| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 83.0% | 100.0% |
| Cumulative Return | 16.28% | 18.2% |
| CAGR﹪ | 19.85% | 22.24% |
| Sharpe | 0.69 | 112.95 |
| Prob. Sharpe Ratio | 72.77% | 100.0% |
| Smart Sharpe | 0.43 | 70.56 |
| Sortino | 1.34 | - |
| Smart Sortino | 0.84 | - |
| Sortino/√2 | 0.95 | - |
| Smart Sortino/√2 | 0.59 | - |
| Omega | 1.88 | 1.88 |
| Max Drawdown | -40.13% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 100.78% | 0.24% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.49 | - |
| Skew | 6.15 | -2.36 |
| Kurtosis | 93.52 | 15.19 |
| Expected Daily | 0.1% | 0.11% |
| Expected Monthly | 1.38% | 1.53% |
| Expected Yearly | 7.83% | 8.72% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -10.17% | -0.08% |
| Expected Shortfall (cVaR) | -10.17% | -0.08% |
| Max Consecutive Wins | 10 | 153 |
| Max Consecutive Losses | 2 | 0 |
| Gain/Pain Ratio | 0.88 | - |
| Gain/Pain (1M) | 146.64 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.88 | - |
| Common Sense Ratio | 3.29 | - |
| CPC Index | - | - |
| Tail Ratio | 1.75 | 1.46 |
| Outlier Win Ratio | 0.67 | 4.64 |
| Outlier Loss Ratio | 0.23 | - |
| MTD | 0.02% | 0.09% |
| 3M | 5.56% | 4.76% |
| 6M | 10.82% | 10.54% |
| YTD | 10.82% | 10.54% |
| 1Y | 16.28% | 18.2% |
| 3Y (ann.) | 19.85% | 22.24% |
| 5Y (ann.) | 19.85% | 22.24% |
| 10Y (ann.) | 19.85% | 22.24% |
| All-time (ann.) | 19.85% | 22.24% |
| Best Day | 67.49% | 0.13% |
| Worst Day | -40.13% | 0.0% |
| Best Month | 2.28% | 1.82% |
| Worst Month | -0.3% | 0.09% |
| Best Year | 10.82% | 10.54% |
| Worst Year | 4.93% | 6.94% |
| Avg. Drawdown | -1.69% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.41 | - |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 5.55 | - |
| Avg. Up Month | 1.55% | 1.54% |
| Avg. Down Month | - | - |
| Win Days | 73.23% | 100.0% |
| Win Month | 90.91% | 100.0% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 11.57 | - |
| Alpha | -2.48 | - |
| Correlation | 2.78% | - |
| Treynor Ratio | 1.41% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 6.94 | 4.93 | 0.71 | - |
| 2025 | 10.54 | 10.82 | 1.03 | + |
| 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 |