| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 146.34% | 80.31% |
| CAGR﹪ | 22.77% | 14.36% |
| Sharpe | 1.0 | 27.48 |
| Prob. Sharpe Ratio | 98.13% | 100.0% |
| Smart Sharpe | 0.97 | 26.65 |
| Sortino | 1.43 | - |
| Smart Sortino | 1.39 | - |
| Sortino/√2 | 1.01 | - |
| Smart Sortino/√2 | 0.98 | - |
| Omega | 1.2 | 1.2 |
| Max Drawdown | -42.54% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 22.79% | 0.48% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.54 | - |
| Skew | -0.38 | 9.5 |
| Kurtosis | 7.29 | 142.32 |
| Expected Daily | 0.08% | 0.05% |
| Expected Monthly | 1.68% | 1.1% |
| Expected Yearly | 16.21% | 10.32% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.27% | -0.0% |
| Expected Shortfall (cVaR) | -2.27% | -0.0% |
| Max Consecutive Wins | 15 | 1126 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | 0.2 | - |
| Gain/Pain (1M) | 0.99 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.2 | - |
| Common Sense Ratio | 1.18 | - |
| CPC Index | - | - |
| Tail Ratio | 0.98 | 3.18 |
| Outlier Win Ratio | 1.89 | 34.7 |
| Outlier Loss Ratio | 1.92 | - |
| MTD | -0.57% | 0.4% |
| 3M | -9.71% | 3.31% |
| 6M | 0.56% | 7.25% |
| YTD | -0.35% | 5.1% |
| 1Y | 28.24% | 16.66% |
| 3Y (ann.) | 27.86% | 17.06% |
| 5Y (ann.) | 22.77% | 14.36% |
| 10Y (ann.) | 22.77% | 14.36% |
| All-time (ann.) | 22.77% | 14.36% |
| Best Day | 9.01% | 0.51% |
| Worst Day | -11.66% | 0.0% |
| Best Month | 18.49% | 1.83% |
| Worst Month | -18.31% | 0.4% |
| Best Year | 43.19% | 19.38% |
| Worst Year | -4.66% | 0.56% |
| Avg. Drawdown | -4.44% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 3.44 | - |
| Ulcer Index | 0.15 | 0.0 |
| Serenity Index | 0.48 | - |
| Avg. Up Month | 5.91% | 1.11% |
| Avg. Down Month | - | - |
| Win Days | 55.76% | 100.0% |
| Win Month | 64.81% | 100.0% |
| Win Quarter | 73.68% | 100.0% |
| Win Year | 66.67% | 100.0% |
| Beta | 1.82 | - |
| Alpha | -0.01 | - |
| Correlation | 3.83% | - |
| Treynor Ratio | 80.37% | - |
| 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 | 5.10 | -0.35 | -0.07 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-03-30 | 2023-04-13 | -42.54 | 379 |
| 2026-03-02 | 2026-05-13 | -19.48 | 72 |
| 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 |