| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 80.83% | 28.47% |
| CAGR﹪ | 17.58% | 7.09% |
| Sharpe | 0.82 | 20.09 |
| Prob. Sharpe Ratio | 94.24% | 100.0% |
| Smart Sharpe | 0.8 | 19.53 |
| Sortino | 1.2 | 64.55 |
| Smart Sortino | 1.17 | 62.76 |
| Sortino/√2 | 0.85 | 45.65 |
| Smart Sortino/√2 | 0.82 | 44.38 |
| Omega | 1.16 | 1.16 |
| Max Drawdown | -27.32% | -0.84% |
| Longest DD Days | 393 | 140 |
| Volatility (ann.) | 22.51% | 0.34% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.64 | 8.41 |
| Skew | -0.13 | -0.06 |
| Kurtosis | 7.16 | 2.82 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.33% | 0.56% |
| Expected Yearly | 12.58% | 5.14% |
| Kelly Criterion | 11.0% | 90.71% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.26% | -0.01% |
| Expected Shortfall (cVaR) | -2.26% | -0.01% |
| Max Consecutive Wins | 9 | 748 |
| Max Consecutive Losses | 7 | 28 |
| Gain/Pain Ratio | 0.16 | 20.09 |
| Gain/Pain (1M) | 0.9 | 20.09 |
| Payoff Ratio | 1.08 | 1.3 |
| Profit Factor | 1.16 | 21.09 |
| Common Sense Ratio | 1.2 | 67.56 |
| CPC Index | 0.67 | 26.01 |
| Tail Ratio | 1.03 | 3.2 |
| Outlier Win Ratio | 2.07 | 66.68 |
| Outlier Loss Ratio | 1.72 | 67.5 |
| MTD | 3.0% | 0.5% |
| 3M | 5.95% | 3.01% |
| 6M | 4.33% | 4.3% |
| YTD | 5.47% | 2.87% |
| 1Y | -4.13% | 6.09% |
| 3Y (ann.) | 11.15% | 8.07% |
| 5Y (ann.) | 17.58% | 7.09% |
| 10Y (ann.) | 17.58% | 7.09% |
| All-time (ann.) | 17.58% | 7.09% |
| Best Day | 8.58% | 0.09% |
| Worst Day | -10.03% | -0.07% |
| Best Month | 13.54% | 1.62% |
| Worst Month | -16.61% | -0.52% |
| Best Year | 52.2% | 9.51% |
| Worst Year | 0.4% | 0.53% |
| Avg. Drawdown | -3.63% | -0.62% |
| Avg. Drawdown Days | 32 | 102 |
| Recovery Factor | 2.96 | 33.76 |
| Ulcer Index | 0.11 | 0.0 |
| Serenity Index | 0.51 | 7.35 |
| Avg. Up Month | 4.84% | 0.64% |
| Avg. Down Month | - | - |
| Win Days | 53.82% | 94.75% |
| Win Month | 64.44% | 93.33% |
| Win Quarter | 66.67% | 93.33% |
| Win Year | 100.0% | 100.0% |
| Beta | -0.88 | - |
| Alpha | 0.24 | - |
| Correlation | -1.31% | - |
| Treynor Ratio | -92.08% | - |
| 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 | 2.87 | 5.47 | 1.90 | + |
| 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 | 2026-03-18 | -21.98 | 393 |
| 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 |