| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 100.0% |
| Cumulative Return | 74.62% |
| CAGR﹪ | 9.68% |
| Sharpe | 0.59 |
| Prob. Sharpe Ratio | 88.22% |
| Smart Sharpe | 0.58 |
| Sortino | 0.83 |
| Smart Sortino | 0.81 |
| Sortino/√2 | 0.59 |
| Smart Sortino/√2 | 0.57 |
| Omega | 1.11 |
| Max Drawdown | -46.16% |
| Longest DD Days | 405 |
| Volatility (ann.) | 31.13% |
| Calmar | 0.21 |
| Skew | -0.56 |
| Kurtosis | 8.21 |
| Expected Daily | 0.05% |
| Expected Monthly | 1.1% |
| Expected Yearly | 9.74% |
| Kelly Criterion | 5.52% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -3.15% |
| Expected Shortfall (cVaR) | -3.15% |
| Max Consecutive Wins | 9 |
| Max Consecutive Losses | 8 |
| Gain/Pain Ratio | 0.11 |
| Gain/Pain (1M) | 0.64 |
| Payoff Ratio | 0.94 |
| Profit Factor | 1.11 |
| Common Sense Ratio | 1.16 |
| CPC Index | 0.57 |
| Tail Ratio | 1.04 |
| Outlier Win Ratio | 3.59 |
| Outlier Loss Ratio | 3.6 |
| MTD | 8.24% |
| 3M | 13.03% |
| 6M | 13.13% |
| YTD | 13.71% |
| 1Y | 18.61% |
| 3Y (ann.) | 9.61% |
| 5Y (ann.) | 9.68% |
| 10Y (ann.) | 9.68% |
| All-time (ann.) | 9.68% |
| Best Day | 9.39% |
| Worst Day | -16.7% |
| Best Month | 27.89% |
| Worst Month | -32.93% |
| Best Year | 16.64% |
| Worst Year | 0.0% |
| Avg. Drawdown | -5.42% |
| Avg. Drawdown Days | 34 |
| Recovery Factor | 1.64 |
| Ulcer Index | 0.11 |
| Serenity Index | 0.64 |
| Avg. Up Month | 6.25% |
| Avg. Down Month | -6.19% |
| Win Days | 54.28% |
| Win Month | 62.0% |
| Win Quarter | 76.47% |
| Win Year | 100.0% |
| Year | Return | Cumulative |
|---|---|---|
| 2019 | 0.0% | 0.0% |
| 2020 | 19.83% | 11.33% |
| 2021 | 17.68% | 16.64% |
| 2022 | 15.54% | 12.66% |
| 2023 | 9.58% | 4.96% |
| 2024 | 13.28% | 13.71% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-03-05 | 2021-01-20 | -46.16 | 322 |
| 2022-06-08 | 2023-07-17 | -21.34 | 405 |
| 2023-09-01 | 2024-01-26 | -15.97 | 148 |
| 2021-01-25 | 2021-07-09 | -14.42 | 166 |
| 2020-02-20 | 2020-03-03 | -13.56 | 13 |
| 2023-08-01 | 2023-08-22 | -12.06 | 22 |
| 2021-11-05 | 2022-01-03 | -11.20 | 60 |
| 2022-04-21 | 2022-05-03 | -6.87 | 13 |
| 2021-07-13 | 2021-08-12 | -6.34 | 31 |
| 2022-05-09 | 2022-05-26 | -5.97 | 18 |