| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 66.0% | 97.0% |
| Cumulative Return | 23.5% | 24.0% |
| CAGR﹪ | 21.3% | 21.75% |
| Sharpe | 0.49 | 12.66 |
| Prob. Sharpe Ratio | 26.11% | 100.0% |
| Smart Sharpe | 0.31 | 7.9 |
| Sortino | 0.96 | 165.57 |
| Smart Sortino | 0.6 | 103.37 |
| Sortino/√2 | 0.68 | 117.07 |
| Smart Sortino/√2 | 0.43 | 73.09 |
| Omega | 1.8 | 1.8 |
| Max Drawdown | -40.13% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 74.78% | 1.0% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.53 | - |
| Skew | 8.3 | 4.68 |
| Kurtosis | 169.94 | 39.75 |
| Expected Daily | 0.08% | 0.08% |
| Expected Monthly | 1.52% | 1.55% |
| Expected Yearly | 11.13% | 11.36% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -7.58% | -0.03% |
| Expected Shortfall (cVaR) | -7.58% | -0.03% |
| Max Consecutive Wins | 8 | 90 |
| Max Consecutive Losses | 2 | 0 |
| Gain/Pain Ratio | 1.02 | - |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | - | - |
| Profit Factor | 2.02 | - |
| Common Sense Ratio | 4.53 | - |
| CPC Index | - | - |
| Tail Ratio | 2.24 | 3.8 |
| Outlier Win Ratio | 1.37 | 7.18 |
| Outlier Loss Ratio | 0.21 | - |
| MTD | 0.76% | 0.78% |
| 3M | 4.69% | 4.57% |
| 6M | 10.16% | 10.0% |
| YTD | 16.88% | 17.16% |
| 1Y | 22.04% | 21.96% |
| 3Y (ann.) | 21.3% | 21.75% |
| 5Y (ann.) | 21.3% | 21.75% |
| 10Y (ann.) | 21.3% | 21.75% |
| All-time (ann.) | 21.3% | 21.75% |
| Best Day | 67.49% | 0.72% |
| Worst Day | -40.13% | 0.0% |
| Best Month | 2.28% | 1.98% |
| Worst Month | 0.41% | 0.78% |
| Best Year | 16.88% | 17.16% |
| Worst Year | 5.67% | 5.84% |
| Avg. Drawdown | -1.21% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.59 | - |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 7.77 | - |
| Avg. Up Month | 1.52% | 1.55% |
| Avg. Down Month | - | - |
| Win Days | 76.63% | 100.0% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | -4.58 | - |
| Alpha | 1.33 | - |
| Correlation | -6.13% | - |
| Treynor Ratio | -3.6% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 5.84 | 5.67 | 0.97 | - |
| 2025 | 17.16 | 16.88 | 0.98 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-01-31 | 2025-02-11 | -40.13 | 11 |
| 2024-11-01 | 2024-11-08 | -0.54 | 7 |
| 2025-03-18 | 2025-03-21 | -0.54 | 3 |
| 2025-01-10 | 2025-01-14 | -0.47 | 4 |
| 2025-02-28 | 2025-03-11 | -0.45 | 11 |
| 2024-10-07 | 2024-10-15 | -0.39 | 8 |
| 2025-02-18 | 2025-02-27 | -0.37 | 9 |
| 2025-04-02 | 2025-04-03 | -0.31 | 1 |
| 2024-10-28 | 2024-10-31 | -0.31 | 3 |
| 2024-12-12 | 2024-12-17 | -0.28 | 5 |