| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | 31.89% | 12.97% |
| CAGR﹪ | 20.41% | 8.53% |
| Sharpe | 4.98 | 18.81 |
| Prob. Sharpe Ratio | 100.0% | - |
| Smart Sharpe | 3.5 | 13.23 |
| Sortino | 8.89 | 116.52 |
| Smart Sortino | 6.25 | 81.97 |
| Sortino/√2 | 6.28 | 82.39 |
| Smart Sortino/√2 | 4.42 | 57.96 |
| Omega | 2.57 | 2.57 |
| Max Drawdown | -1.87% | -0.4% |
| Longest DD Days | 56 | 64 |
| Volatility (ann.) | 3.27% | 0.38% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.17 | 0.17 |
| Calmar | 10.9 | 21.32 |
| Skew | -0.05 | 0.82 |
| Kurtosis | 3.82 | 0.68 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.47% | 0.64% |
| Expected Yearly | 9.67% | 4.15% |
| Kelly Criterion | 52.59% | 91.01% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.27% | -0.01% |
| Expected Shortfall (cVaR) | -0.27% | -0.01% |
| Max Consecutive Wins | 9 | 203 |
| Max Consecutive Losses | 3 | 25 |
| Gain/Pain Ratio | 1.57 | 30.44 |
| Gain/Pain (1M) | 24.68 | 30.44 |
| Payoff Ratio | 2.33 | 1.84 |
| Profit Factor | 2.57 | 31.44 |
| Common Sense Ratio | 4.25 | 143.32 |
| CPC Index | 4.0 | 54.48 |
| Tail Ratio | 1.65 | 4.56 |
| Outlier Win Ratio | 2.56 | 12.66 |
| Outlier Loss Ratio | 1.76 | 14.5 |
| MTD | 0.85% | 0.44% |
| 3M | 3.96% | 2.53% |
| 6M | 8.01% | 4.38% |
| YTD | 4.71% | 3.43% |
| 1Y | 21.72% | 6.07% |
| 3Y (ann.) | 20.41% | 8.53% |
| 5Y (ann.) | 20.41% | 8.53% |
| 10Y (ann.) | 20.41% | 8.53% |
| All-time (ann.) | 20.41% | 8.53% |
| Best Day | 0.86% | 0.11% |
| Worst Day | -0.98% | -0.02% |
| Best Month | 2.86% | 1.62% |
| Worst Month | -1.13% | -0.4% |
| Best Year | 23.92% | 5.6% |
| Worst Year | 1.64% | 3.43% |
| Avg. Drawdown | -0.15% | -0.4% |
| Avg. Drawdown Days | 3 | 64 |
| Recovery Factor | 17.03 | 32.43 |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 36.09 | 22.91 |
| Avg. Up Month | 1.61% | 0.71% |
| Avg. Down Month | - | - |
| Win Days | 66.83% | 94.17% |
| Win Month | 94.74% | 94.74% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | -0.49 | - |
| Alpha | 0.2 | - |
| Correlation | -5.75% | - |
| Treynor Ratio | -64.43% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 3.43 | 1.64 | 0.48 | - |
| 2025 | 5.60 | 23.92 | 4.27 | + |
| 2026 | 3.43 | 4.71 | 1.37 | + |
| 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 |