| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 168.02% | 40.26% |
| CAGR﹪ | 27.26% | 8.62% |
| Sharpe | 1.23 | 3.91 |
| Prob. Sharpe Ratio | 99.35% | 100.0% |
| Smart Sharpe | 1.22 | 3.88 |
| Sortino | 1.82 | 93.1 |
| Smart Sortino | 1.81 | 92.34 |
| Sortino/√2 | 1.29 | 65.83 |
| Smart Sortino/√2 | 1.28 | 65.29 |
| Omega | 1.25 | 1.25 |
| Max Drawdown | -42.54% | -1.25% |
| Longest DD Days | 379 | 209 |
| Volatility (ann.) | 21.53% | 2.13% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | 0.64 | 6.87 |
| Skew | 0.03 | 17.68 |
| Kurtosis | 4.3 | 320.28 |
| Expected Daily | 0.1% | 0.03% |
| Expected Monthly | 1.99% | 0.68% |
| Expected Yearly | 17.86% | 5.8% |
| Kelly Criterion | -3.93% | 87.45% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.13% | -0.19% |
| Expected Shortfall (cVaR) | -2.13% | -0.19% |
| Max Consecutive Wins | 15 | 742 |
| Max Consecutive Losses | 8 | 65 |
| Gain/Pain Ratio | 0.25 | 20.4 |
| Gain/Pain (1M) | 1.28 | 20.4 |
| Payoff Ratio | 0.76 | 2.01 |
| Profit Factor | 1.25 | 21.4 |
| Common Sense Ratio | 1.24 | 76.75 |
| CPC Index | 0.52 | 39.4 |
| Tail Ratio | 1.0 | 3.59 |
| Outlier Win Ratio | 1.87 | 47.2 |
| Outlier Loss Ratio | 2.01 | 100.84 |
| MTD | 8.42% | 0.16% |
| 3M | 9.49% | 1.08% |
| 6M | 39.56% | 1.55% |
| YTD | 8.42% | 0.16% |
| 1Y | 32.54% | 5.0% |
| 3Y (ann.) | 39.3% | 7.33% |
| 5Y (ann.) | 27.26% | 8.62% |
| 10Y (ann.) | 27.26% | 8.62% |
| All-time (ann.) | 27.26% | 8.62% |
| Best Day | 9.01% | 2.47% |
| Worst Day | -6.62% | -0.02% |
| Best Month | 17.11% | 7.61% |
| Worst Month | -18.31% | -0.52% |
| Best Year | 43.19% | 11.92% |
| Worst Year | -4.66% | 0.16% |
| Avg. Drawdown | -3.8% | -0.83% |
| Avg. Drawdown Days | 36 | 136 |
| Recovery Factor | 3.95 | 32.08 |
| Ulcer Index | 0.16 | 0.0 |
| Serenity Index | 0.49 | 26.4 |
| Avg. Up Month | 5.49% | 0.81% |
| Avg. Down Month | -7.98% | -0.43% |
| Win Days | 55.28% | 91.62% |
| Win Month | 68.0% | 92.0% |
| Win Quarter | 77.78% | 94.44% |
| Win Year | 83.33% | 100.0% |
| Beta | 0.56 | - |
| Alpha | 0.22 | - |
| Correlation | 5.53% | - |
| Treynor Ratio | 300.62% | - |
| 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 | 0.16 | 8.42 | 52.65 | + |
| 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 | 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 |
| 2023-04-17 | 2023-06-30 | -5.77 | 74 |
| 2024-08-30 | 2024-09-12 | -3.85 | 13 |