 39 |
| 2022-02-03 | 2022-03-03 | -5.94 | 29 |
| 2021-09-03 | 2021-10-21 | -5.74 | 49 |
| 2022-01-05 | 2022-01-31 | -4.41 | 27 |
| 2022-03-11 | 2022-03-18 | -3.39 | 8 |
| 2024-02-12 | 2024-02-22 | -3.17 | 11 |
| 2020-01-24 | 2020-01-29 | -2.82 | 6 |
| 2022-03-28 | 2022-04-07 | -2.34 | 11 |