| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 91.66% | 51.69% |
| CAGR﹪ | 21.9% | 13.52% |
| Sharpe | 1.02 | 23.52 |
| Prob. Sharpe Ratio | 96.69% | 100.0% |
| Smart Sharpe | 1.01 | 23.34 |
| Sortino | 1.5 | - |
| Smart Sortino | 1.49 | - |
| Sortino/√2 | 1.06 | - |
| Smart Sortino/√2 | 1.05 | - |
| Omega | 1.2 | 1.2 |
| Max Drawdown | -42.54% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 22.1% | 0.55% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.51 | - |
| Skew | 0.06 | 8.87 |
| Kurtosis | 4.57 | 115.71 |
| Expected Daily | 0.08% | 0.05% |
| Expected Monthly | 1.6% | 1.02% |
| Expected Yearly | 13.9% | 8.69% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.2% | -0.01% |
| Expected Shortfall (cVaR) | -2.2% | -0.01% |
| Max Consecutive Wins | 15 | 812 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | 0.2 | - |
| Gain/Pain (1M) | 0.9 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.2 | - |
| Common Sense Ratio | 1.17 | - |
| CPC Index | - | - |
| Tail Ratio | 0.98 | 3.5 |
| Outlier Win Ratio | 1.89 | 35.47 |
| Outlier Loss Ratio | 1.93 | - |
| MTD | -1.34% | 0.24% |
| 3M | -1.84% | 5.56% |
| 6M | 3.61% | 11.11% |
| YTD | -1.84% | 5.56% |
| 1Y | 21.58% | 20.68% |
| 3Y (ann.) | 24.93% | 13.57% |
| 5Y (ann.) | 21.9% | 13.52% |
| 10Y (ann.) | 21.9% | 13.52% |
| All-time (ann.) | 21.9% | 13.52% |
| Best Day | 9.01% | 0.51% |
| Worst Day | -6.62% | 0.0% |
| Best Month | 17.11% | 1.83% |
| Worst Month | -18.31% | 0.24% |
| Best Year | 43.19% | 18.74% |
| Worst Year | -4.66% | 0.56% |
| Avg. Drawdown | -4.42% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 2.15 | - |
| Ulcer Index | 0.17 | 0.0 |
| Serenity Index | 0.23 | - |
| Avg. Up Month | 6.0% | 1.04% |
| Avg. Down Month | - | - |
| Win Days | 54.75% | 100.0% |
| Win Month | 63.41% | 100.0% |
| Win Quarter | 73.33% | 100.0% |
| Win Year | 60.0% | 100.0% |
| Beta | 1.62 | - |
| Alpha | 0.02 | - |
| Correlation | 4.02% | - |
| Treynor Ratio | 56.62% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.56 | 0.07 | 0.12 | - |
| 2022 | 9.41 | -4.66 | -0.50 | - |
| 2023 | 10.00 | 43.19 | 4.32 | + |
| 2024 | 18.74 | 42.93 | 2.29 | + |
| 2025 | 5.56 | -1.84 | -0.33 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-03-30 | 2023-04-13 | -42.54 | 379 |
| 2024-04-15 | 2024-08-29 | -12.82 | 136 |
| 2024-11-29 | 2025-04-03 | -10.41 | 125 |
| 2023-09-06 | 2024-03-05 | -9.66 | 181 |
| 2023-08-14 | 2023-09-05 | -6.95 | 22 |
| 2024-10-31 | 2024-11-22 | -6.67 | 22 |
| 2022-01-25 | 2022-02-18 | -5.85 | 24 |
| 2023-04-17 | 2023-06-30 | -5.77 | 74 |
| 2024-08-30 | 2024-09-12 | -3.85 | 13 |
| 2023-07-10 | 2023-07-18 | -1.74 | 8 |