2 Jan, 2021 - 6 Sep, 2025
EOY Returns
| Year | Return | Cumulative |
|---|---|---|
| 2021 | 80.37 | 119.04% |
| 2022 | 43.25 | 51.84% |
| 2023 | 55.31 | 70.21% |
| 2024 | 52.23 | 65.79% |
| 2025 | 19.61 | 20.44% |
Worst 10 Drawdowns
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-04-28 | 2023-06-11 | -5.66 | 44 |
| 2024-08-07 | 2024-10-21 | -5.08 | 75 |
| 2025-02-05 | 2025-04-08 | -4.79 | 62 |
| 2024-05-23 | 2024-07-21 | -4.53 | 59 |
| 2022-09-15 | 2022-10-26 | -4.17 | 41 |
| 2021-12-06 | 2022-01-06 | -4.06 | 31 |
| 2025-05-15 | 2025-07-17 | -3.93 | 63 |
| 2022-08-15 | 2022-08-28 | -3.80 | 13 |
| 2023-01-18 | 2023-01-21 | -3.77 | 3 |
| 2023-03-22 | 2023-04-14 | -3.77 | 23 |
Key Performance Metrics
| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 100.0% |
| Total Return | 250.78% |
| CAGR﹪ | 30.76% |
| Sharpe | 2.37 |
| Prob. Sharpe Ratio | 100.0% |
| Smart Sharpe | 2.01 |
| Sortino | 4.83 |
| Smart Sortino | 4.08 |
| Sortino/√2 | 3.42 |
| Smart Sortino/√2 | 2.89 |
| Omega | 1.65 |
| Max Drawdown | -5.66% |
| Longest DD Days | 75 |
| Volatility (ann.) | 15.58% |
| Calmar | 11.99 |
| Skew | 2.26 |
| Kurtosis | 14.34 |
| Expected Daily | 0.14% |
| Expected Monthly | 4.35% |
| Expected Yearly | 62.42% |
| Kelly Criterion | 20.3% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -1.47% |
| Expected Shortfall (cVaR) | -1.47% |
| Max Consecutive Wins | 13 |
| Max Consecutive Losses | 8 |
| Gain/Pain Ratio | 0.65 |
| Gain/Pain (1M) | 49.8 |
| Payoff Ratio | 1.53 |
| Profit Factor | 1.65 |
| Common Sense Ratio | 2.7 |
| CPC Index | 1.31 |
| Tail Ratio | 1.64 |
| Outlier Win Ratio | 4.92 |
| Outlier Loss Ratio | 4.36 |
| MTD | -0.44% |
| 3M | 4.55% |
| 6M | 12.19% |
| YTD | 19.61% |
| 1Y | 31.59% |
| 3Y (ann.) | 33.97% |
| 5Y (ann.) | 30.76% |
| 10Y (ann.) | 30.76% |
| All-time (ann.) | 30.76% |
| Best Day | 8.98% |
| Worst Day | -3.73% |
| Best Month | 17.77% |
| Worst Month | -1.69% |
| Best Year | 119.04% |
| Worst Year | 20.44% |
| Avg. Drawdown | -1.64% |
| Avg. Drawdown Days | 11 |
| Recovery Factor | 9.46 |
| Ulcer Index | 0.02 |
| Serenity Index | 40.27 |
| Avg. Up Month | 5.37% |
| Avg. Down Month | -0.62% |
| Win Days | 51.76% |
| Win Month | 84.21% |
| Win Quarter | 100.0% |
| Win Year | 100.0% |