| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 100.0% |
| Cumulative Return | 246.31% |
| CAGR﹪ | 8.95% |
| Sharpe | 3.32 |
| Prob. Sharpe Ratio | 100.0% |
| Smart Sharpe | 3.27 |
| Sortino | 5.18 |
| Smart Sortino | 5.1 |
| Sortino/√2 | 3.66 |
| Smart Sortino/√2 | 3.61 |
| Omega | 1.77 |
| Max Drawdown | -3.65% |
| Longest DD Days | 259 |
| Volatility (ann.) | 3.64% |
| Calmar | 2.45 |
| Skew | -0.28 |
| Kurtosis | 7.83 |
| Expected Daily | 0.05% |
| Expected Monthly | 1.04% |
| Expected Yearly | 11.95% |
| Kelly Criterion | 27.3% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -0.33% |
| Expected Shortfall (cVaR) | -0.33% |
| Max Consecutive Wins | 22 |
| Max Consecutive Losses | 7 |
| Gain/Pain Ratio | 0.77 |
| Gain/Pain (1M) | 9.7 |
| Payoff Ratio | 1.06 |
| Profit Factor | 1.77 |
| Common Sense Ratio | 2.03 |
| CPC Index | 1.18 |
| Tail Ratio | 1.14 |
| Outlier Win Ratio | 3.03 |
| Outlier Loss Ratio | 3.43 |
| MTD | 2.49% |
| 3M | 2.35% |
| 6M | 5.2% |
| YTD | 3.71% |
| 1Y | 3.99% |
| 3Y (ann.) | 4.92% |
| 5Y (ann.) | 6.15% |
| 10Y (ann.) | 8.95% |
| All-time (ann.) | 8.95% |
| Best Day | 1.83% |
| Worst Day | -1.96% |
| Best Month | 4.83% |
| Worst Month | -1.43% |
| Best Year | 21.81% |
| Worst Year | 3.71% |
| Avg. Drawdown | -0.39% |
| Avg. Drawdown Days | 9 |
| Recovery Factor | 67.44 |
| Ulcer Index | 0.01 |
| Serenity Index | 50.04 |
| Avg. Up Month | 1.37% |
| Avg. Down Month | -0.68% |
| Win Days | 62.58% |
| Win Month | 84.17% |
| Win Quarter | 92.68% |
| Win Year | 100.0% |
| Year | Return | Cumulative |
|---|---|---|
| 2014 | 12.65% | 13.44% |
| 2015 | 19.86% | 21.81% |
| 2016 | 19.67% | 21.61% |
| 2017 | 12.31% | 13.05% |
| 2018 | 14.72% | 15.8% |
| 2019 | 8.21% | 8.51% |
| 2020 | 13.38% | 14.23% |
| 2021 | 6.05% | 6.19% |
| 2022 | 8.64% | 8.91% |
| 2023 | 5.79% | 5.9% |
| 2024 | 3.65% | 3.71% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-03-28 | 2023-12-11 | -3.65 | 259 |
| 2020-03-02 | 2020-03-31 | -3.12 | 30 |
| 2015-08-20 | 2015-10-08 | -2.73 | 50 |
| 2015-01-08 | 2015-02-13 | -2.61 | 37 |
| 2016-06-06 | 2016-07-01 | -2.53 | 26 |
| 2022-11-25 | 2023-01-25 | -2.37 | 62 |
| 2021-07-06 | 2021-11-23 | -2.13 | 141 |
| 2022-05-09 | 2022-07-08 | -2.03 | 61 |
| 2023-12-13 | 2024-01-24 | -1.81 | 43 |
| 2019-08-01 | 2019-10-07 | -1.71 | 68 |