| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 66.99% | 70.79% |
| CAGR﹪ | 14.27% | 14.94% |
| Sharpe | 0.71 | 46.48 |
| Prob. Sharpe Ratio | 91.73% | - |
| Smart Sharpe | 0.69 | 45.31 |
| Sortino | 1.03 | - |
| Smart Sortino | 1.0 | - |
| Sortino/√2 | 0.73 | - |
| Smart Sortino/√2 | 0.71 | - |
| Omega | 1.14 | 1.14 |
| Max Drawdown | -27.32% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 22.12% | 0.3% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.52 | - |
| Skew | -0.11 | -0.07 |
| Kurtosis | 7.38 | -0.97 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 1.1% | 1.15% |
| Expected Yearly | 10.8% | 11.3% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.23% | -0.02% |
| Expected Shortfall (cVaR) | -2.23% | -0.02% |
| Max Consecutive Wins | 9 | 980 |
| Max Consecutive Losses | 7 | 0 |
| Gain/Pain Ratio | 0.14 | - |
| Gain/Pain (1M) | 0.75 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.14 | - |
| Common Sense Ratio | 1.17 | - |
| CPC Index | - | - |
| Tail Ratio | 1.03 | 3.18 |
| Outlier Win Ratio | 2.06 | 35.58 |
| Outlier Loss Ratio | 1.74 | - |
| MTD | -0.4% | 1.09% |
| 3M | -4.3% | 3.53% |
| 6M | 1.54% | 7.45% |
| YTD | -2.61% | 5.83% |
| 1Y | 3.41% | 16.58% |
| 3Y (ann.) | 5.19% | 17.24% |
| 5Y (ann.) | 14.27% | 14.94% |
| 10Y (ann.) | 14.27% | 14.94% |
| All-time (ann.) | 14.27% | 14.94% |
| Best Day | 8.58% | 0.1% |
| Worst Day | -10.03% | 0.0% |
| Best Month | 13.54% | 1.83% |
| Worst Month | -16.61% | 0.48% |
| Best Year | 52.2% | 19.38% |
| Worst Year | -2.61% | 3.5% |
| Avg. Drawdown | -3.63% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 2.45 | - |
| Ulcer Index | 0.11 | 0.0 |
| Serenity Index | 0.42 | - |
| Avg. Up Month | 5.09% | 1.06% |
| Avg. Down Month | - | - |
| Win Days | 53.17% | 100.0% |
| Win Month | 59.57% | 100.0% |
| Win Quarter | 62.5% | 100.0% |
| Win Year | 80.0% | 100.0% |
| Beta | -1.05 | - |
| Alpha | 0.3 | - |
| Correlation | -1.4% | - |
| Treynor Ratio | -64.0% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 3.50 | 9.79 | 2.80 | + |
| 2023 | 10.00 | 52.20 | 5.22 | + |
| 2024 | 18.74 | 0.40 | 0.02 | - |
| 2025 | 19.38 | 2.20 | 0.11 | - |
| 2026 | 5.83 | -2.61 | -0.45 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-05-20 | 2025-02-17 | -27.32 | 273 |
| 2022-09-06 | 2023-03-20 | -24.30 | 195 |
| 2025-02-18 | 2026-05-25 | -21.98 | 461 |
| 2023-09-06 | 2023-10-20 | -8.19 | 44 |
| 2023-10-26 | 2024-01-31 | -7.64 | 97 |
| 2022-08-01 | 2022-08-22 | -7.02 | 21 |
| 2023-04-28 | 2023-05-15 | -4.43 | 17 |
| 2023-08-14 | 2023-08-22 | -3.97 | 8 |
| 2024-02-16 | 2024-03-01 | -3.46 | 14 |
| 2023-06-16 | 2023-07-06 | -2.97 | 20 |