METRICS
| Start Date | Jul 25, 2023 | |||
| End Date | Dec 13, 2025 | |||
Main Metrics
| Metric | STRATEGY |
|---|---|
| Cumulative Return [%] | 322.0% |
| CAGR [%] | 82.7% |
| Volatility [%] | 42.3% |
| Sharpe | 1.6274 |
| Sortino | 3.4092 |
| Calmar | 4.0413 |
| Max Drawdown (MD) [%] | -20.5% |
| Duration of MD [days] | 240 |
| Max Drawdown Duration (MDD) [days] | 240 |
| Drawdown of MDD [%] | -20.5% |
Returns Metrics
| Metric | STRATEGY |
|---|---|
| 1-day VaR (95%) | -2.51% |
| 1-month VaR (99%) | -13.72% |
| CVaR (95%) | -3.85% |
| CVaR (99%) | -16.36% |
| Gini Coefficient | 0.7740 |
| Omega Ratio | 1.4692 |
| Gain/Pain Ratio (1M) | 3.9130 |
| Tail Ratio | 1.4847 |
| Outlier Win Ratio | 0.0172 |
| Outlier Loss Ratio | 0.0023 |
Rolling Metrics
| Metric | STRATEGY |
|---|---|
| Rolling Sharpe 30d Mean | 1.1605 |
| Rolling Sharpe 30d Median | 1.7193 |
| Rolling Sharpe 30d Last | 2.6815 |
| Rolling Sharpe 90d Mean | 1.4074 |
| Rolling Sharpe 90d Median | 1.7322 |
| Rolling Sharpe 90d Last | 4.3893 |
| Rolling Sharpe 365d Mean | 1.5755 |
| Rolling Sharpe 365d Median | 1.5746 |
| Rolling Sharpe 365d Last | 2.4782 |
Cumulative Return Metrics
| Metric | STRATEGY |
|---|---|
| MTD [%] | 6.8% |
| 3M [%] | 88.8% |
| 6M [%] | 68.5% |
| YTD [%] | 277.6% |
| Best Day [%] | 18.0% |
| Worst Day [%] | -8.2% |
| Best Month [%] | 34.3% |
| Worst Month [%] | -16.4% |
| Best Year [%] | 277.6% |
| Worst Year [%] | -8.9% |
Benchmark Metrics
| Metric | STRATEGY |
|---|---|
| Alpha | - |
| Beta | - |
| Information Ratio | - |
| Treynor Ratio | - |
| Correlation | - |
Worst Drawdowns
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-08-19 | 2024-04-15 | -20.46 | 240 |
| 2024-11-24 | 2025-02-04 | -19.1 | 72 |
| 2025-08-26 | 2025-10-11 | -17.07 | 46 |
| 2025-07-19 | 2025-08-23 | -14.98 | 35 |
| 2025-12-06 | 2025-12-13 | -14.05 | 7 |
| 2025-02-05 | 2025-02-26 | -12.76 | 21 |
| 2025-06-14 | 2025-07-18 | -11.65 | 34 |
| 2023-08-03 | 2023-08-18 | -8.89 | 15 |
| 2024-10-08 | 2024-11-08 | -7.9 | 31 |
| 2024-07-09 | 2024-08-06 | -6.2 | 28 |
PLOTS
