| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 34.32% | 33.84% |
| CAGR﹪ | 21.85% | 21.55% |
| Sharpe | 3.95 | 5.85 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 2.7 | 3.99 |
| Sortino | 6.87 | 10.38 |
| Smart Sortino | 4.69 | 7.09 |
| Sortino/√2 | 4.86 | 7.34 |
| Smart Sortino/√2 | 3.32 | 5.01 |
| Omega | 2.07 | 2.07 |
| Max Drawdown | -1.04% | -1.3% |
| Longest DD Days | 24 | 40 |
| Volatility (ann.) | 3.28% | 2.17% |
| R^2 | 0.34 | 0.34 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 21.01 | 16.55 |
| Skew | 0.12 | 0.1 |
| Kurtosis | 2.75 | 9.01 |
| Expected Daily | 0.08% | 0.08% |
| Expected Monthly | 1.65% | 1.63% |
| Expected Yearly | 10.34% | 10.2% |
| Kelly Criterion | 38.42% | 67.31% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.26% | -0.15% |
| Expected Shortfall (cVaR) | -0.26% | -0.15% |
| Max Consecutive Wins | 9 | 60 |
| Max Consecutive Losses | 3 | 3 |
| Gain/Pain Ratio | 1.99 | 4.49 |
| Gain/Pain (1M) | - | 118.89 |
| Payoff Ratio | 0.86 | 0.98 |
| Profit Factor | 2.99 | 5.49 |
| Common Sense Ratio | 5.22 | 11.86 |
| CPC Index | 1.85 | 4.51 |
| Tail Ratio | 1.74 | 2.16 |
| Outlier Win Ratio | 3.77 | 5.42 |
| Outlier Loss Ratio | 2.76 | 3.74 |
| MTD | 1.49% | 1.24% |
| 3M | 4.15% | 4.02% |
| 6M | 8.25% | 8.18% |
| YTD | 5.36% | 5.44% |
| 1Y | 21.4% | 21.68% |
| 3Y (ann.) | 21.85% | 21.55% |
| 5Y (ann.) | 21.85% | 21.55% |
| 10Y (ann.) | 21.85% | 21.55% |
| All-time (ann.) | 21.85% | 21.55% |
| Best Day | 0.86% | 0.86% |
| Worst Day | -0.8% | -0.7% |
| Best Month | 2.86% | 2.75% |
| Worst Month | 0.35% | -0.25% |
| Best Year | 23.92% | 24.32% |
| Worst Year | 2.87% | 2.1% |
| Avg. Drawdown | -0.17% | -0.13% |
| Avg. Drawdown Days | 2 | 3 |
| Recovery Factor | 33.0 | 25.99 |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 88.81 | 57.43 |
| Avg. Up Month | 1.73% | 1.75% |
| Avg. Down Month | - | - |
| Win Days | 71.47% | 83.82% |
| Win Month | 100.0% | 94.44% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.88 | - |
| Alpha | 0.03 | - |
| Correlation | 58.48% | - |
| Treynor Ratio | 30.87% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 2.10 | 2.87 | 1.37 | + |
| 2025 | 24.32 | 23.92 | 0.98 | - |
| 2026 | 5.44 | 5.36 | 0.98 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-11-25 | 2024-12-19 | -1.04 | 24 |
| 2024-11-05 | 2024-11-07 | -0.70 | 2 |
| 2025-01-22 | 2025-01-24 | -0.55 | 2 |
| 2024-11-12 | 2024-11-21 | -0.46 | 9 |
| 2025-03-11 | 2025-03-14 | -0.46 | 3 |
| 2025-01-08 | 2025-01-09 | -0.41 | 1 |
| 2024-12-20 | 2024-12-24 | -0.40 | 4 |
| 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 |