| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 98.0% | 92.0% |
| Cumulative Return | 5.19% | 4.15% |
| CAGR﹪ | 30.19% | 23.6% |
| Sharpe | -72.1 | -27.07 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -69.77 | -26.2 |
| Sortino | -15.51 | -13.77 |
| Smart Sortino | -15.01 | -13.33 |
| Sortino/√2 | -10.97 | -9.74 |
| Smart Sortino/√2 | -10.61 | -9.42 |
| Omega | 0.0 | 0.0 |
| Max Drawdown | -0.25% | -0.89% |
| Longest DD Days | 2 | 19 |
| Volatility (ann.) | 2.53% | 6.92% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 121.01 | 26.49 |
| Skew | 1.24 | 0.42 |
| Kurtosis | 6.14 | 0.31 |
| Expected Daily | 0.11% | 0.08% |
| Expected Monthly | 1.7% | 1.36% |
| Expected Yearly | 2.56% | 2.05% |
| Kelly Criterion | 66.08% | 30.5% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.16% | -0.63% |
| Expected Shortfall (cVaR) | -0.16% | -0.63% |
| Max Consecutive Wins | 13 | 2 |
| Max Consecutive Losses | 1 | 3 |
| Gain/Pain Ratio | 5.87 | 0.7 |
| Gain/Pain (1M) | - | 41.75 |
| Payoff Ratio | 1.01 | 3.03 |
| Profit Factor | 6.87 | 1.7 |
| Common Sense Ratio | 16.66 | 2.27 |
| CPC Index | 5.74 | 2.46 |
| Tail Ratio | 2.42 | 1.34 |
| Outlier Win Ratio | 5.87 | 2.17 |
| Outlier Loss Ratio | 4.74 | 2.0 |
| MTD | 1.24% | -0.11% |
| 3M | 5.19% | 4.15% |
| 6M | 5.19% | 4.15% |
| YTD | 2.79% | 1.12% |
| 1Y | 5.19% | 4.15% |
| 3Y (ann.) | 30.19% | 23.6% |
| 5Y (ann.) | 30.19% | 23.6% |
| 10Y (ann.) | 30.19% | 23.6% |
| All-time (ann.) | 30.19% | 23.6% |
| Best Day | 0.77% | 1.26% |
| Worst Day | -0.25% | -0.89% |
| Best Month | 2.34% | 3.0% |
| Worst Month | 1.24% | -0.11% |
| Best Year | 2.79% | 3.0% |
| Worst Year | 2.34% | 1.12% |
| Avg. Drawdown | -0.11% | -0.38% |
| Avg. Drawdown Days | 1 | 5 |
| Recovery Factor | 20.8 | 4.66 |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | -16872.61 | -1225.74 |
| Avg. Up Month | 1.93% | 2.11% |
| Avg. Down Month | - | - |
| Win Days | 82.98% | 47.73% |
| Win Month | 100.0% | 66.67% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | -0.05 | - |
| Alpha | 0.28 | - |
| Correlation | -13.5% | - |
| Treynor Ratio | 14084.73% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 3.00 | 2.34 | 0.78 | - |
| 2025 | 1.12 | 2.79 | 2.49 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-02-06 | 2025-02-07 | -0.25 | 1 |
| 2024-12-17 | 2024-12-18 | -0.23 | 1 |
| 2025-02-03 | 2025-02-05 | -0.15 | 2 |
| 2025-01-22 | 2025-01-23 | -0.09 | 1 |
| 2025-01-29 | 2025-01-30 | -0.06 | 1 |
| 2025-02-20 | 2025-02-20 | -0.04 | 0 |
| 2025-01-15 | 2025-01-17 | -0.03 | 2 |
| 2025-01-09 | 2025-01-10 | -0.02 | 1 |