13 Feb, 2020 - 13 Jun, 2025
EOY Returns
| Year | Return | Cumulative |
|---|---|---|
| 2020 | 112.37 | 195.04% |
| 2021 | 125.90 | 239.1% |
| 2022 | 70.53 | 97.11% |
| 2023 | 52.68 | 65.34% |
| 2024 | 68.96 | 93.7% |
| 2025 | 2.78 | 1.51% |
Worst 10 Drawdowns
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-02-05 | 2025-05-09 | -8.57 | 93 |
| 2025-05-15 | 2025-06-13 | -8.00 | 29 |
| 2024-05-25 | 2024-08-04 | -6.32 | 71 |
| 2020-06-03 | 2020-07-23 | -5.63 | 50 |
| 2021-12-06 | 2022-01-22 | -5.58 | 47 |
| 2023-06-25 | 2023-10-24 | -5.37 | 121 |
| 2021-11-10 | 2021-12-05 | -5.27 | 25 |
| 2023-03-21 | 2023-04-15 | -4.74 | 25 |
| 2023-04-28 | 2023-06-22 | -4.54 | 55 |
| 2020-08-03 | 2020-08-15 | -4.46 | 12 |
Key Performance Metrics
| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 100.0% |
| Total Return | 433.23% |
| CAGR﹪ | 36.86% |
| Sharpe | 2.67 |
| Prob. Sharpe Ratio | 100.0% |
| Smart Sharpe | 2.25 |
| Sortino | 5.4 |
| Smart Sortino | 4.53 |
| Sortino/√2 | 3.82 |
| Smart Sortino/√2 | 3.21 |
| Omega | 1.69 |
| Max Drawdown | -8.57% |
| Longest DD Days | 121 |
| Volatility (ann.) | 20.97% |
| Calmar | 13.78 |
| Skew | 1.68 |
| Kurtosis | 8.22 |
| Expected Daily | 0.21% |
| Expected Monthly | 6.61% |
| Expected Yearly | 100.06% |
| Kelly Criterion | 21.45% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -1.95% |
| Expected Shortfall (cVaR) | -1.95% |
| Max Consecutive Wins | 8 |
| Max Consecutive Losses | 13 |
| Gain/Pain Ratio | 0.69 |
| Gain/Pain (1M) | 20.45 |
| Payoff Ratio | 1.54 |
| Profit Factor | 1.69 |
| Common Sense Ratio | 2.82 |
| CPC Index | 1.36 |
| Tail Ratio | 1.67 |
| Outlier Win Ratio | 4.8 |
| Outlier Loss Ratio | 3.76 |
| MTD | -3.42% |
| 3M | 5.32% |
| 6M | 2.09% |
| YTD | 2.78% |
| 1Y | 34.89% |
| 3Y (ann.) | 37.53% |
| 5Y (ann.) | 38.81% |
| 10Y (ann.) | 36.86% |
| All-time (ann.) | 36.86% |
| Best Day | 10.99% |
| Worst Day | -5.24% |
| Best Month | 24.19% |
| Worst Month | -4.6% |
| Best Year | 239.1% |
| Worst Year | 1.51% |
| Avg. Drawdown | -1.97% |
| Avg. Drawdown Days | 9 |
| Recovery Factor | 9.47 |
| Ulcer Index | 0.03 |
| Serenity Index | 44.48 |
| Avg. Up Month | 8.8% |
| Avg. Down Month | -1.86% |
| Win Days | 52.39% |
| Win Month | 81.54% |
| Win Quarter | 90.91% |
| Win Year | 100.0% |