| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | 29.47% | 28.82% |
| CAGR﹪ | 20.89% | 20.44% |
| Sharpe | 4.93 | 38.4 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 3.46 | 26.92 |
| Sortino | 8.78 | - |
| Smart Sortino | 6.15 | - |
| Sortino/√2 | 6.21 | - |
| Smart Sortino/√2 | 4.35 | - |
| Omega | 2.51 | 2.51 |
| Max Drawdown | -1.87% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 3.42% | 0.43% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 11.15 | - |
| Skew | -0.08 | 4.01 |
| Kurtosis | 3.32 | 23.57 |
| Expected Daily | 0.07% | 0.07% |
| Expected Monthly | 1.45% | 1.42% |
| Expected Yearly | 8.99% | 8.81% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.29% | -0.02% |
| Expected Shortfall (cVaR) | -0.29% | -0.02% |
| Max Consecutive Wins | 9 | 386 |
| Max Consecutive Losses | 3 | 0 |
| Gain/Pain Ratio | 1.51 | - |
| Gain/Pain (1M) | 23.03 | - |
| Payoff Ratio | - | - |
| Profit Factor | 2.51 | - |
| Common Sense Ratio | 4.22 | - |
| CPC Index | - | - |
| Tail Ratio | 1.68 | 2.02 |
| Outlier Win Ratio | 2.85 | 7.07 |
| Outlier Loss Ratio | 1.55 | - |
| MTD | 0.2% | 0.19% |
| 3M | 3.92% | 3.78% |
| 6M | 7.99% | 7.85% |
| YTD | 2.78% | 2.61% |
| 1Y | 22.85% | 18.2% |
| 3Y (ann.) | 20.89% | 20.44% |
| 5Y (ann.) | 20.89% | 20.44% |
| 10Y (ann.) | 20.89% | 20.44% |
| All-time (ann.) | 20.89% | 20.44% |
| Best Day | 0.86% | 0.24% |
| Worst Day | -0.98% | 0.0% |
| Best Month | 2.86% | 1.83% |
| Worst Month | -1.13% | 0.19% |
| Best Year | 23.92% | 19.38% |
| Worst Year | 1.64% | 2.61% |
| Avg. Drawdown | -0.16% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 15.74 | - |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 31.4 | - |
| Avg. Up Month | 1.6% | 1.42% |
| Avg. Down Month | - | - |
| Win Days | 66.48% | 100.0% |
| Win Month | 94.44% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | -0.65 | - |
| Alpha | 0.28 | - |
| Correlation | -8.2% | - |
| Treynor Ratio | -45.09% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 5.16 | 1.64 | 0.32 | - |
| 2025 | 19.38 | 23.92 | 1.23 | + |
| 2026 | 2.61 | 2.78 | 1.07 | + |
| 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 |