| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 97.0% |
| Cumulative Return | 64.35% | 64.25% |
| CAGR﹪ | 14.81% | 14.79% |
| Sharpe | 10.38 | 8.37 |
| Prob. Sharpe Ratio | - | 100.0% |
| Smart Sharpe | 9.93 | 8.01 |
| Sortino | 46.0 | 68.71 |
| Smart Sortino | 44.0 | 65.72 |
| Sortino/√2 | 32.53 | 48.58 |
| Smart Sortino/√2 | 31.11 | 46.47 |
| Omega | 8.87 | 8.87 |
| Max Drawdown | -0.05% | -0.02% |
| Longest DD Days | 3 | 1 |
| Volatility (ann.) | 0.67% | 0.82% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 280.85 | 769.65 |
| Skew | 1.35 | 4.67 |
| Kurtosis | 2.28 | 40.65 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 1.14% | 1.13% |
| Expected Yearly | 10.45% | 10.43% |
| Kelly Criterion | 96.25% | 99.85% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.01% | -0.03% |
| Expected Shortfall (cVaR) | -0.01% | -0.03% |
| Max Consecutive Wins | 542 | 165 |
| Max Consecutive Losses | 1 | 1 |
| Gain/Pain Ratio | 137.69 | 2583.41 |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | 1.93 | 2.94 |
| Profit Factor | 138.69 | 2584.41 |
| Common Sense Ratio | - | 23072.4 |
| CPC Index | 261.0 | 7596.37 |
| Tail Ratio | - | 8.93 |
| Outlier Win Ratio | 3.29 | 3.4 |
| Outlier Loss Ratio | 0.3 | 0.26 |
| MTD | 1.27% | 1.18% |
| 3M | 4.02% | 3.95% |
| 6M | 8.36% | 8.27% |
| YTD | 2.35% | 2.48% |
| 1Y | 19.44% | 19.28% |
| 3Y (ann.) | 16.69% | 16.66% |
| 5Y (ann.) | 14.81% | 14.79% |
| 10Y (ann.) | 14.81% | 14.79% |
| All-time (ann.) | 14.81% | 14.79% |
| Best Day | 0.25% | 0.69% |
| Worst Day | -0.05% | -0.02% |
| Best Month | 1.81% | 1.93% |
| Worst Month | 0.09% | 0.08% |
| Best Year | 20.26% | 20.36% |
| Worst Year | 2.35% | 2.48% |
| Avg. Drawdown | -0.02% | -0.02% |
| Avg. Drawdown Days | 2 | 1 |
| Recovery Factor | 1220.23 | 3343.25 |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 140354.24 | 4390292.47 |
| Avg. Up Month | 1.14% | 1.14% |
| Avg. Down Month | - | - |
| Win Days | 97.53% | 99.89% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.01 | - |
| Alpha | 0.14 | - |
| Correlation | 1.51% | - |
| Treynor Ratio | 4693.76% | - |
| 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 | 2.48 | 2.35 | 0.95 | - |
| 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 |