| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 97.0% |
| Cumulative Return | 6,149.63% |
| CAGR﹪ | 24.79% |
| Sharpe | 1.35 |
| Prob. Sharpe Ratio | 100.0% |
| Smart Sharpe | 1.33 |
| Sortino | 2.08 |
| Smart Sortino | 2.06 |
| Sortino/√2 | 1.47 |
| Smart Sortino/√2 | 1.46 |
| Omega | 1.3 |
| Max Drawdown | -25.5% |
| Longest DD Days | 782 |
| Volatility (ann.) | 27.58% |
| Calmar | 0.97 |
| Skew | 0.55 |
| Kurtosis | 17.29 |
| Expected Daily | 0.13% |
| Expected Monthly | 2.69% |
| Expected Yearly | 34.36% |
| Kelly Criterion | 12.35% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -2.71% |
| Expected Shortfall (cVaR) | -2.71% |
| Max Consecutive Wins | 10 |
| Max Consecutive Losses | 8 |
| Gain/Pain Ratio | 0.3 |
| Gain/Pain (1M) | 2.32 |
| Payoff Ratio | 1.12 |
| Profit Factor | 1.3 |
| Common Sense Ratio | 1.65 |
| CPC Index | 0.78 |
| Tail Ratio | 1.27 |
| Outlier Win Ratio | 4.12 |
| Outlier Loss Ratio | 4.16 |
| MTD | 0.35% |
| 3M | 11.66% |
| 6M | 30.35% |
| YTD | 26.41% |
| 1Y | 74.99% |
| 3Y (ann.) | 33.66% |
| 5Y (ann.) | 23.93% |
| 10Y (ann.) | 21.05% |
| All-time (ann.) | 24.79% |
| Best Day | 19.99% |
| Worst Day | -16.28% |
| Best Month | 36.42% |
| Worst Month | -10.38% |
| Best Year | 137.55% |
| Worst Year | -8.47% |
| Avg. Drawdown | -4.46% |
| Avg. Drawdown Days | 32 |
| Recovery Factor | 18.07 |
| Ulcer Index | 0.1 |
| Serenity Index | 4.53 |
| Avg. Up Month | 6.53% |
| Avg. Down Month | -3.97% |
| Win Days | 53.71% |
| Win Month | 66.03% |
| Win Quarter | 76.92% |
| Win Year | 85.71% |
| Year | Return | Cumulative |
|---|---|---|
| 2013 | -7.22% | -8.47% |
| 2014 | 70.64% | 95.26% |
| 2015 | 94.88% | 137.55% |
| 2016 | -1.2% | -3.14% |
| 2017 | 16.89% | 17.35% |
| 2018 | 14.61% | 13.81% |
| 2019 | 40.34% | 46.11% |
| 2020 | 37.55% | 36.91% |
| 2021 | 12.91% | 11.15% |
| 2022 | 15.46% | 14.49% |
| 2023 | 25.6% | 27.74% |
| 2024 | 59.91% | 67.33% |
| 2025 | 53.52% | 65.43% |
| 2026 | 26.86% | 26.41% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-10-09 | 2025-04-15 | -25.50 | 189 |
| 2020-02-14 | 2020-06-29 | -24.36 | 137 |
| 2015-11-26 | 2018-01-15 | -23.40 | 782 |
| 2013-10-10 | 2014-09-11 | -22.18 | 337 |
| 2025-10-20 | 2026-01-28 | -20.27 | 101 |
| 2015-06-04 | 2015-10-09 | -19.85 | 128 |
| 2020-09-04 | 2021-01-06 | -18.62 | 125 |
| 2021-01-26 | 2021-05-24 | -18.15 | 119 |
| 2026-01-30 | 2026-05-12 | -17.82 | 103 |
| 2021-07-22 | 2022-06-22 | -15.98 | 336 |