| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | 46.81% | 76.41% |
| CAGR﹪ | 8.37% | 12.62% |
| Sharpe | 0.52 | 36.33 |
| Prob. Sharpe Ratio | 86.39% | - |
| Smart Sharpe | 0.29 | 20.65 |
| Sortino | 0.74 | - |
| Smart Sortino | 0.42 | - |
| Sortino/√2 | 0.52 | - |
| Smart Sortino/√2 | 0.3 | - |
| Omega | 1.19 | 1.19 |
| Max Drawdown | -29.99% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 19.38% | 0.33% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.28 | - |
| Skew | 0.9 | 0.31 |
| Kurtosis | 288.2 | -1.22 |
| Expected Daily | 0.03% | 0.05% |
| Expected Monthly | 0.68% | 1.0% |
| Expected Yearly | 7.98% | 12.02% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.97% | -0.01% |
| Expected Shortfall (cVaR) | -1.97% | -0.01% |
| Max Consecutive Wins | 9 | 1195 |
| Max Consecutive Losses | 9 | 0 |
| Gain/Pain Ratio | 0.19 | - |
| Gain/Pain (1M) | 2.15 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.19 | - |
| Common Sense Ratio | 1.39 | - |
| CPC Index | - | - |
| Tail Ratio | 1.17 | 4.12 |
| Outlier Win Ratio | 2.34 | 21.81 |
| Outlier Loss Ratio | 2.1 | - |
| MTD | -3.77% | 1.3% |
| 3M | -0.43% | 4.3% |
| 6M | 7.83% | 8.62% |
| YTD | 22.78% | 19.42% |
| 1Y | 29.59% | 20.1% |
| 3Y (ann.) | 10.68% | 16.28% |
| 5Y (ann.) | 8.37% | 12.62% |
| 10Y (ann.) | 8.37% | 12.62% |
| All-time (ann.) | 8.37% | 12.62% |
| Best Day | 25.56% | 0.09% |
| Worst Day | -24.07% | 0.0% |
| Best Month | 6.35% | 1.83% |
| Worst Month | -9.42% | 0.35% |
| Best Year | 22.78% | 19.42% |
| Worst Year | 2.57% | 5.0% |
| Avg. Drawdown | -1.1% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 1.56 | - |
| Ulcer Index | 0.04 | 0.0 |
| Serenity Index | 2.33 | - |
| Avg. Up Month | 1.64% | 0.99% |
| Avg. Down Month | - | - |
| Win Days | 54.17% | 100.0% |
| Win Month | 73.68% | 100.0% |
| Win Quarter | 70.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.38 | - |
| Alpha | 0.05 | - |
| Correlation | 0.64% | - |
| Treynor Ratio | 123.91% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 5.00 | 2.57 | 0.51 | - |
| 2022 | 7.72 | 4.85 | 0.63 | - |
| 2023 | 10.00 | 6.54 | 0.65 | - |
| 2024 | 18.74 | 4.36 | 0.23 | - |
| 2025 | 19.42 | 22.78 | 1.17 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-05 | 2022-09-15 | -29.99 | 253 |
| 2024-08-20 | 2025-01-09 | -8.87 | 142 |
| 2022-09-19 | 2022-11-21 | -6.94 | 63 |
| 2023-08-11 | 2024-03-05 | -4.78 | 207 |
| 2025-12-05 | 2025-12-23 | -4.44 | 18 |
| 2021-10-21 | 2022-01-03 | -3.77 | 74 |
| 2024-05-21 | 2024-08-13 | -3.14 | 84 |
| 2025-03-27 | 2025-04-24 | -2.36 | 28 |
| 2025-09-09 | 2025-10-29 | -2.30 | 50 |
| 2025-05-15 | 2025-05-21 | -1.73 | 6 |