| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 152.62% | 45.03% |
| CAGR﹪ | 23.76% | 8.93% |
| Sharpe | 1.03 | 4.12 |
| Prob. Sharpe Ratio | 98.37% | 100.0% |
| Smart Sharpe | 1.0 | 3.99 |
| Sortino | 1.48 | 98.3 |
| Smart Sortino | 1.44 | 95.2 |
| Sortino/√2 | 1.05 | 69.51 |
| Smart Sortino/√2 | 1.02 | 67.32 |
| Omega | 1.21 | 1.21 |
| Max Drawdown | -42.54% | -1.25% |
| Longest DD Days | 379 | 209 |
| Volatility (ann.) | 22.85% | 2.05% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 0.56 | 7.11 |
| Skew | -0.39 | 18.33 |
| Kurtosis | 7.32 | 345.13 |
| Expected Daily | 0.08% | 0.03% |
| Expected Monthly | 1.76% | 0.7% |
| Expected Yearly | 16.7% | 6.39% |
| Kelly Criterion | -1.86% | 88.43% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.27% | -0.18% |
| Expected Shortfall (cVaR) | -2.27% | -0.18% |
| Max Consecutive Wins | 15 | 742 |
| Max Consecutive Losses | 8 | 65 |
| Gain/Pain Ratio | 0.21 | 22.41 |
| Gain/Pain (1M) | 1.04 | 22.41 |
| Payoff Ratio | 0.76 | 2.02 |
| Profit Factor | 1.21 | 23.41 |
| Common Sense Ratio | 1.18 | 85.1 |
| CPC Index | 0.52 | 43.67 |
| Tail Ratio | 0.98 | 3.64 |
| Outlier Win Ratio | 1.88 | 47.77 |
| Outlier Loss Ratio | 1.95 | 104.44 |
| MTD | -6.17% | 0.58% |
| 3M | -7.86% | 2.23% |
| 6M | 6.36% | 4.45% |
| YTD | 2.19% | 3.57% |
| 1Y | 27.16% | 6.12% |
| 3Y (ann.) | 30.26% | 8.16% |
| 5Y (ann.) | 23.76% | 8.93% |
| 10Y (ann.) | 23.76% | 8.93% |
| All-time (ann.) | 23.76% | 8.93% |
| Best Day | 9.01% | 2.47% |
| Worst Day | -11.66% | -0.02% |
| Best Month | 18.49% | 7.61% |
| Worst Month | -18.31% | -0.52% |
| Best Year | 43.19% | 11.92% |
| Worst Year | -4.66% | 0.72% |
| Avg. Drawdown | -4.35% | -0.83% |
| Avg. Drawdown Days | 37 | 136 |
| Recovery Factor | 3.59 | 35.89 |
| Ulcer Index | 0.15 | 0.0 |
| Serenity Index | 0.5 | 30.85 |
| Avg. Up Month | 5.7% | 0.86% |
| Avg. Down Month | -7.98% | -0.43% |
| Win Days | 55.92% | 92.26% |
| Win Month | 66.04% | 92.45% |
| Win Quarter | 73.68% | 94.74% |
| Win Year | 83.33% | 100.0% |
| Beta | 0.61 | - |
| Alpha | 0.18 | - |
| Correlation | 5.5% | - |
| Treynor Ratio | 248.51% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.72 | 0.07 | 0.10 | - |
| 2022 | 11.92 | -4.66 | -0.39 | - |
| 2023 | 7.42 | 43.19 | 5.82 | + |
| 2024 | 9.51 | 42.93 | 4.51 | + |
| 2025 | 5.60 | 26.61 | 4.75 | + |
| 2026 | 3.57 | 2.19 | 0.61 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-03-30 | 2023-04-13 | -42.54 | 379 |
| 2026-03-02 | 2026-04-26 | -15.97 | 55 |
| 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 |