| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | 67.97% | 29.16% |
| CAGR﹪ | 14.74% | 7.02% |
| Sharpe | 18.94 | 20.2 |
| Prob. Sharpe Ratio | - | 100.0% |
| Smart Sharpe | 17.69 | 18.87 |
| Sortino | 225.11 | 74.01 |
| Smart Sortino | 210.24 | 69.12 |
| Sortino/√2 | 159.18 | 52.33 |
| Smart Sortino/√2 | 148.66 | 48.88 |
| Omega | 87.21 | 87.21 |
| Max Drawdown | -0.05% | -0.88% |
| Longest DD Days | 3 | 150 |
| Volatility (ann.) | 0.67% | 0.31% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | 0.59 | 0.59 |
| Calmar | 279.45 | 8.01 |
| Skew | 1.28 | -0.01 |
| Kurtosis | 2.17 | 0.94 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.13% | 0.56% |
| Expected Yearly | 10.93% | 5.25% |
| Kelly Criterion | 94.82% | 89.55% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.02% | -0.01% |
| Expected Shortfall (cVaR) | -0.02% | -0.01% |
| Max Consecutive Wins | 335 | 758 |
| Max Consecutive Losses | 2 | 34 |
| Gain/Pain Ratio | 86.21 | 19.99 |
| Gain/Pain (1M) | - | 19.99 |
| Payoff Ratio | 5.07 | 1.33 |
| Profit Factor | 87.21 | 20.99 |
| Common Sense Ratio | - | 86.46 |
| CPC Index | 422.87 | 26.2 |
| Tail Ratio | - | 4.12 |
| Outlier Win Ratio | 2.37 | 4.54 |
| Outlier Loss Ratio | 1.7 | 1.16 |
| MTD | 0.8% | 0.47% |
| 3M | 3.69% | 2.48% |
| 6M | 7.82% | 4.38% |
| YTD | 4.38% | 3.46% |
| 1Y | 18.15% | 6.09% |
| 3Y (ann.) | 17.11% | 8.15% |
| 5Y (ann.) | 14.74% | 7.02% |
| 10Y (ann.) | 14.74% | 7.02% |
| All-time (ann.) | 14.74% | 7.02% |
| Best Day | 0.25% | 0.07% |
| Worst Day | -0.05% | -0.03% |
| Best Month | 1.81% | 1.62% |
| Worst Month | 0.3% | -0.52% |
| Best Year | 20.26% | 9.51% |
| Worst Year | 3.29% | 0.5% |
| Avg. Drawdown | -0.02% | -0.64% |
| Avg. Drawdown Days | 1 | 107 |
| Recovery Factor | 1288.92 | 33.3 |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 122673.4 | 6.85 |
| Avg. Up Month | 1.16% | 0.63% |
| Avg. Down Month | - | - |
| Win Days | 95.67% | 94.04% |
| Win Month | 100.0% | 93.48% |
| Win Quarter | 100.0% | 93.75% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.37 | - |
| Alpha | 0.1 | - |
| Correlation | 16.88% | - |
| Treynor Ratio | 186.18% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 0.50 | 3.29 | 6.60 | + |
| 2023 | 7.42 | 9.74 | 1.31 | + |
| 2024 | 9.51 | 18.05 | 1.90 | + |
| 2025 | 5.60 | 20.26 | 3.62 | + |
| 2026 | 3.46 | 4.38 | 1.27 | + |
| 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 |