| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 94.0% | 97.0% |
| Cumulative Return | 58.44% | 58.49% |
| CAGR﹪ | 10.29% | 10.3% |
| Sharpe | 0.43 | 0.95 |
| Prob. Sharpe Ratio | 59.26% | 99.44% |
| Smart Sharpe | 0.33 | 0.72 |
| Sortino | 0.58 | 1.26 |
| Smart Sortino | 0.44 | 0.95 |
| Sortino/√2 | 0.41 | 0.89 |
| Smart Sortino/√2 | 0.31 | 0.67 |
| Omega | 1.12 | 1.12 |
| Max Drawdown | -13.53% | -6.95% |
| Longest DD Days | 170 | 153 |
| Volatility (ann.) | 8.27% | 3.49% |
| R^2 | 0.39 | 0.39 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.76 | 1.48 |
| Skew | -4.79 | -3.84 |
| Kurtosis | 170.78 | 68.87 |
| Expected Daily | 0.04% | 0.04% |
| Expected Monthly | 0.83% | 0.83% |
| Expected Yearly | 7.97% | 7.98% |
| Kelly Criterion | 12.49% | 25.84% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.82% | -0.32% |
| Expected Shortfall (cVaR) | -0.82% | -0.32% |
| Max Consecutive Wins | 14 | 14 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | 0.39 | 0.91 |
| Gain/Pain (1M) | 3.02 | 3.32 |
| Payoff Ratio | 0.96 | 0.99 |
| Profit Factor | 1.39 | 1.91 |
| Common Sense Ratio | 1.69 | 2.81 |
| CPC Index | 0.77 | 1.2 |
| Tail Ratio | 1.21 | 1.47 |
| Outlier Win Ratio | 4.45 | 8.3 |
| Outlier Loss Ratio | 2.73 | 5.77 |
| MTD | 0.85% | 0.88% |
| 3M | 5.17% | 4.91% |
| 6M | 9.66% | 9.62% |
| YTD | 5.11% | 5.57% |
| 1Y | 21.89% | 22.0% |
| 3Y (ann.) | 11.91% | 12.02% |
| 5Y (ann.) | 10.29% | 10.3% |
| 10Y (ann.) | 10.29% | 10.3% |
| All-time (ann.) | 10.29% | 10.3% |
| Best Day | 7.09% | 1.58% |
| Worst Day | -10.42% | -3.51% |
| Best Month | 5.42% | 5.26% |
| Worst Month | -5.9% | -4.98% |
| Best Year | 23.82% | 23.25% |
| Worst Year | 0.79% | 0.81% |
| Avg. Drawdown | -0.54% | -0.28% |
| Avg. Drawdown Days | 10 | 10 |
| Recovery Factor | 4.32 | 8.41 |
| Ulcer Index | 0.01 | 0.01 |
| Serenity Index | 9.56 | 5.87 |
| Avg. Up Month | 1.54% | 1.48% |
| Avg. Down Month | -1.37% | -1.15% |
| Win Days | 57.12% | 63.05% |
| Win Month | 75.0% | 76.79% |
| Win Quarter | 85.0% | 90.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 1.49 | - |
| Alpha | -0.05 | - |
| Correlation | 62.64% | - |
| Treynor Ratio | 34.62% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.81 | 0.79 | 0.97 | - |
| 2022 | 9.55 | 9.90 | 1.04 | + |
| 2023 | 3.96 | 3.85 | 0.97 | - |
| 2024 | 6.08 | 5.83 | 0.96 | - |
| 2025 | 23.25 | 23.82 | 1.02 | + |
| 2026 | 5.57 | 5.11 | 0.92 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-10 | 2022-05-26 | -13.53 | 136 |
| 2022-09-19 | 2022-10-19 | -4.13 | 30 |
| 2023-07-17 | 2024-01-03 | -3.19 | 170 |
| 2024-08-20 | 2024-12-24 | -3.14 | 126 |
| 2023-01-09 | 2023-03-31 | -2.07 | 81 |
| 2024-05-14 | 2024-08-13 | -1.98 | 91 |
| 2022-06-09 | 2022-06-10 | -1.71 | 1 |
| 2021-09-10 | 2021-12-30 | -1.69 | 111 |
| 2025-06-06 | 2025-07-01 | -1.56 | 25 |
| 2022-05-27 | 2022-06-02 | -1.45 | 6 |