| Metric | close | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 62.0% |
| Cumulative Return | 794.27% | 38.7% |
| CAGR﹪ | 41.45% | 5.31% |
| Sharpe | 0.9 | 0.32 |
| Prob. Sharpe Ratio | 98.94% | 79.14% |
| Smart Sharpe | 0.86 | 0.31 |
| Sortino | 1.41 | 0.47 |
| Smart Sortino | 1.35 | 0.45 |
| Sortino/√2 | 1.0 | 0.33 |
| Smart Sortino/√2 | 0.96 | 0.32 |
| Omega | 1.17 | 1.08 |
| Max Drawdown | -65.45% | -56.58% |
| Max DD Date | 2022-10-14 | 2025-04-08 |
| Max DD Period Start | 2021-11-30 | 2022-01-05 |
| Max DD Period End | 2024-01-17 | 2026-08-21 |
| Longest DD Days | 779 | 1690 |
| Volatility (ann.) | 55.03% | 34.61% |
| R^2 | 0.48 | 0.48 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 0.63 | 0.09 |
| Skew | 0.62 | 0.07 |
| Kurtosis | 4.45 | 7.66 |
| Ulcer Performance Index | 26.1 | 1.37 |
| Risk-Adjusted Return | 41.45% | 8.57% |
| Risk-Return Ratio | 0.06 | 0.02 |
| Avg. Return | 0.16% | 0.07% |
| Avg. Win | 2.68% | 2.12% |
| Avg. Loss | -2.45% | -2.05% |
| Win/Loss Ratio | 1.1 | 1.04 |
| Profit Ratio | 1.14 | 0.2 |
| Expected Daily | 0.14% | 0.02% |
| Expected Monthly | 2.89% | 0.43% |
| Expected Yearly | 36.75% | 4.78% |
| Kelly Criterion | 4.96% | 2.93% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.51% | -3.54% |
| Expected Shortfall (cVaR) | -7.37% | -5.57% |
| Max Consecutive Wins | 13 | 6 |
| Max Consecutive Losses | 8 | 6 |
| Gain/Pain Ratio | 0.17 | 0.08 |
| Gain/Pain (1M) | 0.91 | 0.32 |
| Payoff Ratio | 1.1 | 1.04 |
| Profit Factor | 1.17 | 1.08 |
| Common Sense Ratio | 1.27 | 1.18 |
| CPC Index | 0.65 | 0.56 |
| Tail Ratio | 1.08 | 1.1 |
| Outlier Win Ratio | 3.56 | 7.22 |
| Outlier Loss Ratio | 3.57 | 3.62 |
| MTD | -0.61% | -4.23% |
| 3M | 5.74% | 4.79% |
| 6M | 136.45% | 20.75% |
| YTD | 120.98% | 17.42% |
| 1Y | 186.47% | 31.45% |
| 3Y (ann.) | 70.57% | 5.4% |
| 5Y (ann.) | 36.9% | 2.56% |
| 10Y (ann.) | 41.45% | 5.31% |
| All-time (ann.) | 41.45% | 5.31% |
| Best Day | 23.82% | 16.49% |
| Worst Day | -17.31% | -13.87% |
| Best Month | 74.26% | 32.24% |
| Worst Month | -25.34% | -24.94% |
| Best Year | 127.59% | 53.15% |
| Worst Year | -54.99% | -47.28% |
| Avg. Drawdown | -9.43% | -9.55% |
| Avg. Drawdown Days | 51 | 149 |
| Recovery Factor | 4.79 | 1.25 |
| Ulcer Index | 0.3 | 0.28 |
| Serenity Index | 0.61 | 0.11 |
| Avg. Up Month | 21.98% | 8.46% |
| Avg. Down Month | -9.71% | -6.58% |
| Win Days | 50.28% | 50.61% |
| Win Month | 46.75% | 51.95% |
| Win Quarter | 57.69% | 53.85% |
| Win Year | 71.43% | 71.43% |
| Beta | - | 0.44 |
| Alpha | - | -0.1 |
| Correlation | - | 69.17% |
| Treynor Ratio | - | 88.96% |
| Year | close | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 89.56 | 35.56 | 0.40 | - |
| 2021 | 56.91 | 24.94 | 0.44 | - |
| 2022 | -54.99 | -47.28 | 0.86 | + |
| 2023 | 127.59 | 53.15 | 0.42 | - |
| 2024 | -18.06 | -29.72 | 1.65 | - |
| 2025 | 77.30 | 22.89 | 0.30 | - |
| 2026 | 120.98 | 17.42 | 0.14 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-05 | 2026-08-21 | -56.58 | 1690 |
| 2021-02-25 | 2021-11-03 | -22.20 | 252 |
| 2020-09-02 | 2020-11-27 | -14.63 | 87 |
| 2020-06-11 | 2020-07-08 | -8.88 | 28 |
| 2020-12-16 | 2021-02-23 | -8.28 | 70 |
| 2020-04-23 | 2020-06-08 | -7.65 | 47 |
| 2021-11-30 | 2021-12-20 | -6.43 | 21 |
| 2020-12-01 | 2020-12-14 | -3.81 | 14 |
| 2020-07-23 | 2020-07-23 | -3.59 | 1 |
| 2021-11-22 | 2021-11-23 | -3.53 | 2 |