| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 2.0% |
| Cumulative Return | 132.19% |
| CAGR﹪ | 8.2% |
| Sharpe | 0.66 |
| Prob. Sharpe Ratio | 99.68% |
| Smart Sharpe | 0.66 |
| Sortino | 1.47 |
| Smart Sortino | 1.47 |
| Sortino/√2 | 1.04 |
| Smart Sortino/√2 | 1.04 |
| Omega | 2.41 |
| Max Drawdown | -11.22% |
| Max DD Date | 2018-12-19 |
| Max DD Period Start | 2018-03-25 |
| Max DD Period End | 2019-07-30 |
| Longest DD Days | 493 |
| Volatility (ann.) | 13.12% |
| Calmar | 0.73 |
| Skew | 14.64 |
| Kurtosis | 456.93 |
| Expected Daily | 0.02% |
| Expected Monthly | 0.66% |
| Expected Yearly | 7.27% |
| Kelly Criterion | 39.36% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -1.11% |
| Expected Shortfall (cVaR) | -4.91% |
| Max Consecutive Wins | 1 |
| Max Consecutive Losses | 1 |
| Gain/Pain Ratio | 1.41 |
| Gain/Pain (1M) | 1.49 |
| Payoff Ratio | 1.17 |
| Profit Factor | 2.41 |
| Common Sense Ratio | - |
| CPC Index | 1.89 |
| Tail Ratio | - |
| Outlier Win Ratio | 0.0 |
| Outlier Loss Ratio | -0.0 |
| MTD | -1.08% |
| 3M | -3.9% |
| 6M | 10.16% |
| YTD | -1.08% |
| 1Y | 3.41% |
| 3Y (ann.) | 9.73% |
| 5Y (ann.) | 7.27% |
| 10Y (ann.) | 8.27% |
| All-time (ann.) | 8.2% |
| Best Day | 23.1% |
| Worst Day | -9.19% |
| Best Month | 23.1% |
| Worst Month | -9.19% |
| Best Year | 23.22% |
| Worst Year | -7.75% |
| Avg. Drawdown | -6.25% |
| Avg. Drawdown Days | 233 |
| Recovery Factor | 8.28 |
| Ulcer Index | 0.04 |
| Serenity Index | 1.47 |
| Avg. Up Month | 4.85% |
| Avg. Down Month | -3.9% |
| Win Days | 67.35% |
| Win Month | 66.67% |
| Win Quarter | 67.57% |
| Win Year | 83.33% |
| Year | Return | Cumulative |
|---|---|---|
| 2015 | 4.82% | 4.83% |
| 2016 | 2.16% | 1.98% |
| 2017 | 13.31% | 13.66% |
| 2018 | -7.29% | -7.75% |
| 2019 | 17.99% | 19.23% |
| 2020 | 23.51% | 23.22% |
| 2021 | 3.95% | 3.34% |
| 2022 | 4.03% | 4.05% |
| 2023 | 7.89% | 7.0% |
| 2024 | 17.98% | 18.52% |
| 2025 | 5.65% | 4.54% |
| 2026 | -1.08% | -1.08% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2018-03-25 | 2019-07-30 | -11.22 | 493 |
| 2021-01-31 | 2022-04-05 | -11.19 | 430 |
| 2023-09-26 | 2024-07-16 | -10.14 | 295 |
| 2025-02-27 | 2025-08-02 | -6.13 | 157 |
| 2020-02-24 | 2020-07-25 | -5.39 | 153 |
| 2016-06-26 | 2017-03-20 | -4.36 | 268 |
| 2025-11-06 | 2026-01-04 | -3.92 | 60 |
| 2017-06-11 | 2017-11-28 | -2.04 | 171 |
| 2020-10-26 | 2021-01-05 | -1.87 | 72 |