| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 100.0% |
| Cumulative Return | 127.31% |
| CAGR﹪ | 23.7% |
| Sharpe | 1.62 |
| Prob. Sharpe Ratio | 99.77% |
| Smart Sharpe | 1.6 |
| Sortino | 3.18 |
| Smart Sortino | 3.14 |
| Sortino/√2 | 2.25 |
| Smart Sortino/√2 | 2.22 |
| Omega | 1.29 |
| Max Drawdown | -9.38% |
| Longest DD Days | 117 |
| Volatility (ann.) | 20.3% |
| Calmar | 2.53 |
| Skew | 1.67 |
| Kurtosis | 5.32 |
| Expected Daily | 0.08% |
| Expected Monthly | 2.52% |
| Expected Yearly | 31.48% |
| Kelly Criterion | 9.81% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -1.66% |
| Expected Shortfall (cVaR) | -1.66% |
| Max Consecutive Wins | 7 |
| Max Consecutive Losses | 12 |
| Gain/Pain Ratio | 0.29 |
| Gain/Pain (1M) | 4.56 |
| Payoff Ratio | 1.67 |
| Profit Factor | 1.29 |
| Common Sense Ratio | 2.35 |
| CPC Index | 0.94 |
| Tail Ratio | 1.82 |
| Outlier Win Ratio | 4.62 |
| Outlier Loss Ratio | 3.39 |
| MTD | 4.51% |
| 3M | 22.8% |
| 6M | 31.09% |
| YTD | 37.56% |
| 1Y | 57.95% |
| 3Y (ann.) | 23.7% |
| 5Y (ann.) | 23.7% |
| 10Y (ann.) | 23.7% |
| All-time (ann.) | 23.7% |
| Best Day | 6.56% |
| Worst Day | -2.76% |
| Best Month | 13.56% |
| Worst Month | -4.61% |
| Best Year | 37.56% |
| Worst Year | 24.45% |
| Avg. Drawdown | -3.21% |
| Avg. Drawdown Days | 20 |
| Recovery Factor | 9.34 |
| Ulcer Index | 0.04 |
| Serenity Index | 4.16 |
| Avg. Up Month | 4.22% |
| Avg. Down Month | -2.46% |
| Win Days | 43.63% |
| Win Month | 75.76% |
| Win Quarter | 100.0% |
| Win Year | 100.0% |
| Year | Return | Cumulative |
|---|---|---|
| 2022 | 23.61% | 24.45% |
| 2023 | 30.08% | 32.77% |
| 2024 | 33.88% | 37.56% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-04-22 | 2023-08-16 | -9.38 | 117 |
| 2022-09-16 | 2022-11-08 | -9.35 | 54 |
| 2024-05-21 | 2024-07-14 | -7.45 | 55 |
| 2023-01-15 | 2023-03-16 | -7.20 | 61 |
| 2024-08-06 | 2024-08-23 | -7.16 | 18 |
| 2022-02-25 | 2022-04-05 | -6.39 | 40 |
| 2024-02-19 | 2024-04-11 | -6.29 | 53 |
| 2024-07-22 | 2024-08-03 | -5.97 | 13 |
| 2023-12-11 | 2024-01-28 | -5.69 | 49 |
| 2023-11-20 | 2023-12-07 | -5.65 | 18 |