| Metric | close | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 63.0% |
| Cumulative Return | 850.9% | 129.91% |
| CAGR﹪ | 42.61% | 14.02% |
| Sharpe | 0.88 | 0.52 |
| Prob. Sharpe Ratio | 98.73% | 90.62% |
| Smart Sharpe | 0.88 | 0.52 |
| Sortino | 1.34 | 0.78 |
| Smart Sortino | 1.33 | 0.78 |
| Sortino/√2 | 0.95 | 0.55 |
| Smart Sortino/√2 | 0.94 | 0.55 |
| Omega | 1.16 | 1.12 |
| Max Drawdown | -73.63% | -76.96% |
| Max DD Date | 2023-01-03 | 2022-12-27 |
| Max DD Period Start | 2021-11-05 | 2021-02-03 |
| Max DD Period End | 2024-12-10 | 2025-12-15 |
| Longest DD Days | 1132 | 1777 |
| Volatility (ann.) | 61.77% | 42.78% |
| R^2 | 0.56 | 0.56 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.58 | 0.18 |
| Skew | 0.27 | 0.57 |
| Kurtosis | 3.09 | 7.96 |
| Ulcer Performance Index | 24.59 | 3.02 |
| Risk-Adjusted Return | 42.61% | 22.25% |
| Risk-Return Ratio | 0.06 | 0.03 |
| Avg. Return | 0.19% | 0.14% |
| Avg. Win | 3.12% | 2.63% |
| Avg. Loss | -3.08% | -2.61% |
| Win/Loss Ratio | 1.01 | 1.01 |
| Profit Ratio | 0.96 | 0.2 |
| Expected Daily | 0.14% | 0.05% |
| Expected Monthly | 2.97% | 1.09% |
| Expected Yearly | 37.95% | 12.63% |
| Kelly Criterion | 5.56% | 5.0% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.18% | -4.34% |
| Expected Shortfall (cVaR) | -8.62% | -6.41% |
| Max Consecutive Wins | 13 | 8 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.16 | 0.12 |
| Gain/Pain (1M) | 0.9 | 0.46 |
| Payoff Ratio | 1.01 | 1.01 |
| Profit Factor | 1.16 | 1.12 |
| Common Sense Ratio | 1.34 | 1.23 |
| CPC Index | 0.62 | 0.59 |
| Tail Ratio | 1.15 | 1.1 |
| Outlier Win Ratio | 3.77 | 6.93 |
| Outlier Loss Ratio | 3.37 | 2.96 |
| MTD | 16.72% | 7.83% |
| 3M | -12.95% | -5.88% |
| 6M | -11.8% | -12.57% |
| YTD | -19.23% | -20.72% |
| 1Y | 12.15% | 2.51% |
| 3Y (ann.) | 11.82% | 26.3% |
| 5Y (ann.) | 8.51% | 1.54% |
| 10Y (ann.) | 42.61% | 14.02% |
| All-time (ann.) | 42.61% | 14.02% |
| Best Day | 22.69% | 21.54% |
| Worst Day | -21.06% | -15.13% |
| Best Month | 74.15% | 47.84% |
| Worst Month | -36.73% | -28.84% |
| Best Year | 515.77% | 137.28% |
| Worst Year | -65.03% | -67.67% |
| Avg. Drawdown | -12.19% | -11.59% |
| Avg. Drawdown Days | 79 | 133 |
| Recovery Factor | 4.7 | 1.83 |
| Ulcer Index | 0.35 | 0.43 |
| Serenity Index | 0.6 | 0.12 |
| Avg. Up Month | 22.2% | 12.47% |
| Avg. Down Month | -12.61% | -8.68% |
| Win Days | 52.44% | 52.34% |
| Win Month | 54.55% | 50.65% |
| Win Quarter | 65.38% | 57.69% |
| Win Year | 71.43% | 57.14% |
| Beta | - | 0.52 |
| Alpha | - | -0.06 |
| Correlation | - | 75.08% |
| Treynor Ratio | - | 249.88% |
| Year | close | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 515.77 | 137.28 | 0.27 | - |
| 2021 | 49.76 | -1.02 | -0.02 | - |
| 2022 | -65.03 | -67.67 | 1.04 | - |
| 2023 | 101.72 | 69.95 | 0.69 | - |
| 2024 | 62.52 | 36.61 | 0.59 | - |
| 2025 | 11.36 | 64.52 | 5.68 | + |
| 2026 | -19.23 | -20.72 | 1.08 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-02-03 | 2025-12-15 | -76.96 | 1777 |
| 2025-12-17 | 2026-08-21 | -31.14 | 248 |
| 2020-07-21 | 2020-11-20 | -20.47 | 123 |
| 2020-04-30 | 2020-06-09 | -9.97 | 41 |
| 2020-04-20 | 2020-04-24 | -8.91 | 5 |
| 2020-06-11 | 2020-07-01 | -8.67 | 21 |
| 2021-01-11 | 2021-01-22 | -7.82 | 12 |
| 2020-12-21 | 2021-01-05 | -7.78 | 16 |
| 2020-12-09 | 2020-12-09 | -4.26 | 1 |
| 2020-04-28 | 2020-04-28 | -3.65 | 1 |