| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 90.0% | 100.0% |
| Cumulative Return | 12.9% | 11.86% |
| CAGR﹪ | 26.88% | 24.59% |
| Sharpe | 6.76 | 20.65 |
| Prob. Sharpe Ratio | 100.0% | 99.99% |
| Smart Sharpe | 4.87 | 14.9 |
| Sortino | 15.16 | - |
| Smart Sortino | 10.94 | - |
| Sortino/√2 | 10.72 | - |
| Smart Sortino/√2 | 7.73 | - |
| Omega | 3.46 | 3.46 |
| Max Drawdown | -0.65% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 3.41% | 1.03% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 41.19 | - |
| Skew | 0.48 | 7.67 |
| Kurtosis | 2.28 | 59.98 |
| Expected Daily | 0.09% | 0.08% |
| Expected Monthly | 1.53% | 1.41% |
| Expected Yearly | 6.25% | 5.76% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.26% | -0.02% |
| Expected Shortfall (cVaR) | -0.26% | -0.02% |
| Max Consecutive Wins | 8 | 132 |
| Max Consecutive Losses | 2 | 0 |
| Gain/Pain Ratio | 2.46 | - |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | - | - |
| Profit Factor | 3.46 | - |
| Common Sense Ratio | 7.65 | - |
| CPC Index | - | - |
| Tail Ratio | 2.21 | 1.44 |
| Outlier Win Ratio | 2.84 | 5.95 |
| Outlier Loss Ratio | 1.07 | - |
| MTD | 0.0% | 0.08% |
| 3M | 8.01% | 4.96% |
| 6M | 12.34% | 10.53% |
| YTD | 12.34% | 10.53% |
| 1Y | 12.9% | 11.86% |
| 3Y (ann.) | 26.88% | 24.59% |
| 5Y (ann.) | 26.88% | 24.59% |
| 10Y (ann.) | 26.88% | 24.59% |
| All-time (ann.) | 26.88% | 24.59% |
| Best Day | 0.99% | 0.6% |
| Worst Day | -0.65% | 0.0% |
| Best Month | 2.91% | 1.79% |
| Worst Month | 0.0% | 0.08% |
| Best Year | 12.34% | 10.53% |
| Worst Year | 0.5% | 1.2% |
| Avg. Drawdown | -0.15% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 19.76 | - |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 105.76 | - |
| Avg. Up Month | 1.75% | 1.6% |
| Avg. Down Month | - | - |
| Win Days | 69.75% | 100.0% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.28 | - |
| Alpha | 0.17 | - |
| Correlation | 8.42% | - |
| Treynor Ratio | 46.19% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 1.20 | 0.50 | 0.42 | - |
| 2025 | 10.53 | 12.34 | 1.17 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-05-12 | 2025-05-15 | -0.65 | 3 |
| 2025-04-02 | 2025-04-11 | -0.47 | 9 |
| 2025-02-17 | 2025-02-20 | -0.39 | 3 |
| 2025-01-28 | 2025-01-30 | -0.26 | 2 |
| 2025-03-12 | 2025-03-14 | -0.24 | 2 |
| 2025-03-20 | 2025-03-21 | -0.21 | 1 |
| 2025-01-21 | 2025-01-24 | -0.19 | 3 |
| 2025-06-02 | 2025-06-03 | -0.18 | 1 |
| 2025-06-10 | 2025-06-11 | -0.18 | 1 |
| 2025-06-19 | 2025-06-20 | -0.18 | 1 |