| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 75.0% | 97.0% |
| Cumulative Return | 35.58% | 36.24% |
| CAGR﹪ | 19.52% | 19.86% |
| Sharpe | 0.45 | 11.41 |
| Prob. Sharpe Ratio | 19.7% | 100.0% |
| Smart Sharpe | 0.28 | 7.12 |
| Sortino | 0.87 | 133.45 |
| Smart Sortino | 0.55 | 83.29 |
| Sortino/√2 | 0.62 | 94.37 |
| Smart Sortino/√2 | 0.39 | 58.9 |
| Omega | 1.85 | 1.85 |
| Max Drawdown | -40.13% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 60.07% | 0.99% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.49 | - |
| Skew | 10.34 | 4.81 |
| Kurtosis | 263.32 | 39.73 |
| Expected Daily | 0.07% | 0.07% |
| Expected Monthly | 1.46% | 1.48% |
| Expected Yearly | 10.68% | 10.86% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.09% | -0.03% |
| Expected Shortfall (cVaR) | -6.09% | -0.03% |
| Max Consecutive Wins | 10 | 100 |
| Max Consecutive Losses | 2 | 0 |
| Gain/Pain Ratio | 1.17 | - |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | - | - |
| Profit Factor | 2.17 | - |
| Common Sense Ratio | 6.39 | - |
| CPC Index | - | - |
| Tail Ratio | 2.95 | 4.41 |
| Outlier Win Ratio | 1.61 | 6.71 |
| Outlier Loss Ratio | 0.29 | - |
| MTD | 1.11% | 1.13% |
| 3M | 3.78% | 3.69% |
| 6M | 7.88% | 7.83% |
| YTD | 6.24% | 6.38% |
| 1Y | 18.31% | 18.01% |
| 3Y (ann.) | 19.52% | 19.86% |
| 5Y (ann.) | 19.52% | 19.86% |
| 10Y (ann.) | 19.52% | 19.86% |
| All-time (ann.) | 19.52% | 19.86% |
| Best Day | 67.49% | 0.72% |
| Worst Day | -40.13% | 0.0% |
| Best Month | 2.28% | 1.98% |
| Worst Month | 0.41% | 0.86% |
| Best Year | 20.77% | 21.01% |
| Worst Year | 5.67% | 5.84% |
| Avg. Drawdown | -0.73% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.89 | - |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 16.87 | - |
| Avg. Up Month | 1.46% | 1.48% |
| Avg. Down Month | - | - |
| Win Days | 77.02% | 100.0% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | -2.96 | - |
| Alpha | 0.87 | - |
| Correlation | -4.87% | - |
| Treynor Ratio | -9.67% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 5.84 | 5.67 | 0.97 | - |
| 2025 | 21.01 | 20.77 | 0.99 | - |
| 2026 | 6.38 | 6.24 | 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 |