| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 89.0% | 96.0% |
| Cumulative Return | 28.42% | 28.84% |
| CAGR﹪ | 20.34% | 20.64% |
| Sharpe | 0.56 | 12.53 |
| Prob. Sharpe Ratio | 28.89% | 100.0% |
| Smart Sharpe | 0.35 | 7.82 |
| Sortino | 1.09 | 183.36 |
| Smart Sortino | 0.68 | 114.43 |
| Sortino/√2 | 0.77 | 129.65 |
| Smart Sortino/√2 | 0.48 | 80.92 |
| Omega | 1.89 | 1.89 |
| Max Drawdown | -40.13% | -0.01% |
| Longest DD Days | 11 | 1 |
| Volatility (ann.) | 76.59% | 1.38% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.51 | 2412.8 |
| Skew | 8.1 | 2.39 |
| Kurtosis | 161.92 | 8.51 |
| Expected Daily | 0.09% | 0.1% |
| Expected Monthly | 1.48% | 1.5% |
| Expected Yearly | 8.69% | 8.81% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -7.74% | -0.05% |
| Expected Shortfall (cVaR) | -7.74% | -0.05% |
| Max Consecutive Wins | 10 | 86 |
| Max Consecutive Losses | 2 | 1 |
| Gain/Pain Ratio | 1.08 | 2965.36 |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | - | - |
| Profit Factor | 2.08 | 2966.36 |
| Common Sense Ratio | 4.09 | 20758.84 |
| CPC Index | - | - |
| Tail Ratio | 1.96 | 7.0 |
| Outlier Win Ratio | 1.25 | 6.23 |
| Outlier Loss Ratio | 0.27 | 26.83 |
| MTD | 0.63% | 0.77% |
| 3M | 3.98% | 4.09% |
| 6M | 8.55% | 8.69% |
| YTD | 0.63% | 0.77% |
| 1Y | 20.4% | 20.38% |
| 3Y (ann.) | 20.34% | 20.64% |
| 5Y (ann.) | 20.34% | 20.64% |
| 10Y (ann.) | 20.34% | 20.64% |
| All-time (ann.) | 20.34% | 20.64% |
| Best Day | 67.49% | 0.63% |
| Worst Day | -40.13% | -0.01% |
| Best Month | 2.28% | 1.84% |
| Worst Month | 0.41% | 0.77% |
| Best Year | 20.77% | 20.68% |
| Worst Year | 0.63% | 0.77% |
| Avg. Drawdown | -0.92% | -0.01% |
| Avg. Drawdown Days | 3 | 1 |
| Recovery Factor | 0.71 | 3371.99 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 9.87 | 4030318.39 |
| Avg. Up Month | 1.48% | 1.5% |
| Avg. Down Month | - | - |
| Win Days | 76.27% | 99.61% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 2.61 | - |
| Alpha | -0.13 | - |
| Correlation | 4.69% | - |
| Treynor Ratio | 8.21% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 5.94 | 5.67 | 0.95 | - |
| 2025 | 20.68 | 20.77 | 1.00 | + |
| 2026 | 0.77 | 0.63 | 0.81 | - |
| 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 |