| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 72.25% | 63.98% |
| CAGR﹪ | 16.56% | 14.96% |
| Sharpe | 0.78 | 44.79 |
| Prob. Sharpe Ratio | 92.88% | - |
| Smart Sharpe | 0.76 | 43.57 |
| Sortino | 1.13 | - |
| Smart Sortino | 1.1 | - |
| Sortino/√2 | 0.8 | - |
| Smart Sortino/√2 | 0.78 | - |
| Omega | 1.15 | 1.15 |
| Max Drawdown | -27.32% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 22.77% | 0.31% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.61 | - |
| Skew | -0.12 | -0.06 |
| Kurtosis | 6.99 | -1.1 |
| Expected Daily | 0.06% | 0.05% |
| Expected Monthly | 1.24% | 1.13% |
| Expected Yearly | 11.49% | 10.4% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.29% | -0.02% |
| Expected Shortfall (cVaR) | -2.29% | -0.02% |
| Max Consecutive Wins | 9 | 906 |
| Max Consecutive Losses | 7 | 0 |
| Gain/Pain Ratio | 0.15 | - |
| Gain/Pain (1M) | 0.81 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.15 | - |
| Common Sense Ratio | 1.19 | - |
| CPC Index | - | - |
| Tail Ratio | 1.03 | 3.29 |
| Outlier Win Ratio | 2.07 | 36.67 |
| Outlier Loss Ratio | 1.66 | - |
| MTD | -1.93% | 0.36% |
| 3M | 9.24% | 4.04% |
| 6M | 0.53% | 8.14% |
| YTD | 0.46% | 1.61% |
| 1Y | 0.14% | 18.86% |
| 3Y (ann.) | 14.3% | 16.48% |
| 5Y (ann.) | 16.56% | 14.96% |
| 10Y (ann.) | 16.56% | 14.96% |
| All-time (ann.) | 16.56% | 14.96% |
| Best Day | 8.58% | 0.1% |
| Worst Day | -10.03% | 0.0% |
| Best Month | 13.54% | 1.83% |
| Worst Month | -16.61% | 0.36% |
| Best Year | 52.2% | 19.38% |
| Worst Year | 0.4% | 1.61% |
| Avg. Drawdown | -3.63% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 2.64 | - |
| Ulcer Index | 0.11 | 0.0 |
| Serenity Index | 0.46 | - |
| Avg. Up Month | 5.09% | 1.06% |
| Avg. Down Month | - | - |
| Win Days | 53.99% | 100.0% |
| Win Month | 63.64% | 100.0% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | -1.2 | - |
| Alpha | 0.34 | - |
| Correlation | -1.61% | - |
| Treynor Ratio | -60.42% | - |
| 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 | 1.61 | 0.46 | 0.29 | - |
| 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 | 2026-02-06 | -21.98 | 353 |
| 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 |