| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 27.66% | 23.35% |
| CAGR﹪ | 23.52% | 19.9% |
| Sharpe | 7.63 | 71.93 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 5.95 | 56.07 |
| Sortino | 17.9 | - |
| Smart Sortino | 13.96 | - |
| Sortino/√2 | 12.66 | - |
| Smart Sortino/√2 | 9.87 | - |
| Omega | 3.68 | 3.68 |
| Max Drawdown | -0.28% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 2.72% | 0.25% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.07 | 0.07 |
| Calmar | 84.27 | - |
| Skew | 0.49 | 1.11 |
| Kurtosis | 0.83 | 3.42 |
| Expected Daily | 0.08% | 0.07% |
| Expected Monthly | 1.64% | 1.41% |
| Expected Yearly | 8.48% | 7.25% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.2% | -0.05% |
| Expected Shortfall (cVaR) | -0.2% | -0.05% |
| Max Consecutive Wins | 13 | 296 |
| Max Consecutive Losses | 2 | 0 |
| Gain/Pain Ratio | 2.68 | - |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | - | - |
| Profit Factor | 3.68 | - |
| Common Sense Ratio | 7.09 | - |
| CPC Index | - | - |
| Tail Ratio | 1.93 | 1.6 |
| Outlier Win Ratio | 2.27 | 4.84 |
| Outlier Loss Ratio | 0.81 | - |
| MTD | 0.45% | 0.36% |
| 3M | 4.37% | 4.04% |
| 6M | 8.93% | 8.14% |
| YTD | 1.74% | 1.61% |
| 1Y | 22.88% | 18.86% |
| 3Y (ann.) | 23.52% | 19.9% |
| 5Y (ann.) | 23.52% | 19.9% |
| 10Y (ann.) | 23.52% | 19.9% |
| All-time (ann.) | 23.52% | 19.9% |
| Best Day | 0.77% | 0.12% |
| Worst Day | -0.28% | 0.0% |
| Best Month | 3.14% | 1.79% |
| Worst Month | 0.45% | 0.36% |
| Best Year | 22.76% | 19.38% |
| Worst Year | 1.74% | 1.61% |
| Avg. Drawdown | -0.14% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 99.11 | - |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 330.84 | - |
| Avg. Up Month | 1.64% | 1.41% |
| Avg. Down Month | - | - |
| Win Days | 74.22% | 100.0% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.94 | - |
| Alpha | 0.04 | - |
| Correlation | 8.53% | - |
| Treynor Ratio | 29.48% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 1.69 | 2.21 | 1.31 | + |
| 2025 | 19.38 | 22.76 | 1.17 | + |
| 2026 | 1.61 | 1.74 | 1.08 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-12-12 | 2024-12-18 | -0.28 | 6 |
| 2025-03-26 | 2025-03-28 | -0.28 | 2 |
| 2026-01-21 | 2026-01-23 | -0.27 | 2 |
| 2025-09-22 | 2025-09-26 | -0.27 | 4 |
| 2025-08-13 | 2025-08-15 | -0.26 | 2 |
| 2025-11-01 | 2025-11-05 | -0.26 | 4 |
| 2025-08-21 | 2025-08-22 | -0.25 | 1 |
| 2025-05-14 | 2025-05-16 | -0.25 | 2 |
| 2025-09-17 | 2025-09-18 | -0.25 | 1 |
| 2025-02-06 | 2025-02-07 | -0.25 | 1 |