| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | 61.18% | 61.7% |
| CAGR﹪ | 14.66% | 14.76% |
| Sharpe | 19.04 | 44.25 |
| Prob. Sharpe Ratio | - | - |
| Smart Sharpe | 17.95 | 41.72 |
| Sortino | 226.06 | - |
| Smart Sortino | 213.1 | - |
| Sortino/√2 | 159.85 | - |
| Smart Sortino/√2 | 150.68 | - |
| Omega | 93.25 | 93.25 |
| Max Drawdown | -0.05% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 0.68% | 0.29% |
| R^2 | 0.17 | 0.17 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 277.93 | - |
| Skew | 1.32 | 0.29 |
| Kurtosis | 2.26 | -0.93 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 1.12% | 1.12% |
| Expected Yearly | 10.02% | 10.09% |
| 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 | 931 |
| Max Consecutive Losses | 1 | 0 |
| Gain/Pain Ratio | 92.25 | - |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | - | - |
| Profit Factor | 93.25 | - |
| Common Sense Ratio | - | - |
| CPC Index | - | - |
| Tail Ratio | - | 3.18 |
| Outlier Win Ratio | 2.51 | 2.62 |
| Outlier Loss Ratio | -0.19 | - |
| MTD | 0.17% | 0.14% |
| 3M | 4.05% | 3.74% |
| 6M | 8.66% | 7.92% |
| YTD | 0.17% | 0.14% |
| 1Y | 20.13% | 19.34% |
| 3Y (ann.) | 16.23% | 16.17% |
| 5Y (ann.) | 14.66% | 14.76% |
| 10Y (ann.) | 14.66% | 14.76% |
| All-time (ann.) | 14.66% | 14.76% |
| Best Day | 0.25% | 0.09% |
| Worst Day | -0.05% | 0.0% |
| Best Month | 1.81% | 1.83% |
| Worst Month | 0.17% | 0.14% |
| Best Year | 20.26% | 19.39% |
| Worst Year | 0.17% | 0.14% |
| Avg. Drawdown | -0.02% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 1160.27 | - |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 112822.18 | - |
| Avg. Up Month | 1.12% | 1.12% |
| Avg. Down Month | - | - |
| Win Days | 96.27% | 100.0% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.96 | - |
| Alpha | 0.0 | - |
| Correlation | 41.6% | - |
| Treynor Ratio | 63.68% | - |
| 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 | 19.39 | 20.26 | 1.04 | + |
| 2026 | 0.14 | 0.17 | 1.23 | + |
| 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 |