| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 98.0% |
| Cumulative Return | 60.75% | 60.27% |
| CAGR﹪ | 14.73% | 14.63% |
| Sharpe | 10.2 | 8.62 |
| Prob. Sharpe Ratio | - | 100.0% |
| Smart Sharpe | 9.71 | 8.21 |
| Sortino | 44.56 | 67.16 |
| Smart Sortino | 42.44 | 63.96 |
| Sortino/√2 | 31.51 | 47.49 |
| Smart Sortino/√2 | 30.01 | 45.23 |
| Omega | 8.51 | 8.51 |
| Max Drawdown | -0.05% | -0.02% |
| Longest DD Days | 3 | 1 |
| Volatility (ann.) | 0.67% | 0.78% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 279.29 | 761.23 |
| Skew | 1.36 | 4.31 |
| Kurtosis | 2.32 | 38.39 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 1.11% | 1.1% |
| Expected Yearly | 9.96% | 9.89% |
| Kelly Criterion | 96.09% | 99.84% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.02% | -0.03% |
| Expected Shortfall (cVaR) | -0.02% | -0.03% |
| Max Consecutive Wins | 507 | 165 |
| Max Consecutive Losses | 1 | 1 |
| Gain/Pain Ratio | 131.55 | 2455.66 |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | 1.92 | 2.9 |
| Profit Factor | 132.55 | 2456.66 |
| Common Sense Ratio | - | 21812.85 |
| CPC Index | 248.24 | 7128.03 |
| Tail Ratio | - | 8.88 |
| Outlier Win Ratio | 3.24 | 3.36 |
| Outlier Loss Ratio | 0.3 | 0.26 |
| MTD | 0.11% | 0.0% |
| 3M | 4.07% | 3.83% |
| 6M | 8.65% | 8.42% |
| YTD | 0.11% | 0.0% |
| 1Y | 20.19% | 20.36% |
| 3Y (ann.) | 16.21% | 16.1% |
| 5Y (ann.) | 14.73% | 14.63% |
| 10Y (ann.) | 14.73% | 14.63% |
| All-time (ann.) | 14.73% | 14.63% |
| Best Day | 0.25% | 0.69% |
| Worst Day | -0.05% | -0.02% |
| Best Month | 1.81% | 1.93% |
| Worst Month | 0.09% | 0.0% |
| Best Year | 20.26% | 20.36% |
| Worst Year | 0.11% | 0.0% |
| Avg. Drawdown | -0.02% | -0.02% |
| Avg. Drawdown Days | 2 | 1 |
| Recovery Factor | 1151.98 | 3136.17 |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 126920.58 | 3724889.96 |
| Avg. Up Month | 1.14% | 1.13% |
| Avg. Down Month | - | - |
| Win Days | 97.43% | 99.88% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.0 | - |
| Alpha | 0.14 | - |
| Correlation | 0.1% | - |
| Treynor Ratio | 60840.46% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 3.02 | 3.07 | 1.02 | + |
| 2023 | 9.58 | 9.74 | 1.02 | + |
| 2024 | 17.95 | 18.05 | 1.01 | + |
| 2025 | 20.36 | 20.26 | 0.99 | - |
| 2026 | 0.00 | 0.11 | inf | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-01-09 | 2024-01-10 | -0.05 | 1 |
| 2022-09-19 | 2022-09-20 | -0.04 | 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 |
| 2023-07-31 | 2023-08-01 | -0.02 | 1 |
| 2023-08-08 | 2023-08-09 | -0.02 | 1 |
| 2022-08-01 | 2022-08-02 | -0.01 | 1 |
| 2022-08-15 | 2022-08-16 | -0.01 | 1 |
| 2022-09-26 | 2022-09-27 | -0.01 | 1 |