| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 150.7% | 90.38% |
| CAGR﹪ | 21.05% | 14.32% |
| Sharpe | 0.91 | 27.94 |
| Prob. Sharpe Ratio | 97.8% | 100.0% |
| Smart Sharpe | 0.87 | 26.75 |
| Sortino | 1.3 | - |
| Smart Sortino | 1.25 | - |
| Sortino/√2 | 0.92 | - |
| Smart Sortino/√2 | 0.88 | - |
| Omega | 1.18 | 1.18 |
| Max Drawdown | -42.54% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 23.03% | 0.46% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.49 | - |
| Skew | -0.33 | 9.87 |
| Kurtosis | 6.3 | 154.87 |
| Expected Daily | 0.07% | 0.05% |
| Expected Monthly | 1.57% | 1.1% |
| Expected Yearly | 16.55% | 11.33% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.3% | -0.0% |
| Expected Shortfall (cVaR) | -2.3% | -0.0% |
| Max Consecutive Wins | 15 | 1268 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | 0.18 | - |
| Gain/Pain (1M) | 0.88 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.18 | - |
| Common Sense Ratio | 1.19 | - |
| CPC Index | - | - |
| Tail Ratio | 1.01 | 3.07 |
| Outlier Win Ratio | 1.94 | 37.14 |
| Outlier Loss Ratio | 1.87 | - |
| MTD | 2.21% | 0.48% |
| 3M | 11.71% | 3.37% |
| 6M | -4.25% | 6.73% |
| YTD | 1.41% | 10.97% |
| 1Y | 5.65% | 14.8% |
| 3Y (ann.) | 24.71% | 17.59% |
| 5Y (ann.) | 21.05% | 14.32% |
| 10Y (ann.) | 21.05% | 14.32% |
| All-time (ann.) | 21.05% | 14.32% |
| Best Day | 9.01% | 0.51% |
| Worst Day | -11.66% | 0.0% |
| Best Month | 18.49% | 1.83% |
| Worst Month | -18.31% | 0.48% |
| Best Year | 43.19% | 19.38% |
| Worst Year | -4.66% | 0.56% |
| Avg. Drawdown | -4.73% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 3.54 | - |
| Ulcer Index | 0.16 | 0.0 |
| Serenity Index | 0.46 | - |
| Avg. Up Month | 6.0% | 1.09% |
| Avg. Down Month | - | - |
| Win Days | 55.82% | 100.0% |
| Win Month | 64.41% | 100.0% |
| Win Quarter | 76.19% | 100.0% |
| Win Year | 83.33% | 100.0% |
| Beta | 1.89 | - |
| Alpha | -0.03 | - |
| Correlation | 3.76% | - |
| Treynor Ratio | 79.74% | - |
| 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 | 19.38 | 26.61 | 1.37 | + |
| 2026 | 10.97 | 1.41 | 0.13 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-03-30 | 2023-04-13 | -42.54 | 379 |
| 2026-03-02 | 2026-10-12 | -30.92 | 224 |
| 2026-01-29 | 2026-02-28 | -13.08 | 30 |
| 2024-04-15 | 2024-08-29 | -12.82 | 136 |
| 2025-10-21 | 2026-01-05 | -10.80 | 76 |
| 2024-11-29 | 2025-09-03 | -10.41 | 278 |
| 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 |