| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 55.99% | 57.39% |
| CAGR﹪ | 14.52% | 14.83% |
| Sharpe | 19.09 | 43.4 |
| Prob. Sharpe Ratio | - | - |
| Smart Sharpe | 17.8 | 40.47 |
| Sortino | 219.26 | - |
| Smart Sortino | 204.48 | - |
| Sortino/√2 | 155.04 | - |
| Smart Sortino/√2 | 144.59 | - |
| Omega | 89.07 | 89.07 |
| Max Drawdown | -0.05% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 0.67% | 0.3% |
| R^2 | 0.19 | 0.19 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 275.34 | - |
| Skew | 1.29 | 0.21 |
| Kurtosis | 2.1 | -1.06 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 1.12% | 1.14% |
| Expected Yearly | 11.76% | 12.01% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.02% | -0.02% |
| Expected Shortfall (cVaR) | -0.02% | -0.02% |
| Max Consecutive Wins | 335 | 870 |
| Max Consecutive Losses | 1 | 0 |
| Gain/Pain Ratio | 88.07 | - |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | - | - |
| Profit Factor | 89.07 | - |
| Common Sense Ratio | - | - |
| CPC Index | - | - |
| Tail Ratio | - | 3.43 |
| Outlier Win Ratio | 2.51 | 2.59 |
| Outlier Loss Ratio | -0.18 | - |
| MTD | 1.02% | 1.29% |
| 3M | 4.38% | 4.35% |
| 6M | 9.6% | 9.2% |
| YTD | 16.58% | 16.37% |
| 1Y | 21.22% | 21.26% |
| 3Y (ann.) | 15.48% | 15.77% |
| 5Y (ann.) | 14.52% | 14.83% |
| 10Y (ann.) | 14.52% | 14.83% |
| All-time (ann.) | 14.52% | 14.83% |
| Best Day | 0.25% | 0.09% |
| Worst Day | -0.05% | 0.0% |
| Best Month | 1.81% | 1.83% |
| Worst Month | 0.3% | 0.53% |
| Best Year | 18.05% | 18.74% |
| Worst Year | 3.29% | 3.55% |
| Avg. Drawdown | -0.02% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 1061.75 | - |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 97077.65 | - |
| Avg. Up Month | 1.12% | 1.14% |
| Avg. Down Month | - | - |
| Win Days | 96.14% | 100.0% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.97 | - |
| Alpha | 0.0 | - |
| Correlation | 43.3% | - |
| Treynor Ratio | 58.01% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 3.55 | 3.29 | 0.93 | - |
| 2023 | 10.00 | 9.74 | 0.97 | - |
| 2024 | 18.74 | 18.05 | 0.96 | - |
| 2025 | 16.37 | 16.58 | 1.01 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-01-09 | 2024-01-10 | -0.05 | 1 |
| 2022-09-19 | 2022-09-20 | -0.04 | 1 |
| 2025-06-30 | 2025-07-01 | -0.03 | 1 |
| 2022-10-25 | 2022-10-26 | -0.03 | 1 |
| 2023-02-24 | 2023-02-27 | -0.03 | 3 |
| 2023-05-08 | 2023-05-10 | -0.03 | 2 |
| 2025-07-21 | 2025-07-22 | -0.03 | 1 |
| 2025-07-14 | 2025-07-15 | -0.02 | 1 |
| 2025-08-18 | 2025-08-19 | -0.02 | 1 |
| 2023-07-31 | 2023-08-01 | -0.02 | 1 |