| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 80.0% | 96.0% |
| Cumulative Return | 14.2% | 14.53% |
| CAGR﹪ | 21.87% | 22.4% |
| Sharpe | 0.67 | 13.68 |
| Prob. Sharpe Ratio | 38.22% | 100.0% |
| Smart Sharpe | 0.42 | 8.55 |
| Sortino | 1.32 | 217.97 |
| Smart Sortino | 0.82 | 136.2 |
| Sortino/√2 | 0.93 | 154.13 |
| Smart Sortino/√2 | 0.58 | 96.31 |
| Omega | 1.78 | 1.78 |
| Max Drawdown | -40.13% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 112.36% | 1.52% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.54 | - |
| Skew | 5.52 | 2.0 |
| Kurtosis | 75.24 | 6.29 |
| Expected Daily | 0.11% | 0.11% |
| Expected Monthly | 1.49% | 1.52% |
| Expected Yearly | 6.86% | 7.02% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -11.32% | -0.05% |
| Expected Shortfall (cVaR) | -11.32% | -0.05% |
| Max Consecutive Wins | 5 | 61 |
| Max Consecutive Losses | 2 | 0 |
| Gain/Pain Ratio | 0.87 | - |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.87 | - |
| Common Sense Ratio | 3.55 | - |
| CPC Index | - | - |
| Tail Ratio | 1.89 | 16.0 |
| Outlier Win Ratio | 0.68 | 5.63 |
| Outlier Loss Ratio | 0.16 | - |
| MTD | 1.14% | 0.92% |
| 3M | 6.08% | 5.35% |
| 6M | 10.67% | 10.92% |
| YTD | 8.08% | 8.11% |
| 1Y | 14.2% | 14.53% |
| 3Y (ann.) | 21.87% | 22.4% |
| 5Y (ann.) | 21.87% | 22.4% |
| 10Y (ann.) | 21.87% | 22.4% |
| All-time (ann.) | 21.87% | 22.4% |
| 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 | 8.08% | 8.11% |
| Worst Year | 5.67% | 5.94% |
| Avg. Drawdown | -1.91% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.35 | - |
| Ulcer Index | 0.04 | 0.0 |
| Serenity Index | 2.22 | - |
| Avg. Up Month | 1.49% | 1.52% |
| Avg. Down Month | - | - |
| Win Days | 71.43% | 100.0% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 3.83 | - |
| Alpha | -0.23 | - |
| Correlation | 5.19% | - |
| Treynor Ratio | 1.88% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 5.94 | 5.67 | 0.95 | - |
| 2025 | 8.11 | 8.08 | 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 |