13 Feb, 2020 - 27 Jan, 2025
EOY Returns
| Year | Return | Cumulative |
|---|---|---|
| 2020 | 105.11 | 181.29% |
| 2021 | 96.37 | 158.39% |
| 2022 | 65.94 | 91.12% |
| 2023 | 45.31 | 55.53% |
| 2024 | 65.19 | 89.5% |
| 2025 | -0.03 | -0.05% |
Worst 10 Drawdowns
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-11 | 2021-12-05 | -6.07 | 24 |
| 2023-06-24 | 2023-10-25 | -4.81 | 123 |
| 2023-05-04 | 2023-06-22 | -4.50 | 49 |
| 2024-05-25 | 2024-07-26 | -4.15 | 62 |
| 2023-03-22 | 2023-04-15 | -4.08 | 24 |
| 2021-12-08 | 2022-01-22 | -3.84 | 45 |
| 2020-06-03 | 2020-07-24 | -3.74 | 51 |
| 2024-08-08 | 2024-10-03 | -3.63 | 56 |
| 2023-12-30 | 2024-01-12 | -3.62 | 13 |
| 2020-05-11 | 2020-05-31 | -3.58 | 20 |
Key Performance Metrics
| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 100.0% |
| Total Return | 377.89% |
| CAGR﹪ | 37.09% |
| Sharpe | 3.92 |
| Prob. Sharpe Ratio | 100.0% |
| Smart Sharpe | 2.85 |
| Sortino | 11.85 |
| Smart Sortino | 8.63 |
| Sortino/√2 | 8.38 |
| Smart Sortino/√2 | 6.1 |
| Omega | 2.59 |
| Max Drawdown | -6.07% |
| Longest DD Days | 123 |
| Volatility (ann.) | 13.43% |
| Calmar | 18.36 |
| Skew | 3.28 |
| Kurtosis | 18.84 |
| Expected Daily | 0.21% |
| Expected Monthly | 6.38% |
| Expected Yearly | 85.63% |
| Kelly Criterion | 31.6% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -1.18% |
| Expected Shortfall (cVaR) | -1.18% |
| Max Consecutive Wins | 20 |
| Max Consecutive Losses | 11 |
| Gain/Pain Ratio | 1.59 |
| Gain/Pain (1M) | 22.31 |
| Payoff Ratio | 2.45 |
| Profit Factor | 2.59 |
| Common Sense Ratio | 7.12 |
| CPC Index | 3.26 |
| Tail Ratio | 2.75 |
| Outlier Win Ratio | 5.36 |
| Outlier Loss Ratio | 4.05 |
| MTD | -0.03% |
| 3M | 14.75% |
| 6M | 28.78% |
| YTD | -0.03% |
| 1Y | 62.54% |
| 3Y (ann.) | 40.13% |
| 5Y (ann.) | 37.32% |
| 10Y (ann.) | 37.09% |
| All-time (ann.) | 37.09% |
| Best Day | 8.07% |
| Worst Day | -2.87% |
| Best Month | 22.63% |
| Worst Month | -3.57% |
| Best Year | 181.29% |
| Worst Year | -0.05% |
| Avg. Drawdown | -1.19% |
| Avg. Drawdown Days | 10 |
| Recovery Factor | 12.55 |
| Ulcer Index | 0.02 |
| Serenity Index | 58.68 |
| Avg. Up Month | 7.89% |
| Avg. Down Month | -2.12% |
| Win Days | 51.44% |
| Win Month | 86.67% |
| Win Quarter | 90.48% |
| Win Year | 83.33% |