| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | 74.57% | 73.57% |
| CAGR﹪ | 15.01% | 14.85% |
| Sharpe | 19.1 | 44.62 |
| Prob. Sharpe Ratio | - | - |
| Smart Sharpe | 17.16 | 40.1 |
| Sortino | 243.34 | - |
| Smart Sortino | 218.67 | - |
| Sortino/√2 | 172.07 | - |
| Smart Sortino/√2 | 154.62 | - |
| Omega | 155.74 | 155.74 |
| Max Drawdown | -0.11% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 0.67% | 0.28% |
| R^2 | 0.15 | 0.15 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 137.31 | - |
| Skew | 1.34 | 0.51 |
| Kurtosis | 2.0 | -0.66 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 1.14% | 1.13% |
| Expected Yearly | 11.79% | 11.66% |
| 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 | 1096 |
| Max Consecutive Losses | 1 | 0 |
| Gain/Pain Ratio | 154.74 | - |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | - | - |
| Profit Factor | 155.74 | - |
| Common Sense Ratio | - | - |
| CPC Index | - | - |
| Tail Ratio | - | 3.18 |
| Outlier Win Ratio | 2.5 | 2.6 |
| Outlier Loss Ratio | -0.61 | - |
| MTD | 0.6% | 0.57% |
| 3M | 3.58% | 3.33% |
| 6M | 7.47% | 7.18% |
| YTD | 7.93% | 7.55% |
| 1Y | 16.9% | 15.54% |
| 3Y (ann.) | 18.02% | 17.4% |
| 5Y (ann.) | 15.01% | 14.85% |
| 10Y (ann.) | 15.01% | 14.85% |
| All-time (ann.) | 15.01% | 14.85% |
| Best Day | 0.26% | 0.1% |
| Worst Day | -0.09% | 0.0% |
| Best Month | 1.8% | 1.83% |
| Worst Month | 0.16% | 0.48% |
| Best Year | 20.68% | 19.38% |
| Worst Year | 3.23% | 3.5% |
| Avg. Drawdown | -0.01% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 682.08 | - |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 61783.29 | - |
| Avg. Up Month | 1.14% | 1.13% |
| Avg. Down Month | - | - |
| Win Days | 97.46% | 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 | 38.92% | - |
| Treynor Ratio | 81.16% | - |
| 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 | 19.38 | 20.68 | 1.07 | + |
| 2026 | 7.55 | 7.93 | 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 |