| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | 59.12% | 59.34% |
| CAGR﹪ | 14.86% | 14.9% |
| Sharpe | 19.62 | 43.23 |
| Prob. Sharpe Ratio | - | - |
| Smart Sharpe | 17.55 | 38.67 |
| Sortino | 226.96 | - |
| Smart Sortino | 203.02 | - |
| Sortino/√2 | 160.48 | - |
| Smart Sortino/√2 | 143.55 | - |
| Omega | 148.9 | 148.9 |
| Max Drawdown | -0.11% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 0.67% | 0.3% |
| R^2 | 0.18 | 0.18 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 135.9 | - |
| Skew | 1.3 | 0.26 |
| Kurtosis | 1.76 | -0.99 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 1.14% | 1.14% |
| Expected Yearly | 12.31% | 12.35% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.02% | -0.02% |
| Expected Shortfall (cVaR) | -0.02% | -0.02% |
| Max Consecutive Wins | 336 | 893 |
| Max Consecutive Losses | 1 | 0 |
| Gain/Pain Ratio | 147.9 | - |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | - | - |
| Profit Factor | 148.9 | - |
| Common Sense Ratio | - | - |
| CPC Index | - | - |
| Tail Ratio | - | 3.35 |
| Outlier Win Ratio | 2.45 | 2.51 |
| Outlier Loss Ratio | -0.24 | - |
| MTD | 1.2% | 1.29% |
| 3M | 4.31% | 4.17% |
| 6M | 9.48% | 8.62% |
| YTD | 18.73% | 17.87% |
| 1Y | 21.21% | 20.31% |
| 3Y (ann.) | 16.03% | 15.97% |
| 5Y (ann.) | 14.86% | 14.9% |
| 10Y (ann.) | 14.86% | 14.9% |
| All-time (ann.) | 14.86% | 14.9% |
| Best Day | 0.23% | 0.1% |
| Worst Day | -0.09% | 0.0% |
| Best Month | 1.8% | 1.83% |
| Worst Month | 0.16% | 0.48% |
| Best Year | 18.73% | 18.74% |
| Worst Year | 3.23% | 3.5% |
| Avg. Drawdown | -0.02% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 540.81 | - |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 40035.34 | - |
| Avg. Up Month | 1.14% | 1.14% |
| Avg. Down Month | - | - |
| Win Days | 98.0% | 100.0% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.93 | - |
| Alpha | 0.01 | - |
| Correlation | 42.49% | - |
| Treynor Ratio | 63.32% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 3.50 | 3.23 | 0.92 | - |
| 2023 | 10.00 | 9.70 | 0.97 | - |
| 2024 | 18.74 | 18.35 | 0.98 | - |
| 2025 | 17.87 | 18.73 | 1.05 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-10-05 | 2023-10-12 | -0.11 | 7 |
| 2023-04-04 | 2023-04-10 | -0.03 | 6 |
| 2023-07-28 | 2023-08-01 | -0.02 | 4 |
| 2023-05-16 | 2023-05-17 | -0.02 | 1 |
| 2023-06-23 | 2023-06-26 | -0.02 | 3 |
| 2023-07-10 | 2023-07-11 | -0.02 | 1 |
| 2023-08-07 | 2023-08-08 | -0.02 | 1 |
| 2023-08-10 | 2023-08-11 | -0.02 | 1 |
| 2023-08-31 | 2023-09-01 | -0.02 | 1 |
| 2023-07-17 | 2023-07-18 | -0.01 | 1 |