13 Feb, 2020 - 25 Apr, 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 | -2.93 | -3.43% |
Worst 10 Drawdowns
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-02-05 | 2025-04-25 | -8.57 | 79 |
| 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 |
| 2020-03-24 | 2020-04-17 | -4.14 | 24 |
Key Performance Metrics
| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 100.0% |
| Total Return | 427.52% |
| CAGR﹪ | 37.69% |
| Sharpe | 2.73 |
| Prob. Sharpe Ratio | 100.0% |
| Smart Sharpe | 2.27 |
| Sortino | 5.48 |
| Smart Sortino | 4.56 |
| Sortino/√2 | 3.87 |
| Smart Sortino/√2 | 3.22 |
| Omega | 1.71 |
| Max Drawdown | -8.57% |
| Longest DD Days | 121 |
| Volatility (ann.) | 20.77% |
| Calmar | 14.05 |
| Skew | 1.55 |
| Kurtosis | 7.32 |
| Expected Daily | 0.22% |
| Expected Monthly | 6.74% |
| Expected Yearly | 98.4% |
| Kelly Criterion | 21.87% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -1.93% |
| Expected Shortfall (cVaR) | -1.93% |
| Max Consecutive Wins | 8 |
| Max Consecutive Losses | 6 |
| Gain/Pain Ratio | 0.71 |
| Gain/Pain (1M) | 23.19 |
| Payoff Ratio | 1.52 |
| Profit Factor | 1.71 |
| Common Sense Ratio | 2.87 |
| CPC Index | 1.37 |
| Tail Ratio | 1.68 |
| Outlier Win Ratio | 4.81 |
| Outlier Loss Ratio | 3.74 |
| MTD | -2.64% |
| 3M | -3.36% |
| 6M | 11.43% |
| YTD | -2.93% |
| 1Y | 38.88% |
| 3Y (ann.) | 39.35% |
| 5Y (ann.) | 38.7% |
| 10Y (ann.) | 37.69% |
| All-time (ann.) | 37.69% |
| Best Day | 10.99% |
| Worst Day | -5.24% |
| Best Month | 24.19% |
| Worst Month | -4.6% |
| Best Year | 239.1% |
| Worst Year | -3.43% |
| Avg. Drawdown | -1.93% |
| Avg. Drawdown Days | 9 |
| Recovery Factor | 9.58 |
| Ulcer Index | 0.03 |
| Serenity Index | 46.13 |
| Avg. Up Month | 8.82% |
| Avg. Down Month | -1.78% |
| Win Days | 52.85% |
| Win Month | 82.54% |
| Win Quarter | 86.36% |
| Win Year | 83.33% |