| Metric | close | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 73.0% |
| Cumulative Return | 177.48% | 33.44% |
| CAGR﹪ | 17.52% | 4.67% |
| Sharpe | 0.72 | 0.33 |
| Prob. Sharpe Ratio | 96.6% | 79.33% |
| Smart Sharpe | 0.69 | 0.31 |
| Sortino | 1.07 | 0.47 |
| Smart Sortino | 1.02 | 0.45 |
| Sortino/√2 | 0.76 | 0.33 |
| Smart Sortino/√2 | 0.72 | 0.32 |
| Omega | 1.13 | 1.07 |
| Max Drawdown | -37.56% | -32.8% |
| Max DD Date | 2022-11-03 | 2026-03-27 |
| Max DD Period Start | 2021-11-22 | 2025-10-29 |
| Max DD Period End | 2023-06-14 | 2026-08-21 |
| Longest DD Days | 570 | 752 |
| Volatility (ann.) | 27.73% | 20.47% |
| R^2 | 0.64 | 0.64 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.47 | 0.14 |
| Skew | 0.41 | 0.08 |
| Kurtosis | 6.27 | 7.79 |
| Ulcer Performance Index | 12.41 | 2.4 |
| Risk-Adjusted Return | 17.52% | 6.4% |
| Risk-Return Ratio | 0.05 | 0.02 |
| Avg. Return | 0.07% | 0.04% |
| Avg. Win | 1.33% | 1.1% |
| Avg. Loss | -1.33% | -1.12% |
| Win/Loss Ratio | 1.0 | 0.98 |
| Profit Ratio | 0.93 | 0.31 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.33% | 0.38% |
| Expected Yearly | 15.7% | 4.21% |
| Kelly Criterion | 4.85% | 2.52% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.79% | -2.09% |
| Expected Shortfall (cVaR) | -3.9% | -3.09% |
| Max Consecutive Wins | 9 | 7 |
| Max Consecutive Losses | 8 | 8 |
| Gain/Pain Ratio | 0.13 | 0.07 |
| Gain/Pain (1M) | 0.78 | 0.31 |
| Payoff Ratio | 1.0 | 0.98 |
| Profit Factor | 1.13 | 1.07 |
| Common Sense Ratio | 1.12 | 1.01 |
| CPC Index | 0.6 | 0.54 |
| Tail Ratio | 0.99 | 0.95 |
| Outlier Win Ratio | 3.61 | 5.89 |
| Outlier Loss Ratio | 3.44 | 3.49 |
| MTD | 4.53% | 1.02% |
| 3M | 15.37% | 0.23% |
| 6M | 22.29% | 7.33% |
| YTD | 0.44% | -13.11% |
| 1Y | -3.95% | -19.93% |
| 3Y (ann.) | 15.36% | 0.48% |
| 5Y (ann.) | 10.77% | -1.68% |
| 10Y (ann.) | 17.52% | 4.67% |
| All-time (ann.) | 17.52% | 4.67% |
| Best Day | 15.51% | 10.12% |
| Worst Day | -9.99% | -9.99% |
| Best Month | 24.58% | 10.93% |
| Worst Month | -17.15% | -12.31% |
| Best Year | 56.8% | 26.44% |
| Worst Year | -28.69% | -18.51% |
| Avg. Drawdown | -3.68% | -3.28% |
| Avg. Drawdown Days | 30 | 43 |
| Recovery Factor | 3.36 | 1.28 |
| Ulcer Index | 0.14 | 0.14 |
| Serenity Index | 0.52 | 0.14 |
| Avg. Up Month | 7.19% | 4.34% |
| Avg. Down Month | -5.63% | -4.57% |
| Win Days | 52.42% | 51.65% |
| Win Month | 55.84% | 55.84% |
| Win Quarter | 65.38% | 61.54% |
| Win Year | 85.71% | 57.14% |
| Beta | - | 0.59 |
| Alpha | - | -0.05 |
| Correlation | - | 79.79% |
| Treynor Ratio | - | 56.77% |
| Year | close | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 34.69 | 26.44 | 0.76 | - |
| 2021 | 51.21 | 26.43 | 0.52 | - |
| 2022 | -28.69 | -18.51 | 0.65 | + |
| 2023 | 56.80 | 18.94 | 0.33 | - |
| 2024 | 12.09 | 2.75 | 0.23 | - |
| 2025 | 14.74 | -3.54 | -0.24 | - |
| 2026 | 0.44 | -13.11 | -29.55 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-10-29 | 2026-08-21 | -32.80 | 297 |
| 2021-12-28 | 2024-01-18 | -30.46 | 752 |
| 2024-02-12 | 2025-09-12 | -17.40 | 579 |
| 2020-08-31 | 2020-12-21 | -9.62 | 113 |
| 2021-02-18 | 2021-04-01 | -8.10 | 43 |
| 2020-12-29 | 2021-01-19 | -5.65 | 22 |
| 2020-08-04 | 2020-08-19 | -4.29 | 16 |
| 2020-06-11 | 2020-07-13 | -4.00 | 33 |
| 2021-08-31 | 2021-10-06 | -3.78 | 37 |
| 2021-12-13 | 2021-12-21 | -3.72 | 9 |