| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 71.83% | 25.26% |
| CAGR﹪ | 16.5% | 6.56% |
| Sharpe | 0.77 | 20.46 |
| Prob. Sharpe Ratio | 92.81% | 100.0% |
| Smart Sharpe | 0.75 | 19.91 |
| Sortino | 1.13 | 58.93 |
| Smart Sortino | 1.1 | 57.33 |
| Sortino/√2 | 0.8 | 41.67 |
| Smart Sortino/√2 | 0.78 | 40.54 |
| Omega | 1.15 | 1.15 |
| Max Drawdown | -27.32% | -0.84% |
| Longest DD Days | 352 | 140 |
| Volatility (ann.) | 22.79% | 0.31% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.6 | 7.78 |
| Skew | -0.12 | -0.6 |
| Kurtosis | 6.98 | 2.58 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.24% | 0.51% |
| Expected Yearly | 11.43% | 4.61% |
| Kelly Criterion | 11.65% | 90.15% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.29% | -0.01% |
| Expected Shortfall (cVaR) | -2.29% | -0.01% |
| Max Consecutive Wins | 9 | 748 |
| Max Consecutive Losses | 7 | 28 |
| Gain/Pain Ratio | 0.15 | 18.06 |
| Gain/Pain (1M) | 0.81 | 18.06 |
| Payoff Ratio | 1.09 | 1.22 |
| Profit Factor | 1.15 | 19.06 |
| Common Sense Ratio | 1.19 | 59.55 |
| CPC Index | 0.68 | 21.99 |
| Tail Ratio | 1.03 | 3.12 |
| Outlier Win Ratio | 2.06 | 71.75 |
| Outlier Loss Ratio | 1.68 | 67.51 |
| MTD | -2.17% | 0.06% |
| 3M | 8.35% | 1.01% |
| 6M | 0.64% | 1.53% |
| YTD | 0.21% | 0.31% |
| 1Y | 1.61% | 4.55% |
| 3Y (ann.) | 14.22% | 7.32% |
| 5Y (ann.) | 16.5% | 6.56% |
| 10Y (ann.) | 16.5% | 6.56% |
| All-time (ann.) | 16.5% | 6.56% |
| Best Day | 8.58% | 0.07% |
| Worst Day | -10.03% | -0.07% |
| Best Month | 13.54% | 1.43% |
| Worst Month | -16.61% | -0.52% |
| Best Year | 52.2% | 9.51% |
| Worst Year | 0.21% | 0.31% |
| Avg. Drawdown | -3.63% | -0.62% |
| Avg. Drawdown Days | 31 | 102 |
| Recovery Factor | 2.63 | 29.96 |
| Ulcer Index | 0.11 | 0.0 |
| Serenity Index | 0.46 | 5.75 |
| Avg. Up Month | 4.92% | 0.59% |
| Avg. Down Month | - | - |
| Win Days | 53.94% | 94.59% |
| Win Month | 63.64% | 93.18% |
| Win Quarter | 66.67% | 93.33% |
| Win Year | 100.0% | 100.0% |
| Beta | -1.33 | - |
| Alpha | 0.26 | - |
| Correlation | -1.78% | - |
| Treynor Ratio | -54.19% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 0.53 | 9.79 | 18.46 | + |
| 2023 | 7.42 | 52.20 | 7.04 | + |
| 2024 | 9.51 | 0.40 | 0.04 | - |
| 2025 | 5.60 | 2.20 | 0.39 | - |
| 2026 | 0.31 | 0.21 | 0.69 | - |
| 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 | 2026-02-05 | -21.98 | 352 |
| 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 |