| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 96.0% | 91.0% |
| Cumulative Return | 5.74% | 5.48% |
| CAGR﹪ | 21.19% | 20.15% |
| Sharpe | 12.17 | 11.27 |
| Prob. Sharpe Ratio | 100.0% | - |
| Smart Sharpe | 8.36 | 7.75 |
| Sortino | 39.47 | 86.96 |
| Smart Sortino | 27.12 | 59.75 |
| Sortino/√2 | 27.91 | 61.49 |
| Smart Sortino/√2 | 19.18 | 42.25 |
| Omega | 7.33 | 7.33 |
| Max Drawdown | -0.06% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 1.01% | 1.01% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 356.82 | - |
| Skew | 0.4 | 1.74 |
| Kurtosis | 0.48 | 2.61 |
| Expected Daily | 0.08% | 0.07% |
| Expected Monthly | 1.4% | 1.34% |
| Expected Yearly | 5.74% | 5.48% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.03% | -0.03% |
| Expected Shortfall (cVaR) | -0.03% | -0.03% |
| Max Consecutive Wins | 12 | 25 |
| Max Consecutive Losses | 1 | 0 |
| Gain/Pain Ratio | 25.04 | - |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | - | - |
| Profit Factor | 26.04 | - |
| Common Sense Ratio | 160.79 | - |
| CPC Index | - | - |
| Tail Ratio | 6.17 | - |
| Outlier Win Ratio | 2.98 | 3.64 |
| Outlier Loss Ratio | 0.66 | - |
| MTD | 1.09% | 0.98% |
| 3M | 5.01% | 4.76% |
| 6M | 5.74% | 5.48% |
| YTD | 5.74% | 5.48% |
| 1Y | 5.74% | 5.48% |
| 3Y (ann.) | 21.19% | 20.15% |
| 5Y (ann.) | 21.19% | 20.15% |
| 10Y (ann.) | 21.19% | 20.15% |
| All-time (ann.) | 21.19% | 20.15% |
| Best Day | 0.26% | 0.28% |
| Worst Day | -0.06% | 0.0% |
| Best Month | 1.73% | 1.57% |
| Worst Month | 1.09% | 0.98% |
| Best Year | 5.74% | 5.48% |
| Worst Year | 5.74% | 5.48% |
| Avg. Drawdown | -0.03% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 96.66 | - |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | -407.79 | - |
| Avg. Up Month | 1.41% | 1.34% |
| Avg. Down Month | - | - |
| Win Days | 88.73% | 100.0% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | -0.13 | - |
| Alpha | 0.21 | - |
| Correlation | -12.93% | - |
| Treynor Ratio | 9.8% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 5.48 | 5.74 | 1.05 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-03-11 | 2025-03-12 | -0.06 | 1 |
| 2025-05-12 | 2025-05-13 | -0.03 | 1 |
| 2025-05-21 | 2025-05-22 | -0.03 | 1 |
| 2025-05-27 | 2025-05-28 | -0.03 | 1 |
| 2025-06-09 | 2025-06-10 | -0.03 | 1 |
| 2025-03-06 | 2025-03-07 | -0.02 | 1 |
| 2025-03-19 | 2025-03-20 | -0.02 | 1 |
| 2025-04-21 | 2025-04-22 | -0.01 | 1 |