| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 86.78% | 82.95% |
| CAGR﹪ | 11.76% | 11.35% |
| Sharpe | 1.35 | 32.14 |
| Prob. Sharpe Ratio | 99.43% | - |
| Smart Sharpe | 1.2 | 28.6 |
| Sortino | 1.83 | - |
| Smart Sortino | 1.62 | - |
| Sortino/√2 | 1.29 | - |
| Smart Sortino/√2 | 1.15 | - |
| Omega | 1.41 | 1.41 |
| Max Drawdown | -16.61% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 8.42% | 0.33% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.71 | - |
| Skew | -4.38 | 0.59 |
| Kurtosis | 133.89 | -0.8 |
| Expected Daily | 0.04% | 0.04% |
| Expected Monthly | 0.94% | 0.91% |
| Expected Yearly | 9.34% | 9.01% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.83% | -0.01% |
| Expected Shortfall (cVaR) | -0.83% | -0.01% |
| Max Consecutive Wins | 15 | 1434 |
| Max Consecutive Losses | 12 | 0 |
| Gain/Pain Ratio | 0.41 | - |
| Gain/Pain (1M) | 2.49 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.41 | - |
| Common Sense Ratio | 1.74 | - |
| CPC Index | - | - |
| Tail Ratio | 1.23 | 4.72 |
| Outlier Win Ratio | 2.59 | 16.18 |
| Outlier Loss Ratio | 1.94 | - |
| MTD | 0.03% | 0.27% |
| 3M | 5.69% | 3.64% |
| 6M | 9.61% | 7.81% |
| YTD | 0.03% | 0.27% |
| 1Y | 29.51% | 19.18% |
| 3Y (ann.) | 15.22% | 16.18% |
| 5Y (ann.) | 12.04% | 12.36% |
| 10Y (ann.) | 11.76% | 11.35% |
| All-time (ann.) | 11.76% | 11.35% |
| Best Day | 6.66% | 0.09% |
| Worst Day | -10.58% | 0.0% |
| Best Month | 7.66% | 1.83% |
| Worst Month | -9.27% | 0.27% |
| Best Year | 32.28% | 19.38% |
| Worst Year | 0.03% | 0.27% |
| Avg. Drawdown | -0.56% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 5.23 | - |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 4.06 | - |
| Avg. Up Month | 1.65% | 0.91% |
| Avg. Down Month | - | - |
| Win Days | 57.53% | 100.0% |
| Win Month | 82.09% | 100.0% |
| Win Quarter | 87.5% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.9 | - |
| Alpha | 0.02 | - |
| Correlation | 3.54% | - |
| Treynor Ratio | 96.1% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 2.64 | 6.55 | 2.48 | + |
| 2021 | 5.82 | 6.09 | 1.05 | + |
| 2022 | 7.74 | 8.10 | 1.05 | + |
| 2023 | 10.00 | 11.72 | 1.17 | + |
| 2024 | 18.74 | 3.40 | 0.18 | - |
| 2025 | 19.38 | 32.28 | 1.67 | + |
| 2026 | 0.27 | 0.03 | 0.12 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-06 | 2022-06-09 | -16.61 | 154 |
| 2024-04-25 | 2024-12-27 | -8.73 | 246 |
| 2022-09-19 | 2022-11-24 | -7.19 | 66 |
| 2023-01-05 | 2023-03-28 | -3.44 | 82 |
| 2023-08-11 | 2023-12-11 | -3.11 | 122 |
| 2025-09-09 | 2025-11-10 | -3.06 | 62 |
| 2021-09-30 | 2021-12-27 | -3.04 | 88 |
| 2022-12-07 | 2022-12-30 | -1.69 | 23 |
| 2025-03-24 | 2025-04-21 | -1.54 | 28 |
| 2022-06-21 | 2022-06-30 | -1.42 | 9 |