Performance Results from (2018-02-07 to 2025-02-07)

15 Mar, 2018 - 7 Feb, 2025

Key Performance Metrics

Metric	Equity Realised	Equity Realised + Unrealised
Risk-Free Rate	0.0%	0.0%
Time in Market	3.0%	70.0%
Cumulative Return	290.19%	306.8%
CAGR﹪	14.58%	15.06%
Sharpe	0.51	0.43
Prob. Sharpe Ratio	99.81%	98.34%
Smart Sharpe	0.38	0.32
Sortino	3.43	1.21
Smart Sortino	2.56	0.9
Sortino/√2	2.42	0.86
Smart Sortino/√2	1.81	0.64
Omega	1.4	1.4
Max Drawdown	-15.76%	-78.62%
Longest DD Days	737	1069
Volatility (ann.)	36.01%	90.78%
R^2	0.06	0.06
Information Ratio	0.01	0.01
Calmar	0.93	0.19
Skew	29.35	29.86
Kurtosis	942.9	1237.63
Expected Daily	0.05%	0.06%
Expected Monthly	1.63%	1.68%
Expected Yearly	18.55%	19.17%
Kelly Criterion	36.76%	46.44%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.66%	-9.25%
Expected Shortfall (cVaR)	-3.66%	-9.25%
Max Consecutive Wins	1	5
Max Consecutive Losses	2	5
Gain/Pain Ratio	2.78	0.4
Gain/Pain (1M)	3.06	3.11
Payoff Ratio	5.92	8.3
Profit Factor	3.78	1.4
Common Sense Ratio	-	1.54
CPC Index	10.27	6.05
Tail Ratio	-	1.1
Outlier Win Ratio	29.6	3.57
Outlier Loss Ratio	1.18	1.97
MTD	4.55%	8.94%
3M	0.86%	2.98%
6M	-1.16%	5.06%
YTD	2.49%	4.75%
1Y	-1.3%	9.94%
3Y (ann.)	9.23%	9.77%
5Y (ann.)	19.28%	24.42%
10Y (ann.)	14.58%	15.06%
All-time (ann.)	14.58%	15.06%
Best Day	79.87%	238.33%
Worst Day	-9.12%	-67.88%
Best Month	79.87%	58.87%
Worst Month	-13.44%	-20.19%
Best Year	178.52%	112.9%
Worst Year	-13.66%	-15.98%
Avg. Drawdown	-8.79%	-11.47%
Avg. Drawdown Days	292	130
Recovery Factor	11.56	5.01
Ulcer Index	0.07	0.37
Serenity Index	4.82	0.98
Avg. Up Month	11.45%	4.08%
Avg. Down Month	-1.19%	-3.11%
Win Days	45.9%	52.2%
Win Month	53.33%	61.9%
Win Quarter	44.0%	58.62%
Win Year	62.5%	87.5%
Beta	-	0.63
Alpha	-	0.28
Correlation	-	24.99%
Treynor Ratio	-	487.09%