| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 92.0% | 97.0% |
| Cumulative Return | 36.25% | 36.52% |
| CAGR﹪ | 19.43% | 19.56% |
| Sharpe | 0.51 | 11.95 |
| Prob. Sharpe Ratio | 24.25% | 100.0% |
| Smart Sharpe | 0.32 | 7.46 |
| Sortino | 1.01 | 162.39 |
| Smart Sortino | 0.63 | 101.33 |
| Sortino/√2 | 0.71 | 114.83 |
| Smart Sortino/√2 | 0.44 | 71.65 |
| Omega | 1.92 | 1.92 |
| Max Drawdown | -40.13% | -0.01% |
| Longest DD Days | 11 | 1 |
| Volatility (ann.) | 65.72% | 1.25% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.48 | 2287.15 |
| Skew | 9.44 | 2.61 |
| Kurtosis | 219.91 | 10.49 |
| Expected Daily | 0.09% | 0.09% |
| Expected Monthly | 1.42% | 1.43% |
| Expected Yearly | 10.86% | 10.93% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.65% | -0.04% |
| Expected Shortfall (cVaR) | -6.65% | -0.04% |
| Max Consecutive Wins | 16 | 86 |
| Max Consecutive Losses | 2 | 1 |
| Gain/Pain Ratio | 1.18 | 3326.88 |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | - | - |
| Profit Factor | 2.18 | 3327.88 |
| Common Sense Ratio | 7.5 | 23412.46 |
| CPC Index | - | - |
| Tail Ratio | 3.45 | 7.04 |
| Outlier Win Ratio | 1.45 | 6.3 |
| Outlier Loss Ratio | 0.32 | 44.54 |
| MTD | 0.5% | 0.5% |
| 3M | 4.01% | 3.86% |
| 6M | 7.91% | 7.75% |
| YTD | 6.77% | 6.78% |
| 1Y | 17.63% | 17.48% |
| 3Y (ann.) | 19.43% | 19.56% |
| 5Y (ann.) | 19.43% | 19.56% |
| 10Y (ann.) | 19.43% | 19.56% |
| All-time (ann.) | 19.43% | 19.56% |
| Best Day | 67.49% | 0.63% |
| Worst Day | -40.13% | -0.01% |
| Best Month | 2.28% | 1.84% |
| Worst Month | 0.41% | 0.5% |
| Best Year | 20.77% | 20.68% |
| Worst Year | 5.67% | 5.94% |
| Avg. Drawdown | -0.71% | -0.0% |
| Avg. Drawdown Days | 3 | 1 |
| Recovery Factor | 0.9 | 4270.09 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 15.79 | 6691708.03 |
| Avg. Up Month | 1.42% | 1.43% |
| Avg. Down Month | - | - |
| Win Days | 77.04% | 99.43% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 2.52 | - |
| Alpha | -0.14 | - |
| Correlation | 4.8% | - |
| Treynor Ratio | 11.63% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 5.94 | 5.67 | 0.95 | - |
| 2025 | 20.68 | 20.77 | 1.00 | + |
| 2026 | 6.78 | 6.77 | 1.00 | - |
| 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 |