| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 83.0% | 96.0% |
| Cumulative Return | 17.08% | 17.3% |
| CAGR﹪ | 21.95% | 22.24% |
| Sharpe | 0.65 | 13.47 |
| Prob. Sharpe Ratio | 36.65% | 100.0% |
| Smart Sharpe | 0.41 | 8.41 |
| Sortino | 1.27 | 219.23 |
| Smart Sortino | 0.8 | 136.93 |
| Sortino/√2 | 0.9 | 155.02 |
| Smart Sortino/√2 | 0.56 | 96.82 |
| Omega | 1.81 | 1.81 |
| Max Drawdown | -40.13% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 103.5% | 1.54% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.55 | - |
| Skew | 5.99 | 1.9 |
| Kurtosis | 88.67 | 5.22 |
| Expected Daily | 0.11% | 0.11% |
| Expected Monthly | 1.59% | 1.61% |
| Expected Yearly | 8.2% | 8.3% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -10.43% | -0.05% |
| Expected Shortfall (cVaR) | -10.43% | -0.05% |
| Max Consecutive Wins | 10 | 61 |
| Max Consecutive Losses | 2 | 0 |
| Gain/Pain Ratio | 0.93 | - |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.93 | - |
| Common Sense Ratio | 3.58 | - |
| CPC Index | - | - |
| Tail Ratio | 1.86 | 14.21 |
| Outlier Win Ratio | 0.81 | 5.73 |
| Outlier Loss Ratio | 0.17 | - |
| MTD | 1.81% | 1.58% |
| 3M | 5.45% | 5.31% |
| 6M | 10.9% | 10.72% |
| YTD | 10.8% | 10.72% |
| 1Y | 17.08% | 17.3% |
| 3Y (ann.) | 21.95% | 22.24% |
| 5Y (ann.) | 21.95% | 22.24% |
| 10Y (ann.) | 21.95% | 22.24% |
| All-time (ann.) | 21.95% | 22.24% |
| Best Day | 67.49% | 0.63% |
| Worst Day | -40.13% | 0.0% |
| Best Month | 2.28% | 1.84% |
| Worst Month | 0.41% | 0.77% |
| Best Year | 10.8% | 10.72% |
| Worst Year | 5.67% | 5.94% |
| Avg. Drawdown | -1.71% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.43 | - |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 3.39 | - |
| Avg. Up Month | 1.59% | 1.61% |
| Avg. Down Month | - | - |
| Win Days | 74.17% | 100.0% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 3.29 | - |
| Alpha | -0.17 | - |
| Correlation | 4.9% | - |
| Treynor Ratio | 3.07% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 5.94 | 5.67 | 0.95 | - |
| 2025 | 10.72 | 10.80 | 1.01 | + |
| 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 |