| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 21.99% | 22.07% |
| CAGR﹪ | 20.74% | 20.81% |
| Sharpe | 8.93 | 82.23 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 5.09 | 46.83 |
| Sortino | 16.23 | - |
| Smart Sortino | 9.25 | - |
| Sortino/√2 | 11.48 | - |
| Smart Sortino/√2 | 6.54 | - |
| Omega | 8.42 | 8.42 |
| Max Drawdown | -0.82% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 2.08% | 0.23% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 25.38 | - |
| Skew | 0.73 | -0.06 |
| Kurtosis | 23.58 | 2.07 |
| Expected Daily | 0.07% | 0.07% |
| Expected Monthly | 1.54% | 1.55% |
| Expected Yearly | 10.45% | 10.49% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.14% | -0.05% |
| Expected Shortfall (cVaR) | -0.14% | -0.05% |
| Max Consecutive Wins | 229 | 269 |
| Max Consecutive Losses | 2 | 0 |
| Gain/Pain Ratio | 7.42 | - |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | - | - |
| Profit Factor | 8.42 | - |
| Common Sense Ratio | 41.31 | - |
| CPC Index | - | - |
| Tail Ratio | 4.9 | 1.93 |
| Outlier Win Ratio | 4.46 | 5.16 |
| Outlier Loss Ratio | 0.36 | - |
| MTD | 1.18% | 1.29% |
| 3M | 4.19% | 4.11% |
| 6M | 9.19% | 8.71% |
| YTD | 18.33% | 17.87% |
| 1Y | 20.73% | 20.39% |
| 3Y (ann.) | 20.74% | 20.81% |
| 5Y (ann.) | 20.74% | 20.81% |
| 10Y (ann.) | 20.74% | 20.81% |
| All-time (ann.) | 20.74% | 20.81% |
| Best Day | 0.92% | 0.11% |
| Worst Day | -0.82% | 0.0% |
| Best Month | 1.76% | 1.81% |
| Worst Month | 1.18% | 1.28% |
| Best Year | 18.33% | 17.87% |
| Worst Year | 3.09% | 3.56% |
| Avg. Drawdown | -0.63% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 26.91 | - |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 109.2 | - |
| Avg. Up Month | 1.54% | 1.55% |
| Avg. Down Month | - | - |
| Win Days | 97.77% | 100.0% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.59 | - |
| Alpha | 0.08 | - |
| Correlation | 6.42% | - |
| Treynor Ratio | 37.31% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 3.56 | 3.09 | 0.87 | - |
| 2025 | 17.87 | 18.33 | 1.03 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-12-11 | 2024-12-20 | -0.82 | 9 |
| 2024-12-25 | 2024-12-28 | -0.66 | 3 |
| 2024-12-23 | 2024-12-24 | -0.52 | 1 |
| 2024-12-30 | 2025-01-08 | -0.51 | 9 |