| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 21.06% | 7.34% |
| CAGR﹪ | 36.15% | 12.13% |
| Sharpe | 1.94 | 26.08 |
| Prob. Sharpe Ratio | 93.76% | 100.0% |
| Smart Sharpe | 1.88 | 25.35 |
| Sortino | 3.14 | - |
| Smart Sortino | 3.05 | - |
| Sortino/√2 | 2.22 | - |
| Smart Sortino/√2 | 2.16 | - |
| Omega | 1.44 | 1.44 |
| Max Drawdown | -10.25% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 17.22% | 0.45% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | 0.08 | 0.08 |
| Calmar | 3.53 | - |
| Skew | 0.56 | 2.32 |
| Kurtosis | 5.65 | 13.3 |
| Expected Daily | 0.13% | 0.05% |
| Expected Monthly | 2.15% | 0.79% |
| Expected Yearly | 10.03% | 3.61% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.65% | -0.0% |
| Expected Shortfall (cVaR) | -1.65% | -0.0% |
| Max Consecutive Wins | 9 | 150 |
| Max Consecutive Losses | 10 | 0 |
| Gain/Pain Ratio | 0.44 | - |
| Gain/Pain (1M) | 1.84 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.44 | - |
| Common Sense Ratio | 1.58 | - |
| CPC Index | - | - |
| Tail Ratio | 1.1 | 6.77 |
| Outlier Win Ratio | 2.15 | 36.33 |
| Outlier Loss Ratio | 2.07 | - |
| MTD | -0.03% | 0.18% |
| 3M | -1.51% | 4.05% |
| 6M | 19.49% | 5.66% |
| YTD | -2.95% | 1.38% |
| 1Y | 21.06% | 7.34% |
| 3Y (ann.) | 36.15% | 12.13% |
| 5Y (ann.) | 36.15% | 12.13% |
| 10Y (ann.) | 36.15% | 12.13% |
| All-time (ann.) | 36.15% | 12.13% |
| Best Day | 5.48% | 0.21% |
| Worst Day | -3.95% | 0.0% |
| Best Month | 12.87% | 1.43% |
| Worst Month | -5.13% | 0.18% |
| Best Year | 24.74% | 5.88% |
| Worst Year | -2.95% | 1.38% |
| Avg. Drawdown | -1.55% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 2.05 | - |
| Ulcer Index | 0.04 | 0.0 |
| Serenity Index | 0.78 | - |
| Avg. Up Month | 6.32% | 0.8% |
| Avg. Down Month | - | - |
| Win Days | 54.0% | 100.0% |
| Win Month | 55.56% | 100.0% |
| Win Quarter | 50.0% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -6.56 | - |
| Alpha | 1.11 | - |
| Correlation | -17.27% | - |
| Treynor Ratio | -3.21% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 5.88 | 24.74 | 4.21 | + |
| 2025 | 1.38 | -2.95 | -2.14 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-11-29 | 2025-02-05 | -10.25 | 68 |
| 2024-08-22 | 2024-09-03 | -3.30 | 12 |
| 2024-06-27 | 2024-07-04 | -3.22 | 7 |
| 2024-09-05 | 2024-09-06 | -2.03 | 1 |
| 2024-10-10 | 2024-10-28 | -1.93 | 18 |
| 2024-11-06 | 2024-11-14 | -1.58 | 8 |
| 2024-07-18 | 2024-08-05 | -1.25 | 18 |
| 2024-11-27 | 2024-11-28 | -0.76 | 1 |
| 2024-08-06 | 2024-08-13 | -0.72 | 7 |
| 2024-08-14 | 2024-08-19 | -0.71 | 5 |