| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 7.0% |
| Cumulative Return | 407.48% |
| CAGR﹪ | 20.62% |
| Sharpe | 1.3 |
| Prob. Sharpe Ratio | 100.0% |
| Smart Sharpe | 1.29 |
| Sortino | 4.28 |
| Smart Sortino | 4.22 |
| Sortino/√2 | 3.03 |
| Smart Sortino/√2 | 2.99 |
| Omega | 3.36 |
| Max Drawdown | -14.15% |
| Max DD Date | 2020-05-22 |
| Max DD Period Start | 2020-04-21 |
| Max DD Period End | 2020-06-08 |
| Longest DD Days | 160 |
| Volatility (ann.) | 15.24% |
| Calmar | 1.46 |
| Skew | 10.52 |
| Kurtosis | 171.43 |
| Expected Daily | 0.07% |
| Expected Monthly | 2.25% |
| Expected Yearly | 26.12% |
| Kelly Criterion | 39.6% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -1.5% |
| Expected Shortfall (cVaR) | -2.74% |
| Max Consecutive Wins | 1 |
| Max Consecutive Losses | 1 |
| Gain/Pain Ratio | 2.36 |
| Gain/Pain (1M) | 4.81 |
| Payoff Ratio | 2.6 |
| Profit Factor | 3.36 |
| Common Sense Ratio | - |
| CPC Index | 4.92 |
| Tail Ratio | - |
| Outlier Win Ratio | 32.21 |
| Outlier Loss Ratio | 0.96 |
| MTD | 0.5% |
| 3M | 4.47% |
| 6M | 3.98% |
| YTD | 0.5% |
| 1Y | 17.6% |
| 3Y (ann.) | 12.05% |
| 5Y (ann.) | 13.93% |
| 10Y (ann.) | 20.62% |
| All-time (ann.) | 20.62% |
| Best Day | 21.21% |
| Worst Day | -6.7% |
| Best Month | 27.48% |
| Worst Month | -9.59% |
| Best Year | 89.25% |
| Worst Year | 0.5% |
| Avg. Drawdown | -2.6% |
| Avg. Drawdown Days | 51 |
| Recovery Factor | 12.15 |
| Ulcer Index | 0.02 |
| Serenity Index | 11.06 |
| Avg. Up Month | 4.42% |
| Avg. Down Month | -1.48% |
| Win Days | 56.39% |
| Win Month | 66.2% |
| Win Quarter | 92.0% |
| Win Year | 100.0% |
| Year | Return | Cumulative |
|---|---|---|
| 2020 | 68.9% | 89.25% |
| 2021 | 27.94% | 30.25% |
| 2022 | 25.47% | 27.56% |
| 2023 | 24.68% | 27.08% |
| 2024 | 8.13% | 7.99% |
| 2025 | 16.31% | 17.02% |
| 2026 | 0.5% | 0.5% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-04-21 | 2020-06-08 | -14.15 | 49 |
| 2021-02-26 | 2021-06-07 | -5.15 | 102 |
| 2022-02-14 | 2022-03-21 | -4.54 | 36 |
| 2025-04-07 | 2025-04-24 | -4.48 | 18 |
| 2024-10-17 | 2025-03-25 | -3.51 | 160 |
| 2021-06-17 | 2021-09-06 | -3.13 | 82 |
| 2022-05-19 | 2022-05-30 | -3.09 | 12 |
| 2021-11-16 | 2022-01-13 | -2.93 | 59 |
| 2024-07-05 | 2024-09-05 | -2.91 | 63 |
| 2022-08-25 | 2022-11-09 | -2.80 | 77 |