| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 86.0% | 100.0% |
| Cumulative Return | 27.72% | 27.21% |
| CAGR﹪ | 24.14% | 23.7% |
| Sharpe | 5.41 | 8.3 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 3.7 | 5.69 |
| Sortino | 10.66 | 18.03 |
| Smart Sortino | 7.3 | 12.34 |
| Sortino/√2 | 7.54 | 12.75 |
| Smart Sortino/√2 | 5.16 | 8.73 |
| Omega | 2.52 | 2.52 |
| Max Drawdown | -0.65% | -0.51% |
| Longest DD Days | 9 | 9 |
| Volatility (ann.) | 2.74% | 1.74% |
| R^2 | 0.2 | 0.2 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 36.99 | 46.68 |
| Skew | 0.39 | 0.31 |
| Kurtosis | 3.1 | 4.31 |
| Expected Daily | 0.09% | 0.08% |
| Expected Monthly | 1.76% | 1.73% |
| Expected Yearly | 13.01% | 12.79% |
| Kelly Criterion | 53.22% | 72.57% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.2% | -0.1% |
| Expected Shortfall (cVaR) | -0.2% | -0.1% |
| Max Consecutive Wins | 9 | 20 |
| Max Consecutive Losses | 2 | 2 |
| Gain/Pain Ratio | 2.98 | 7.57 |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | 1.18 | 1.43 |
| Profit Factor | 3.98 | 8.57 |
| Common Sense Ratio | 8.71 | 31.08 |
| CPC Index | 3.51 | 10.28 |
| Tail Ratio | 2.19 | 3.63 |
| Outlier Win Ratio | 2.99 | 3.84 |
| Outlier Loss Ratio | 1.58 | 3.02 |
| MTD | 1.57% | 1.4% |
| 3M | 4.62% | 4.27% |
| 6M | 9.31% | 9.03% |
| YTD | 2.79% | 2.84% |
| 1Y | 25.35% | 25.11% |
| 3Y (ann.) | 24.14% | 23.7% |
| 5Y (ann.) | 24.14% | 23.7% |
| 10Y (ann.) | 24.14% | 23.7% |
| All-time (ann.) | 24.14% | 23.7% |
| Best Day | 0.99% | 0.59% |
| Worst Day | -0.65% | -0.41% |
| Best Month | 2.91% | 3.2% |
| Worst Month | 0.87% | 0.89% |
| Best Year | 24.26% | 23.7% |
| Worst Year | 2.79% | 2.84% |
| Avg. Drawdown | -0.14% | -0.09% |
| Avg. Drawdown Days | 2 | 2 |
| Recovery Factor | 42.48 | 53.59 |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 226.44 | 414.71 |
| Avg. Up Month | 1.76% | 1.74% |
| Avg. Down Month | - | - |
| Win Days | 74.69% | 83.86% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.71 | - |
| Alpha | 0.07 | - |
| Correlation | 44.87% | - |
| Treynor Ratio | 29.32% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 23.70 | 24.26 | 1.02 | + |
| 2026 | 2.84 | 2.79 | 0.98 | - |
| 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 |
| 2025-10-08 | 2025-10-10 | -0.25 | 2 |
| 2025-11-24 | 2025-11-27 | -0.24 | 3 |
| 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 |