| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 95.6% | 89.97% |
| CAGR﹪ | 12.12% | 11.56% |
| Sharpe | 1.4 | 33.12 |
| Prob. Sharpe Ratio | 99.61% | - |
| Smart Sharpe | 1.25 | 29.5 |
| Sortino | 1.9 | - |
| Smart Sortino | 1.69 | - |
| Sortino/√2 | 1.34 | - |
| Smart Sortino/√2 | 1.2 | - |
| Omega | 1.43 | 1.43 |
| Max Drawdown | -16.61% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 8.22% | 0.32% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.73 | - |
| Skew | -4.46 | 0.57 |
| Kurtosis | 139.84 | -0.73 |
| Expected Daily | 0.04% | 0.04% |
| Expected Monthly | 0.96% | 0.92% |
| Expected Yearly | 10.06% | 9.6% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.81% | -0.01% |
| Expected Shortfall (cVaR) | -0.81% | -0.01% |
| Max Consecutive Wins | 15 | 1515 |
| Max Consecutive Losses | 12 | 0 |
| Gain/Pain Ratio | 0.43 | - |
| Gain/Pain (1M) | 2.67 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.43 | - |
| Common Sense Ratio | 1.79 | - |
| CPC Index | - | - |
| Tail Ratio | 1.25 | 4.72 |
| Outlier Win Ratio | 2.62 | 15.86 |
| Outlier Loss Ratio | 1.93 | - |
| MTD | 0.42% | 0.54% |
| 3M | 5.01% | 3.84% |
| 6M | 10.68% | 7.62% |
| YTD | 4.76% | 4.12% |
| 1Y | 22.82% | 17.25% |
| 3Y (ann.) | 15.17% | 16.95% |
| 5Y (ann.) | 12.77% | 12.95% |
| 10Y (ann.) | 12.12% | 11.56% |
| All-time (ann.) | 12.12% | 11.56% |
| Best Day | 6.66% | 0.09% |
| Worst Day | -10.58% | 0.0% |
| Best Month | 7.66% | 1.83% |
| Worst Month | -9.27% | 0.37% |
| Best Year | 32.28% | 19.38% |
| Worst Year | 3.4% | 2.64% |
| Avg. Drawdown | -0.53% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 5.76 | - |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 4.61 | - |
| Avg. Up Month | 1.65% | 0.93% |
| Avg. Down Month | - | - |
| Win Days | 57.72% | 100.0% |
| Win Month | 82.86% | 100.0% |
| Win Quarter | 88.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.89 | - |
| Alpha | 0.02 | - |
| Correlation | 3.49% | - |
| Treynor Ratio | 107.27% | - |
| 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 | 4.12 | 4.76 | 1.15 | + |
| 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 |