| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | 24.42% | 23.95% |
| CAGR﹪ | 22.0% | 21.59% |
| Sharpe | 4.87 | 38.51 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 3.35 | 26.53 |
| Sortino | 8.48 | - |
| Smart Sortino | 5.85 | - |
| Sortino/√2 | 6.0 | - |
| Smart Sortino/√2 | 4.13 | - |
| Omega | 2.42 | 2.42 |
| Max Drawdown | -1.87% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 3.69% | 0.46% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 11.75 | - |
| Skew | -0.18 | 3.82 |
| Kurtosis | 2.75 | 20.85 |
| Expected Daily | 0.07% | 0.07% |
| Expected Monthly | 1.57% | 1.55% |
| Expected Yearly | 11.54% | 11.33% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.31% | -0.02% |
| Expected Shortfall (cVaR) | -0.31% | -0.02% |
| Max Consecutive Wins | 9 | 307 |
| Max Consecutive Losses | 3 | 0 |
| Gain/Pain Ratio | 1.42 | - |
| Gain/Pain (1M) | 19.49 | - |
| Payoff Ratio | - | - |
| Profit Factor | 2.42 | - |
| Common Sense Ratio | 3.68 | - |
| CPC Index | - | - |
| Tail Ratio | 1.52 | 2.02 |
| Outlier Win Ratio | 2.64 | 6.68 |
| Outlier Loss Ratio | 1.76 | - |
| MTD | 1.21% | 1.29% |
| 3M | 4.21% | 4.13% |
| 6M | 12.08% | 8.56% |
| YTD | 22.41% | 17.87% |
| 1Y | 26.15% | 20.21% |
| 3Y (ann.) | 22.0% | 21.59% |
| 5Y (ann.) | 22.0% | 21.59% |
| 10Y (ann.) | 22.0% | 21.59% |
| All-time (ann.) | 22.0% | 21.59% |
| Best Day | 0.86% | 0.24% |
| Worst Day | -0.98% | 0.0% |
| Best Month | 2.86% | 1.83% |
| Worst Month | -1.13% | 1.28% |
| Best Year | 22.41% | 17.87% |
| Worst Year | 1.64% | 5.16% |
| Avg. Drawdown | -0.18% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 13.04 | - |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 22.57 | - |
| Avg. Up Month | 1.79% | 1.55% |
| Avg. Down Month | - | - |
| Win Days | 66.9% | 100.0% |
| Win Month | 92.86% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | -0.84 | - |
| Alpha | 0.33 | - |
| Correlation | -10.38% | - |
| Treynor Ratio | -29.1% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 5.16 | 1.64 | 0.32 | - |
| 2025 | 17.87 | 22.41 | 1.25 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-10-29 | 2024-12-24 | -1.87 | 56 |
| 2025-01-22 | 2025-01-24 | -0.55 | 2 |
| 2025-03-11 | 2025-03-14 | -0.46 | 3 |
| 2025-01-08 | 2025-01-09 | -0.41 | 1 |
| 2025-04-03 | 2025-04-08 | -0.39 | 5 |
| 2025-04-09 | 2025-04-10 | -0.37 | 1 |
| 2025-01-29 | 2025-01-31 | -0.34 | 2 |
| 2025-03-06 | 2025-03-07 | -0.32 | 1 |
| 2024-10-24 | 2024-10-28 | -0.31 | 4 |
| 2025-03-25 | 2025-03-28 | -0.30 | 3 |