Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 96.0% | 100.0% |
Cumulative Return | 14.07% | 13.07% |
CAGR﹪ | 25.45% | 23.55% |
Sharpe | 7.49 | 78.19 |
Prob. Sharpe Ratio | 100.0% | 100.0% |
Smart Sharpe | 5.61 | 58.56 |
Sortino | 17.52 | - |
Smart Sortino | 13.12 | - |
Sortino/√2 | 12.39 | - |
Smart Sortino/√2 | 9.28 | - |
Omega | 3.49 | 3.49 |
Max Drawdown | -0.28% | - |
Longest DD Days | - | - |
Volatility (ann.) | 2.9% | 0.26% |
R^2 | 0.02 | 0.02 |
Information Ratio | 0.03 | 0.03 |
Calmar | 91.18 | - |
Skew | 0.45 | 0.25 |
Kurtosis | 0.64 | 4.48 |
Expected Daily | 0.09% | 0.08% |
Expected Monthly | 1.66% | 1.55% |
Expected Yearly | 6.81% | 6.33% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -0.21% | -0.05% |
Expected Shortfall (cVaR) | -0.21% | -0.05% |
Max Consecutive Wins | 13 | 152 |
Max Consecutive Losses | 2 | 0 |
Gain/Pain Ratio | 2.49 | - |
Gain/Pain (1M) | - | - |
Payoff Ratio | - | - |
Profit Factor | 3.49 | - |
Common Sense Ratio | 6.41 | - |
CPC Index | - | - |
Tail Ratio | 1.83 | 1.94 |
Outlier Win Ratio | 1.98 | 4.01 |
Outlier Loss Ratio | 0.7 | - |
MTD | 0.98% | 0.68% |
3M | 5.75% | 4.96% |
6M | 10.91% | 10.7% |
YTD | 11.61% | 11.19% |
1Y | 14.07% | 13.07% |
3Y (ann.) | 25.45% | 23.55% |
5Y (ann.) | 25.45% | 23.55% |
10Y (ann.) | 25.45% | 23.55% |
All-time (ann.) | 25.45% | 23.55% |
Best Day | 0.77% | 0.12% |
Worst Day | -0.28% | 0.0% |
Best Month | 2.21% | 1.79% |
Worst Month | 0.98% | 0.68% |
Best Year | 11.61% | 11.19% |
Worst Year | 2.21% | 1.69% |
Avg. Drawdown | -0.15% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | 50.43 | - |
Ulcer Index | 0.0 | 0.0 |
Serenity Index | 152.51 | - |
Avg. Up Month | 1.66% | 1.55% |
Avg. Down Month | - | - |
Win Days | 73.29% | 100.0% |
Win Month | 100.0% | 100.0% |
Win Quarter | 100.0% | 100.0% |
Win Year | 100.0% | 100.0% |
Beta | 1.51 | - |
Alpha | -0.09 | - |
Correlation | 13.46% | - |
Treynor Ratio | 9.32% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2024 | 1.69 | 2.21 | 1.31 | + |
2025 | 11.19 | 11.61 | 1.04 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2024-12-12 | 2024-12-18 | -0.28 | 6 |
2025-03-26 | 2025-03-28 | -0.28 | 2 |
2025-05-14 | 2025-05-16 | -0.25 | 2 |
2025-02-06 | 2025-02-07 | -0.25 | 1 |
2025-06-10 | 2025-06-11 | -0.25 | 1 |
2025-05-20 | 2025-05-23 | -0.22 | 3 |
2025-04-23 | 2025-04-25 | -0.22 | 2 |
2025-03-05 | 2025-03-06 | -0.22 | 1 |
2025-04-01 | 2025-04-04 | -0.21 | 3 |
2025-02-24 | 2025-02-25 | -0.20 | 1 |