| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 87.0% | 100.0% |
| Cumulative Return | 51.46% | 74.91% |
| CAGR﹪ | 9.8% | 13.42% |
| Sharpe | 0.72 | 37.97 |
| Prob. Sharpe Ratio | 92.3% | - |
| Smart Sharpe | 0.5 | 26.77 |
| Sortino | 1.02 | - |
| Smart Sortino | 0.72 | - |
| Sortino/√2 | 0.72 | - |
| Smart Sortino/√2 | 0.51 | - |
| Omega | 1.23 | 1.23 |
| Max Drawdown | -21.06% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 14.93% | 0.34% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.47 | - |
| Skew | -1.26 | 0.69 |
| Kurtosis | 75.19 | 0.67 |
| Expected Daily | 0.04% | 0.05% |
| Expected Monthly | 0.79% | 1.06% |
| Expected Yearly | 7.16% | 9.77% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.5% | -0.02% |
| Expected Shortfall (cVaR) | -1.5% | -0.02% |
| Max Consecutive Wins | 8 | 1094 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | 0.23 | - |
| Gain/Pain (1M) | 2.13 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.23 | - |
| Common Sense Ratio | 1.37 | - |
| CPC Index | - | - |
| Tail Ratio | 1.11 | 3.49 |
| Outlier Win Ratio | 4.74 | 33.41 |
| Outlier Loss Ratio | 2.92 | - |
| MTD | 0.46% | 1.26% |
| 3M | 3.9% | 4.46% |
| 6M | 8.04% | 8.55% |
| YTD | 0.46% | 1.26% |
| 1Y | 20.36% | 19.82% |
| 3Y (ann.) | 12.2% | 16.52% |
| 5Y (ann.) | 9.8% | 13.42% |
| 10Y (ann.) | 9.8% | 13.42% |
| All-time (ann.) | 9.8% | 13.42% |
| Best Day | 11.77% | 0.14% |
| Worst Day | -14.25% | 0.0% |
| Best Month | 8.18% | 1.83% |
| Worst Month | -9.29% | 0.48% |
| Best Year | 20.86% | 19.38% |
| Worst Year | -0.3% | 1.26% |
| Avg. Drawdown | -0.73% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 2.44 | - |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 3.58 | - |
| Avg. Up Month | 1.81% | 1.12% |
| Avg. Down Month | - | - |
| Win Days | 57.41% | 100.0% |
| Win Month | 71.15% | 100.0% |
| Win Quarter | 68.42% | 100.0% |
| Win Year | 83.33% | 100.0% |
| Beta | 0.56 | - |
| Alpha | 0.03 | - |
| Correlation | 1.27% | - |
| Treynor Ratio | 91.66% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.83 | -0.30 | -0.11 | - |
| 2022 | 7.72 | 6.81 | 0.88 | - |
| 2023 | 10.00 | 8.43 | 0.84 | - |
| 2024 | 18.74 | 8.03 | 0.43 | - |
| 2025 | 19.38 | 20.86 | 1.08 | + |
| 2026 | 1.26 | 0.46 | 0.37 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-19 | 2022-06-16 | -21.06 | 240 |
| 2022-09-20 | 2022-10-26 | -7.63 | 36 |
| 2022-06-21 | 2022-09-09 | -5.04 | 80 |
| 2024-09-25 | 2024-12-23 | -3.69 | 89 |
| 2023-08-14 | 2023-12-22 | -2.34 | 130 |
| 2024-05-14 | 2024-08-01 | -2.26 | 79 |
| 2022-10-27 | 2022-11-15 | -1.99 | 19 |
| 2025-02-06 | 2025-02-18 | -1.73 | 12 |
| 2022-12-07 | 2022-12-19 | -1.53 | 12 |
| 2024-08-26 | 2024-09-24 | -1.32 | 29 |