| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 88.0% | 100.0% |
| Cumulative Return | 24.0% | 26.02% |
| CAGR﹪ | 19.63% | 21.25% |
| Sharpe | 0.64 | 65.1 |
| Prob. Sharpe Ratio | 76.18% | - |
| Smart Sharpe | 0.4 | 40.65 |
| Sortino | 1.25 | - |
| Smart Sortino | 0.78 | - |
| Sortino/√2 | 0.88 | - |
| Smart Sortino/√2 | 0.55 | - |
| Omega | 1.99 | 1.99 |
| Max Drawdown | -40.13% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 81.16% | 0.38% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.49 | - |
| Skew | 7.64 | -0.35 |
| Kurtosis | 144.16 | -0.15 |
| Expected Daily | 0.09% | 0.1% |
| Expected Monthly | 1.44% | 1.55% |
| Expected Yearly | 11.36% | 12.26% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -8.2% | -0.06% |
| Expected Shortfall (cVaR) | -8.2% | -0.06% |
| Max Consecutive Wins | 10 | 236 |
| Max Consecutive Losses | 2 | 0 |
| Gain/Pain Ratio | 0.99 | - |
| Gain/Pain (1M) | 169.0 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.99 | - |
| Common Sense Ratio | 3.5 | - |
| CPC Index | - | - |
| Tail Ratio | 1.76 | 2.14 |
| Outlier Win Ratio | 0.94 | 5.02 |
| Outlier Loss Ratio | 0.23 | - |
| MTD | 0.62% | 1.28% |
| 3M | 4.33% | 4.58% |
| 6M | 9.63% | 9.21% |
| YTD | 18.18% | 17.85% |
| 1Y | 21.37% | 21.23% |
| 3Y (ann.) | 19.63% | 21.25% |
| 5Y (ann.) | 19.63% | 21.25% |
| 10Y (ann.) | 19.63% | 21.25% |
| All-time (ann.) | 19.63% | 21.25% |
| Best Day | 67.49% | 0.14% |
| Worst Day | -40.13% | 0.0% |
| Best Month | 2.28% | 1.82% |
| Worst Month | -0.3% | 1.28% |
| Best Year | 18.18% | 17.85% |
| Worst Year | 4.93% | 6.94% |
| Avg. Drawdown | -1.11% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.6 | - |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 10.27 | - |
| Avg. Up Month | 1.57% | 1.56% |
| Avg. Down Month | - | - |
| Win Days | 75.85% | 100.0% |
| Win Month | 93.33% | 100.0% |
| Win Quarter | 83.33% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 5.61 | - |
| Alpha | -0.86 | - |
| Correlation | 2.61% | - |
| Treynor Ratio | 4.28% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 6.94 | 4.93 | 0.71 | - |
| 2025 | 17.85 | 18.18 | 1.02 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-01-31 | 2025-02-11 | -40.13 | 11 |
| 2024-09-03 | 2024-10-02 | -1.38 | 29 |
| 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 | 2024-10-17 | -0.39 | 10 |
| 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 |