| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 43.21% | 82.13% |
| CAGR﹪ | 8.14% | 13.96% |
| Sharpe | 0.7 | 45.39 |
| Prob. Sharpe Ratio | 95.11% | - |
| Smart Sharpe | 0.7 | 45.25 |
| Sortino | 1.19 | - |
| Smart Sortino | 1.19 | - |
| Sortino/√2 | 0.84 | - |
| Smart Sortino/√2 | 0.84 | - |
| Omega | 1.2 | 1.2 |
| Max Drawdown | -26.1% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 12.5% | 0.29% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.31 | - |
| Skew | 6.5 | 0.07 |
| Kurtosis | 187.47 | -1.07 |
| Expected Daily | 0.03% | 0.05% |
| Expected Monthly | 0.66% | 1.1% |
| Expected Yearly | 6.17% | 10.51% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.02% |
| Expected Shortfall (cVaR) | -1.26% | -0.02% |
| Max Consecutive Wins | 8 | 1131 |
| Max Consecutive Losses | 10 | 0 |
| Gain/Pain Ratio | 0.2 | - |
| Gain/Pain (1M) | 1.04 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.2 | - |
| Common Sense Ratio | 1.19 | - |
| CPC Index | - | - |
| Tail Ratio | 0.99 | 3.18 |
| Outlier Win Ratio | 2.71 | 18.55 |
| Outlier Loss Ratio | 1.98 | - |
| MTD | 0.29% | 0.81% |
| 3M | 2.37% | 3.34% |
| 6M | 11.22% | 6.97% |
| YTD | 11.52% | 7.81% |
| 1Y | 18.24% | 15.51% |
| 3Y (ann.) | 5.18% | 17.43% |
| 5Y (ann.) | 8.14% | 13.96% |
| 10Y (ann.) | 8.14% | 13.96% |
| All-time (ann.) | 8.14% | 13.96% |
| Best Day | 16.44% | 0.09% |
| Worst Day | -9.67% | 0.0% |
| Best Month | 19.35% | 1.83% |
| Worst Month | -7.89% | 0.55% |
| Best Year | 22.34% | 19.38% |
| Worst Year | -11.97% | 0.57% |
| Avg. Drawdown | -0.85% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 1.66 | - |
| Ulcer Index | 0.08 | 0.0 |
| Serenity Index | 0.29 | - |
| Avg. Up Month | 1.98% | 1.08% |
| Avg. Down Month | - | - |
| Win Days | 54.92% | 100.0% |
| Win Month | 70.91% | 100.0% |
| Win Quarter | 70.0% | 100.0% |
| Win Year | 83.33% | 100.0% |
| Beta | 1.88 | - |
| Alpha | -0.16 | - |
| Correlation | 4.42% | - |
| Treynor Ratio | 23.02% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.57 | 0.39 | 0.68 | - |
| 2022 | 7.72 | 17.01 | 2.20 | + |
| 2023 | 10.00 | 1.51 | 0.15 | - |
| 2024 | 18.74 | -11.97 | -0.64 | - |
| 2025 | 19.38 | 22.34 | 1.15 | + |
| 2026 | 7.81 | 11.52 | 1.47 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-08-15 | 2025-09-03 | -26.10 | 750 |
| 2022-01-05 | 2022-04-11 | -11.03 | 96 |
| 2022-06-16 | 2022-07-08 | -1.94 | 22 |
| 2022-07-13 | 2022-10-05 | -1.77 | 84 |
| 2025-09-12 | 2025-12-12 | -1.67 | 91 |
| 2022-05-20 | 2022-06-06 | -1.63 | 17 |
| 2026-04-28 | 2026-05-28 | -1.10 | 30 |
| 2026-06-19 | 2026-07-15 | -1.03 | 26 |
| 2023-01-12 | 2023-02-08 | -0.98 | 27 |
| 2026-01-06 | 2026-01-22 | -0.96 | 16 |