| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 6.0% |
| Cumulative Return | 70.12% |
| CAGR﹪ | 3.51% |
| Sharpe | 0.84 |
| Prob. Sharpe Ratio | 99.98% |
| Smart Sharpe | 0.82 |
| Sortino | 1.53 |
| Smart Sortino | 1.49 |
| Sortino/√2 | 1.08 |
| Smart Sortino/√2 | 1.05 |
| Omega | 1.67 |
| Max Drawdown | -6.02% |
| Max DD Date | 2024-09-19 |
| Max DD Period Start | 2024-03-15 |
| Max DD Period End | 2025-05-07 |
| Longest DD Days | 501 |
| Volatility (ann.) | 4.2% |
| Calmar | 0.58 |
| Skew | 2.37 |
| Kurtosis | 21.2 |
| Ulcer Performance Index | 25.22 |
| Risk-Adjusted Return | 58.52% |
| Risk-Return Ratio | 0.05 |
| Avg. Return | 0.24% |
| Avg. Win | 1.39% |
| Avg. Loss | -0.63% |
| Win/Loss Ratio | 2.23 |
| Profit Ratio | 0.0 |
| Expected Daily | 0.01% |
| Expected Monthly | 0.42% |
| Expected Yearly | 4.95% |
| Kelly Criterion | 17.3% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -0.42% |
| Expected Shortfall (cVaR) | -1.04% |
| Max Consecutive Wins | 3 |
| Max Consecutive Losses | 3 |
| Gain/Pain Ratio | 0.67 |
| Gain/Pain (1M) | 1.54 |
| Payoff Ratio | 2.23 |
| Profit Factor | 1.67 |
| Common Sense Ratio | - |
| CPC Index | 1.6 |
| Tail Ratio | - |
| Outlier Win Ratio | 39.51 |
| Outlier Loss Ratio | 1.67 |
| MTD | 0.0% |
| 3M | -1.92% |
| 6M | -0.58% |
| YTD | -2.82% |
| 1Y | -3.66% |
| 3Y (ann.) | 1.29% |
| 5Y (ann.) | 1.22% |
| 10Y (ann.) | 3.64% |
| All-time (ann.) | 3.51% |
| Best Day | 1.46% |
| Worst Day | -1.27% |
| Best Month | 5.42% |
| Worst Month | -2.25% |
| Best Year | 17.94% |
| Worst Year | -4.21% |
| Avg. Drawdown | -2.17% |
| Avg. Drawdown Days | 111 |
| Recovery Factor | 9.06 |
| Ulcer Index | 0.03 |
| Serenity Index | 0.96 |
| Avg. Up Month | 1.88% |
| Avg. Down Month | -0.84% |
| Win Days | 42.92% |
| Win Month | 53.33% |
| Win Quarter | 55.0% |
| Win Year | 63.64% |
| Year | Return | Cumulative |
|---|---|---|
| 2016 | 8.68 | 8.83 |
| 2017 | 8.76 | 8.84 |
| 2018 | -2.82 | -2.81 |
| 2019 | 10.33 | 10.73 |
| 2020 | 16.65 | 17.94 |
| 2021 | 4.24 | 4.21 |
| 2022 | -4.28 | -4.21 |
| 2023 | 10.51 | 10.94 |
| 2024 | 5.77 | 5.79 |
| 2025 | -0.52 | -0.61 |
| 2026 | -2.83 | -2.82 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-03-15 | 2025-05-07 | -6.02 | 419 |
| 2025-05-29 | 2026-08-15 | -5.59 | 444 |
| 2021-11-19 | 2023-02-15 | -5.29 | 454 |
| 2017-12-08 | 2019-04-22 | -4.84 | 501 |
| 2017-01-05 | 2017-05-23 | -4.33 | 139 |
| 2019-06-27 | 2020-05-06 | -3.14 | 315 |
| 2017-08-15 | 2017-11-01 | -3.11 | 79 |
| 2017-06-14 | 2017-08-13 | -2.68 | 61 |
| 2016-06-21 | 2016-10-28 | -2.52 | 130 |
| 2016-02-20 | 2016-04-23 | -2.30 | 64 |