| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 134.92% | 69.85% |
| CAGR﹪ | 24.08% | 14.32% |
| Sharpe | 1.11 | 26.58 |
| Prob. Sharpe Ratio | 98.62% | 100.0% |
| Smart Sharpe | 1.1 | 26.39 |
| Sortino | 1.64 | - |
| Smart Sortino | 1.62 | - |
| Sortino/√2 | 1.16 | - |
| Smart Sortino/√2 | 1.15 | - |
| Omega | 1.22 | 1.22 |
| Max Drawdown | -42.54% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 21.65% | 0.51% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.57 | - |
| Skew | 0.04 | 9.04 |
| Kurtosis | 4.31 | 127.95 |
| Expected Daily | 0.09% | 0.05% |
| Expected Monthly | 1.76% | 1.09% |
| Expected Yearly | 18.63% | 11.18% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.15% | -0.0% |
| Expected Shortfall (cVaR) | -2.15% | -0.0% |
| Max Consecutive Wins | 15 | 989 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | 0.22 | - |
| Gain/Pain (1M) | 1.12 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.22 | - |
| Common Sense Ratio | 1.19 | - |
| CPC Index | - | - |
| Tail Ratio | 0.98 | 3.18 |
| Outlier Win Ratio | 1.88 | 33.61 |
| Outlier Loss Ratio | 1.97 | - |
| MTD | -0.38% | 0.27% |
| 3M | 13.28% | 3.96% |
| 6M | 20.2% | 8.42% |
| YTD | 20.31% | 18.2% |
| 1Y | 16.31% | 20.04% |
| 3Y (ann.) | 34.37% | 16.02% |
| 5Y (ann.) | 24.08% | 14.32% |
| 10Y (ann.) | 24.08% | 14.32% |
| All-time (ann.) | 24.08% | 14.32% |
| Best Day | 9.01% | 0.51% |
| Worst Day | -6.62% | 0.0% |
| Best Month | 17.11% | 1.83% |
| Worst Month | -18.31% | 0.27% |
| Best Year | 43.19% | 18.74% |
| Worst Year | -4.66% | 0.56% |
| Avg. Drawdown | -4.06% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 3.17 | - |
| Ulcer Index | 0.16 | 0.0 |
| Serenity Index | 0.38 | - |
| Avg. Up Month | 5.66% | 1.1% |
| Avg. Down Month | - | - |
| Win Days | 54.82% | 100.0% |
| Win Month | 65.31% | 100.0% |
| Win Quarter | 76.47% | 100.0% |
| Win Year | 80.0% | 100.0% |
| Beta | 1.47 | - |
| Alpha | 0.04 | - |
| Correlation | 3.44% | - |
| Treynor Ratio | 91.9% | - |
| 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 | 18.20 | 20.31 | 1.12 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-03-30 | 2023-04-13 | -42.54 | 379 |
| 2024-04-15 | 2024-08-29 | -12.82 | 136 |
| 2025-10-21 | 2025-12-05 | -10.80 | 45 |
| 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 |
| 2023-04-17 | 2023-06-30 | -5.77 | 74 |
| 2024-08-30 | 2024-09-12 | -3.85 | 13 |