| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 21.15% | 18.34% |
| CAGR﹪ | 24.81% | 21.47% |
| Sharpe | 7.48 | 72.52 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 5.77 | 55.91 |
| Sortino | 17.46 | - |
| Smart Sortino | 13.46 | - |
| Sortino/√2 | 12.35 | - |
| Smart Sortino/√2 | 9.52 | - |
| Omega | 3.48 | 3.48 |
| Max Drawdown | -0.28% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 2.85% | 0.26% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.06 | 0.06 |
| Calmar | 88.89 | - |
| Skew | 0.41 | 0.77 |
| Kurtosis | 0.44 | 3.1 |
| Expected Daily | 0.08% | 0.07% |
| Expected Monthly | 1.76% | 1.54% |
| Expected Yearly | 10.07% | 8.78% |
| 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 | 226 |
| Max Consecutive Losses | 2 | 0 |
| Gain/Pain Ratio | 2.48 | - |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | - | - |
| Profit Factor | 3.48 | - |
| Common Sense Ratio | 6.34 | - |
| CPC Index | - | - |
| Tail Ratio | 1.82 | 2.04 |
| Outlier Win Ratio | 1.98 | 4.34 |
| Outlier Loss Ratio | 0.76 | - |
| MTD | 1.37% | 1.29% |
| 3M | 4.5% | 4.38% |
| 6M | 11.2% | 9.2% |
| YTD | 18.53% | 16.38% |
| 1Y | 21.15% | 18.34% |
| 3Y (ann.) | 24.81% | 21.47% |
| 5Y (ann.) | 24.81% | 21.47% |
| 10Y (ann.) | 24.81% | 21.47% |
| All-time (ann.) | 24.81% | 21.47% |
| Best Day | 0.77% | 0.12% |
| Worst Day | -0.28% | 0.0% |
| Best Month | 3.14% | 1.79% |
| Worst Month | 1.08% | 1.29% |
| Best Year | 18.53% | 16.38% |
| Worst Year | 2.21% | 1.69% |
| Avg. Drawdown | -0.14% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 75.79 | - |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 241.0 | - |
| Avg. Up Month | 1.76% | 1.54% |
| Avg. Down Month | - | - |
| Win Days | 72.02% | 100.0% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 1.04 | - |
| Alpha | 0.02 | - |
| Correlation | 9.38% | - |
| Treynor Ratio | 20.39% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 1.69 | 2.21 | 1.31 | + |
| 2025 | 16.38 | 18.53 | 1.13 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-12-12 | 2024-12-18 | -0.28 | 6 |
| 2025-03-26 | 2025-03-28 | -0.28 | 2 |
| 2025-09-22 | 2025-09-26 | -0.27 | 4 |
| 2025-08-13 | 2025-08-15 | -0.26 | 2 |
| 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 |
| 2025-06-10 | 2025-06-11 | -0.25 | 1 |
| 2025-05-20 | 2025-05-23 | -0.22 | 3 |