| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 40.96% | 42.6% |
| CAGR﹪ | 13.57% | 14.05% |
| Sharpe | 19.71 | 38.95 |
| Prob. Sharpe Ratio | - | - |
| Smart Sharpe | 17.49 | 34.57 |
| Sortino | 192.56 | - |
| Smart Sortino | 170.89 | - |
| Sortino/√2 | 136.16 | - |
| Smart Sortino/√2 | 120.84 | - |
| Omega | 121.28 | 121.28 |
| Max Drawdown | -0.11% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 0.64% | 0.33% |
| R^2 | 0.23 | 0.23 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 124.1 | - |
| Skew | 1.34 | 0.29 |
| Kurtosis | 2.07 | -1.23 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 1.01% | 1.05% |
| Expected Yearly | 8.96% | 9.28% |
| 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 | 315 | 687 |
| Max Consecutive Losses | 1 | 0 |
| Gain/Pain Ratio | 120.28 | - |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | - | - |
| Profit Factor | 121.28 | - |
| Common Sense Ratio | 2182.26 | - |
| CPC Index | - | - |
| Tail Ratio | 17.99 | 3.5 |
| Outlier Win Ratio | 2.53 | 2.51 |
| Outlier Loss Ratio | -0.18 | - |
| MTD | 0.12% | 0.16% |
| 3M | 5.18% | 5.49% |
| 6M | 10.55% | 11.11% |
| YTD | 5.18% | 5.49% |
| 1Y | 19.9% | 20.66% |
| 3Y (ann.) | 13.57% | 14.05% |
| 5Y (ann.) | 13.57% | 14.05% |
| 10Y (ann.) | 13.57% | 14.05% |
| All-time (ann.) | 13.57% | 14.05% |
| Best Day | 0.21% | 0.1% |
| Worst Day | -0.09% | 0.0% |
| Best Month | 1.8% | 1.83% |
| Worst Month | 0.12% | 0.16% |
| Best Year | 18.35% | 18.74% |
| Worst Year | 3.23% | 3.5% |
| Avg. Drawdown | -0.03% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 374.69 | - |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 20480.74 | - |
| Avg. Up Month | 1.02% | 1.05% |
| Avg. Down Month | - | - |
| Win Days | 98.21% | 100.0% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.92 | - |
| Alpha | 0.01 | - |
| Correlation | 48.03% | - |
| Treynor Ratio | 44.6% | - |
| 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 | 5.49 | 5.18 | 0.94 | - |
| 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 |