| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 6.0% |
| Cumulative Return | 72.87% |
| CAGR﹪ | 3.62% |
| Sharpe | 0.9 |
| Prob. Sharpe Ratio | 99.99% |
| Smart Sharpe | 0.89 |
| Sortino | 1.68 |
| Smart Sortino | 1.67 |
| Sortino/√2 | 1.19 |
| Smart Sortino/√2 | 1.18 |
| Omega | 1.77 |
| Max Drawdown | -5.33% |
| Max DD Date | 2017-04-18 |
| Max DD Period Start | 2017-01-05 |
| Max DD Period End | 2017-05-23 |
| Longest DD Days | 609 |
| Volatility (ann.) | 4.05% |
| Calmar | 0.68 |
| Skew | 2.62 |
| Kurtosis | 23.25 |
| Ulcer Performance Index | 28.5 |
| Risk-Adjusted Return | 60.32% |
| Risk-Return Ratio | 0.06 |
| Avg. Return | 0.26% |
| Avg. Win | 1.38% |
| Avg. Loss | -0.57% |
| Win/Loss Ratio | 2.4 |
| Profit Ratio | 0.0 |
| Expected Daily | 0.01% |
| Expected Monthly | 0.43% |
| Expected Yearly | 5.1% |
| Kelly Criterion | 18.52% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -0.4% |
| Expected Shortfall (cVaR) | -1.02% |
| Max Consecutive Wins | 3 |
| Max Consecutive Losses | 3 |
| Gain/Pain Ratio | 0.77 |
| Gain/Pain (1M) | 1.95 |
| Payoff Ratio | 2.4 |
| Profit Factor | 1.77 |
| Common Sense Ratio | - |
| CPC Index | 1.81 |
| Tail Ratio | - |
| Outlier Win Ratio | 41.64 |
| Outlier Loss Ratio | 1.81 |
| MTD | 0.0% |
| 3M | -1.07% |
| 6M | -1.13% |
| YTD | -1.13% |
| 1Y | -3.12% |
| 3Y (ann.) | 2.92% |
| 5Y (ann.) | 2.19% |
| 10Y (ann.) | 3.88% |
| All-time (ann.) | 3.62% |
| Best Day | 1.46% |
| Worst Day | -1.27% |
| Best Month | 5.66% |
| Worst Month | -2.23% |
| Best Year | 17.8% |
| Worst Year | -2.73% |
| Avg. Drawdown | -2.01% |
| Avg. Drawdown Days | 126 |
| Recovery Factor | 10.51 |
| Ulcer Index | 0.03 |
| Serenity Index | 1.16 |
| Avg. Up Month | 1.93% |
| Avg. Down Month | -0.68% |
| Win Days | 42.47% |
| Win Month | 51.16% |
| Win Quarter | 56.76% |
| Win Year | 63.64% |
| Year | Return | Cumulative |
|---|---|---|
| 2016 | 6.98 | 6.99 |
| 2017 | 8.98 | 9.08 |
| 2018 | -2.75 | -2.73 |
| 2019 | 7.90 | 8.07 |
| 2020 | 16.53 | 17.80 |
| 2021 | 4.26 | 4.23 |
| 2022 | -1.08 | -1.08 |
| 2023 | 8.54 | 8.82 |
| 2024 | 9.81 | 10.15 |
| 2025 | -2.04 | -2.11 |
| 2026 | -1.13 | -1.13 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2017-01-05 | 2017-05-23 | -5.33 | 139 |
| 2025-05-29 | 2026-08-15 | -5.05 | 444 |
| 2017-12-08 | 2019-05-10 | -4.75 | 519 |
| 2024-03-15 | 2024-11-20 | -4.15 | 251 |
| 2016-02-20 | 2016-06-15 | -3.44 | 117 |
| 2019-06-27 | 2020-07-26 | -3.13 | 396 |
| 2024-12-22 | 2025-05-07 | -2.63 | 137 |
| 2017-08-15 | 2017-10-20 | -2.50 | 67 |
| 2021-10-22 | 2023-06-22 | -2.30 | 609 |
| 2021-02-22 | 2021-09-05 | -2.27 | 196 |