| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 93.0% | 100.0% |
| Cumulative Return | 20.98% | 28.0% |
| CAGR﹪ | 15.48% | 20.51% |
| Sharpe | 0.71 | 54.86 |
| Prob. Sharpe Ratio | 79.8% | 100.0% |
| Smart Sharpe | 0.65 | 50.67 |
| Sortino | 1.11 | - |
| Smart Sortino | 1.03 | - |
| Sortino/√2 | 0.79 | - |
| Smart Sortino/√2 | 0.73 | - |
| Omega | 1.13 | 1.13 |
| Max Drawdown | -21.51% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 24.01% | 0.33% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.72 | - |
| Skew | 0.76 | 2.53 |
| Kurtosis | 3.52 | 9.09 |
| Expected Daily | 0.06% | 0.07% |
| Expected Monthly | 1.13% | 1.46% |
| Expected Yearly | 6.55% | 8.58% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.42% | -0.04% |
| Expected Shortfall (cVaR) | -2.42% | -0.04% |
| Max Consecutive Wins | 6 | 338 |
| Max Consecutive Losses | 5 | 0 |
| Gain/Pain Ratio | 0.13 | - |
| Gain/Pain (1M) | 0.88 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.13 | - |
| Common Sense Ratio | 1.19 | - |
| CPC Index | - | - |
| Tail Ratio | 1.05 | 2.08 |
| Outlier Win Ratio | 1.99 | 28.61 |
| Outlier Loss Ratio | 1.3 | - |
| MTD | 2.54% | 1.16% |
| 3M | 7.17% | 4.3% |
| 6M | 2.63% | 8.39% |
| YTD | 5.12% | 3.58% |
| 1Y | -3.12% | 18.65% |
| 3Y (ann.) | 15.48% | 20.51% |
| 5Y (ann.) | 15.48% | 20.51% |
| 10Y (ann.) | 15.48% | 20.51% |
| All-time (ann.) | 15.48% | 20.51% |
| Best Day | 8.43% | 0.17% |
| Worst Day | -4.2% | 0.0% |
| Best Month | 14.42% | 1.81% |
| Worst Month | -7.55% | 1.16% |
| Best Year | 12.59% | 19.38% |
| Worst Year | 2.22% | 3.5% |
| Avg. Drawdown | -5.16% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.98 | - |
| Ulcer Index | 0.12 | 0.0 |
| Serenity Index | 0.14 | - |
| Avg. Up Month | 5.42% | 1.46% |
| Avg. Down Month | - | - |
| Win Days | 51.91% | 100.0% |
| Win Month | 52.94% | 100.0% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 1.91 | - |
| Alpha | -0.18 | - |
| Correlation | 2.66% | - |
| Treynor Ratio | 10.99% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 3.50 | 12.59 | 3.59 | + |
| 2025 | 19.38 | 2.22 | 0.11 | - |
| 2026 | 3.58 | 5.12 | 1.43 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-02-18 | 2026-03-13 | -21.51 | 388 |
| 2024-11-21 | 2024-12-20 | -7.59 | 29 |
| 2025-01-03 | 2025-01-15 | -4.17 | 12 |
| 2025-01-31 | 2025-02-06 | -2.41 | 6 |
| 2025-01-20 | 2025-01-30 | -2.25 | 10 |
| 2025-02-14 | 2025-02-17 | -1.87 | 3 |
| 2024-12-24 | 2024-12-25 | -1.32 | 1 |
| 2025-02-07 | 2025-02-10 | -0.17 | 3 |