| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 22.14% | 17.75% |
| CAGR﹪ | 21.69% | 17.39% |
| Sharpe | 0.85 | 37.42 |
| Prob. Sharpe Ratio | 79.27% | 100.0% |
| Smart Sharpe | 0.75 | 32.92 |
| Sortino | 1.12 | - |
| Smart Sortino | 0.98 | - |
| Sortino/√2 | 0.79 | - |
| Smart Sortino/√2 | 0.7 | - |
| Omega | 1.17 | 1.17 |
| Max Drawdown | -24.5% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 27.58% | 0.43% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.89 | - |
| Skew | -1.82 | 5.45 |
| Kurtosis | 12.07 | 31.72 |
| Expected Daily | 0.08% | 0.06% |
| Expected Monthly | 1.55% | 1.26% |
| Expected Yearly | 10.52% | 8.51% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.76% | -0.02% |
| Expected Shortfall (cVaR) | -2.76% | -0.02% |
| Max Consecutive Wins | 7 | 257 |
| Max Consecutive Losses | 4 | 0 |
| Gain/Pain Ratio | 0.17 | - |
| Gain/Pain (1M) | 0.99 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.17 | - |
| Common Sense Ratio | 1.34 | - |
| CPC Index | - | - |
| Tail Ratio | 1.15 | 1.54 |
| Outlier Win Ratio | 1.71 | 31.92 |
| Outlier Loss Ratio | 2.2 | - |
| MTD | -6.53% | 1.09% |
| 3M | -20.7% | 3.34% |
| 6M | -1.36% | 7.17% |
| YTD | -6.53% | 5.83% |
| 1Y | 22.39% | 16.68% |
| 3Y (ann.) | 21.69% | 17.39% |
| 5Y (ann.) | 21.69% | 17.39% |
| 10Y (ann.) | 21.69% | 17.39% |
| All-time (ann.) | 21.69% | 17.39% |
| Best Day | 4.84% | 0.23% |
| Worst Day | -12.74% | 0.0% |
| Best Month | 20.44% | 1.53% |
| Worst Month | -8.25% | 1.09% |
| Best Year | 30.69% | 11.27% |
| Worst Year | -6.53% | 5.83% |
| Avg. Drawdown | -3.72% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.9 | - |
| Ulcer Index | 0.08 | 0.0 |
| Serenity Index | 0.3 | - |
| Avg. Up Month | 6.22% | 1.3% |
| Avg. Down Month | - | - |
| Win Days | 52.8% | 100.0% |
| Win Month | 61.54% | 100.0% |
| Win Quarter | 60.0% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | 1.75 | - |
| Alpha | -0.05 | - |
| Correlation | 2.71% | - |
| Treynor Ratio | 12.66% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 11.27 | 30.69 | 2.72 | + |
| 2026 | 5.83 | -6.53 | -1.12 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-03 | 2026-05-29 | -24.50 | 87 |
| 2026-02-02 | 2026-03-02 | -12.74 | 28 |
| 2025-10-21 | 2026-01-05 | -10.55 | 76 |
| 2025-06-16 | 2025-07-29 | -4.61 | 43 |
| 2025-06-05 | 2025-06-13 | -3.09 | 8 |
| 2025-07-30 | 2025-08-08 | -2.95 | 9 |
| 2025-08-11 | 2025-08-27 | -2.85 | 16 |
| 2025-09-11 | 2025-09-23 | -2.60 | 12 |
| 2025-09-30 | 2025-10-06 | -2.06 | 6 |
| 2026-01-13 | 2026-01-19 | -0.87 | 6 |