| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 85.0% | 100.0% |
| Cumulative Return | 30.29% | 29.98% |
| CAGR﹪ | 23.42% | 23.18% |
| Sharpe | 5.36 | 8.36 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 3.7 | 5.76 |
| Sortino | 10.57 | 18.21 |
| Smart Sortino | 7.29 | 12.55 |
| Sortino/√2 | 7.47 | 12.88 |
| Smart Sortino/√2 | 5.15 | 8.88 |
| Omega | 2.51 | 2.51 |
| Max Drawdown | -0.65% | -0.51% |
| Longest DD Days | 9 | 9 |
| Volatility (ann.) | 2.66% | 1.68% |
| R^2 | 0.2 | 0.2 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 35.89 | 45.66 |
| Skew | 0.41 | 0.34 |
| Kurtosis | 3.31 | 4.67 |
| Expected Daily | 0.08% | 0.08% |
| Expected Monthly | 1.67% | 1.65% |
| Expected Yearly | 14.15% | 14.01% |
| Kelly Criterion | 53.85% | 73.69% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.19% | -0.09% |
| Expected Shortfall (cVaR) | -0.19% | -0.09% |
| Max Consecutive Wins | 9 | 20 |
| Max Consecutive Losses | 2 | 2 |
| Gain/Pain Ratio | 3.06 | 7.95 |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | 1.14 | 1.42 |
| Profit Factor | 4.06 | 8.95 |
| Common Sense Ratio | 8.55 | 30.89 |
| CPC Index | 3.5 | 10.78 |
| Tail Ratio | 2.11 | 3.45 |
| Outlier Win Ratio | 3.0 | 3.81 |
| Outlier Loss Ratio | 1.57 | 3.06 |
| MTD | 0.61% | 0.63% |
| 3M | 4.44% | 4.46% |
| 6M | 8.93% | 8.88% |
| YTD | 4.86% | 5.08% |
| 1Y | 25.24% | 24.91% |
| 3Y (ann.) | 23.42% | 23.18% |
| 5Y (ann.) | 23.42% | 23.18% |
| 10Y (ann.) | 23.42% | 23.18% |
| All-time (ann.) | 23.42% | 23.18% |
| Best Day | 0.99% | 0.59% |
| Worst Day | -0.65% | -0.41% |
| Best Month | 2.91% | 3.2% |
| Worst Month | 0.61% | 0.63% |
| Best Year | 24.26% | 23.7% |
| Worst Year | 4.86% | 5.08% |
| Avg. Drawdown | -0.14% | -0.08% |
| Avg. Drawdown Days | 2 | 2 |
| Recovery Factor | 46.42 | 59.05 |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 264.38 | 500.84 |
| Avg. Up Month | 1.67% | 1.65% |
| Avg. Down Month | - | - |
| Win Days | 75.37% | 84.54% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.71 | - |
| Alpha | 0.06 | - |
| Correlation | 44.76% | - |
| Treynor Ratio | 32.89% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 23.70 | 24.26 | 1.02 | + |
| 2026 | 5.08 | 4.86 | 0.96 | - |
| 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 |