| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 40.63% | 76.99% |
| CAGR﹪ | 8.11% | 13.95% |
| Sharpe | 0.69 | 44.35 |
| Prob. Sharpe Ratio | 94.3% | - |
| Smart Sharpe | 0.69 | 44.34 |
| Sortino | 1.17 | - |
| Smart Sortino | 1.17 | - |
| Sortino/√2 | 0.83 | - |
| Smart Sortino/√2 | 0.83 | - |
| Omega | 1.2 | 1.2 |
| Max Drawdown | -26.1% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 12.77% | 0.3% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.31 | - |
| Skew | 6.41 | 0.05 |
| Kurtosis | 180.6 | -1.16 |
| Expected Daily | 0.03% | 0.05% |
| Expected Monthly | 0.65% | 1.08% |
| Expected Yearly | 5.85% | 9.98% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.29% | -0.02% |
| Expected Shortfall (cVaR) | -1.29% | -0.02% |
| Max Consecutive Wins | 8 | 1075 |
| Max Consecutive Losses | 10 | 0 |
| Gain/Pain Ratio | 0.2 | - |
| Gain/Pain (1M) | 0.99 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.2 | - |
| Common Sense Ratio | 1.18 | - |
| CPC Index | - | - |
| Tail Ratio | 0.98 | 3.18 |
| Outlier Win Ratio | 2.73 | 19.03 |
| Outlier Loss Ratio | 1.97 | - |
| MTD | 0.19% | 0.05% |
| 3M | 8.65% | 3.38% |
| 6M | 11.68% | 7.34% |
| YTD | 9.51% | 4.77% |
| 1Y | 26.73% | 16.75% |
| 3Y (ann.) | 5.04% | 17.01% |
| 5Y (ann.) | 8.11% | 13.95% |
| 10Y (ann.) | 8.11% | 13.95% |
| All-time (ann.) | 8.11% | 13.95% |
| Best Day | 16.44% | 0.09% |
| Worst Day | -9.67% | 0.0% |
| Best Month | 19.35% | 1.83% |
| Worst Month | -7.89% | 0.05% |
| Best Year | 22.34% | 19.38% |
| Worst Year | -11.97% | 0.57% |
| Avg. Drawdown | -0.87% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 1.56 | - |
| Ulcer Index | 0.08 | 0.0 |
| Serenity Index | 0.27 | - |
| Avg. Up Month | 2.03% | 1.06% |
| Avg. Down Month | - | - |
| Win Days | 54.61% | 100.0% |
| Win Month | 69.81% | 100.0% |
| Win Quarter | 68.42% | 100.0% |
| Win Year | 83.33% | 100.0% |
| Beta | 1.88 | - |
| Alpha | -0.16 | - |
| Correlation | 4.44% | - |
| Treynor Ratio | 21.59% | - |
| 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 | 4.77 | 9.51 | 2.00 | + |
| 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 |
| 2023-01-12 | 2023-02-08 | -0.98 | 27 |
| 2026-04-28 | 2026-05-04 | -0.98 | 6 |
| 2026-01-06 | 2026-01-22 | -0.96 | 16 |
| 2022-10-18 | 2022-12-08 | -0.85 | 51 |