| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 5.0% |
| Cumulative Return | 55.39% |
| CAGR﹪ | 2.9% |
| Sharpe | 0.86 |
| Prob. Sharpe Ratio | 99.99% |
| Smart Sharpe | 0.82 |
| Sortino | 1.69 |
| Smart Sortino | 1.6 |
| Sortino/√2 | 1.19 |
| Smart Sortino/√2 | 1.13 |
| Omega | 1.94 |
| Max Drawdown | -5.9% |
| Max DD Date | 2023-01-10 |
| Max DD Period Start | 2021-10-22 |
| Max DD Period End | 2023-02-15 |
| Longest DD Days | 482 |
| Volatility (ann.) | 3.38% |
| Calmar | 0.49 |
| Skew | 3.44 |
| Kurtosis | 35.0 |
| Ulcer Performance Index | 30.33 |
| Risk-Adjusted Return | 58.08% |
| Risk-Return Ratio | 0.05 |
| Avg. Return | 0.26% |
| Avg. Win | 1.38% |
| Avg. Loss | -0.45% |
| Win/Loss Ratio | 3.05 |
| Profit Ratio | 0.0 |
| Expected Daily | 0.01% |
| Expected Monthly | 0.34% |
| Expected Yearly | 4.09% |
| Kelly Criterion | 18.92% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -0.34% |
| Expected Shortfall (cVaR) | -0.99% |
| Max Consecutive Wins | 3 |
| Max Consecutive Losses | 1 |
| Gain/Pain Ratio | 0.94 |
| Gain/Pain (1M) | 1.59 |
| Payoff Ratio | 3.05 |
| Profit Factor | 1.94 |
| Common Sense Ratio | - |
| CPC Index | 2.31 |
| Tail Ratio | - |
| Outlier Win Ratio | 57.0 |
| Outlier Loss Ratio | 1.67 |
| MTD | 0.0% |
| 3M | -0.96% |
| 6M | 0.4% |
| YTD | 0.63% |
| 1Y | -1.4% |
| 3Y (ann.) | 3.12% |
| 5Y (ann.) | 2.32% |
| 10Y (ann.) | 3.09% |
| All-time (ann.) | 2.9% |
| Best Day | 1.47% |
| Worst Day | -1.27% |
| Best Month | 5.71% |
| Worst Month | -2.21% |
| Best Year | 11.54% |
| Worst Year | -4.68% |
| Avg. Drawdown | -1.38% |
| Avg. Drawdown Days | 92 |
| Recovery Factor | 7.62 |
| Ulcer Index | 0.02 |
| Serenity Index | 1.28 |
| Avg. Up Month | 1.84% |
| Avg. Down Month | -0.67% |
| Win Days | 38.95% |
| Win Month | 48.78% |
| Win Quarter | 65.0% |
| Win Year | 72.73% |
| Year | Return | Cumulative |
|---|---|---|
| 2016 | 5.67 | 5.74 |
| 2017 | 7.57 | 7.73 |
| 2018 | -3.28 | -3.28 |
| 2019 | 5.21 | 5.26 |
| 2020 | 10.87 | 11.36 |
| 2021 | 3.86 | 3.86 |
| 2022 | -4.76 | -4.68 |
| 2023 | 11.03 | 11.54 |
| 2024 | 10.18 | 10.62 |
| 2025 | -2.04 | -2.11 |
| 2026 | 0.65 | 0.63 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-22 | 2023-02-15 | -5.90 | 482 |
| 2025-05-29 | 2026-08-15 | -4.23 | 444 |
| 2018-07-31 | 2019-05-06 | -3.38 | 280 |
| 2018-02-20 | 2018-07-23 | -2.73 | 154 |
| 2016-12-24 | 2017-05-03 | -2.22 | 131 |
| 2025-01-06 | 2025-05-07 | -2.20 | 122 |
| 2019-11-18 | 2020-02-07 | -2.13 | 82 |
| 2017-08-22 | 2017-10-20 | -2.09 | 60 |
| 2016-10-14 | 2016-10-25 | -1.27 | 12 |
| 2016-09-11 | 2016-10-10 | -1.17 | 30 |