| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 97.0% |
| Cumulative Return | 70.57% | 70.53% |
| CAGR﹪ | 14.81% | 14.81% |
| Sharpe | 10.49 | 8.5 |
| Prob. Sharpe Ratio | - | 100.0% |
| Smart Sharpe | 10.2 | 8.26 |
| Sortino | 47.16 | 69.22 |
| Smart Sortino | 45.84 | 67.29 |
| Sortino/√2 | 33.34 | 48.95 |
| Smart Sortino/√2 | 32.41 | 47.58 |
| Omega | 9.15 | 9.15 |
| Max Drawdown | -0.05% | -0.02% |
| Longest DD Days | 3 | 1 |
| Volatility (ann.) | 0.66% | 0.81% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 280.89 | 770.42 |
| Skew | 1.35 | 4.59 |
| Kurtosis | 2.3 | 40.15 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 1.12% | 1.12% |
| Expected Yearly | 11.27% | 11.27% |
| Kelly Criterion | 96.51% | 99.72% |
| 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 | 611 | 165 |
| Max Consecutive Losses | 1 | 1 |
| Gain/Pain Ratio | 147.99 | 2655.88 |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | 1.92 | 2.94 |
| Profit Factor | 148.99 | 2656.88 |
| Common Sense Ratio | 2609.99 | 23537.79 |
| CPC Index | 279.87 | 7805.32 |
| Tail Ratio | 17.52 | 8.86 |
| Outlier Win Ratio | 3.32 | 3.41 |
| Outlier Loss Ratio | 0.3 | 0.49 |
| MTD | 0.23% | 0.26% |
| 3M | 3.65% | 3.62% |
| 6M | 7.6% | 7.57% |
| YTD | 6.22% | 6.4% |
| 1Y | 17.27% | 17.21% |
| 3Y (ann.) | 17.45% | 17.43% |
| 5Y (ann.) | 14.81% | 14.81% |
| 10Y (ann.) | 14.81% | 14.81% |
| All-time (ann.) | 14.81% | 14.81% |
| 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 | 3.07% | 3.02% |
| Avg. Drawdown | -0.02% | -0.01% |
| Avg. Drawdown Days | 2 | 1 |
| Recovery Factor | 1338.21 | 3670.13 |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 165594.32 | 5151557.21 |
| Avg. Up Month | 1.12% | 1.12% |
| Avg. Down Month | - | - |
| Win Days | 97.71% | 99.79% |
| 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 | 0.3% | - |
| Treynor Ratio | 25895.79% | - |
| 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 | 6.40 | 6.22 | 0.97 | - |
| 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 |