| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 71.0% |
| Cumulative Return | 2.56% |
| CAGR﹪ | 4.43% |
| Sharpe | 0.78 |
| Prob. Sharpe Ratio | 72.77% |
| Smart Sharpe | 0.71 |
| Sortino | 1.22 |
| Smart Sortino | 1.1 |
| Sortino/√2 | 0.86 |
| Smart Sortino/√2 | 0.78 |
| Omega | 1.16 |
| Max Drawdown | -3.21% |
| Max DD Date | 2024-09-26 |
| Max DD Period Start | 2024-08-12 |
| Max DD Period End | 2024-11-10 |
| Longest DD Days | 91 |
| Volatility (ann.) | 5.76% |
| Calmar | 1.38 |
| Skew | 0.76 |
| Kurtosis | 3.75 |
| Expected Daily | 0.02% |
| Expected Monthly | 0.51% |
| Expected Yearly | 2.56% |
| Kelly Criterion | 7.53% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -0.58% |
| Expected Shortfall (cVaR) | -0.68% |
| Max Consecutive Wins | 5 |
| Max Consecutive Losses | 4 |
| Gain/Pain Ratio | 0.16 |
| Gain/Pain (1M) | 0.94 |
| Payoff Ratio | 1.0 |
| Profit Factor | 1.16 |
| Common Sense Ratio | 1.04 |
| CPC Index | 0.62 |
| Tail Ratio | 0.9 |
| Outlier Win Ratio | 5.72 |
| Outlier Loss Ratio | 2.22 |
| MTD | 1.74% |
| 3M | 5.72% |
| 6M | 2.56% |
| YTD | 2.56% |
| 1Y | 2.56% |
| 3Y (ann.) | 4.43% |
| 5Y (ann.) | 4.43% |
| 10Y (ann.) | 4.43% |
| All-time (ann.) | 4.43% |
| Best Day | 1.73% |
| Worst Day | -0.76% |
| Best Month | 2.29% |
| Worst Month | -1.6% |
| Best Year | 2.56% |
| Worst Year | 2.56% |
| Avg. Drawdown | -1.61% |
| Avg. Drawdown Days | 33 |
| Recovery Factor | 0.82 |
| Ulcer Index | 0.02 |
| Serenity Index | 0.2 |
| Avg. Up Month | 1.8% |
| Avg. Down Month | -1.4% |
| Win Days | 53.85% |
| Win Month | 60.0% |
| Win Quarter | 50.0% |
| Win Year | 100.0% |
| Year | Return | Cumulative |
|---|---|---|
| 2024 | 2.63% | 2.56% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-08-12 | 2024-11-10 | -3.21 | 91 |
| 2024-11-25 | 2024-12-17 | -1.80 | 23 |
| 2024-12-19 | 2024-12-30 | -0.77 | 12 |
| 2024-11-15 | 2024-11-20 | -0.67 | 6 |