| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 55.65% | 55.61% |
| CAGR﹪ | 14.84% | 14.83% |
| Sharpe | 10.4 | 10.67 |
| Prob. Sharpe Ratio | - | - |
| Smart Sharpe | 9.4 | 9.64 |
| Sortino | 46.67 | 92.3 |
| Smart Sortino | 42.17 | 83.4 |
| Sortino/√2 | 33.0 | 65.26 |
| Smart Sortino/√2 | 29.82 | 58.97 |
| Omega | 9.09 | 9.09 |
| Max Drawdown | -0.11% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 0.67% | 0.65% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 135.75 | - |
| Skew | 1.32 | 1.74 |
| Kurtosis | 1.79 | 2.52 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 1.14% | 1.14% |
| Expected Yearly | 11.7% | 11.69% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.01% | -0.01% |
| Expected Shortfall (cVaR) | -0.01% | -0.01% |
| Max Consecutive Wins | 450 | 702 |
| Max Consecutive Losses | 1 | 0 |
| Gain/Pain Ratio | 155.01 | - |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | - | - |
| Profit Factor | 156.01 | - |
| Common Sense Ratio | 2962.81 | - |
| CPC Index | - | - |
| Tail Ratio | 18.99 | 9.53 |
| Outlier Win Ratio | 3.14 | 3.21 |
| Outlier Loss Ratio | -0.0 | - |
| MTD | 0.6% | 0.59% |
| 3M | 4.52% | 4.6% |
| 6M | 9.96% | 10.02% |
| YTD | 16.39% | 16.59% |
| 1Y | 21.61% | 21.77% |
| 3Y (ann.) | 15.59% | 15.59% |
| 5Y (ann.) | 14.84% | 14.83% |
| 10Y (ann.) | 14.84% | 14.83% |
| All-time (ann.) | 14.84% | 14.83% |
| Best Day | 0.23% | 0.23% |
| Worst Day | -0.09% | 0.0% |
| Best Month | 1.8% | 1.81% |
| Worst Month | 0.49% | 0.51% |
| Best Year | 18.35% | 18.4% |
| Worst Year | 3.0% | 2.92% |
| Avg. Drawdown | -0.03% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 509.03 | - |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 30172.92 | - |
| Avg. Up Month | 1.14% | 1.14% |
| Avg. Down Month | - | - |
| Win Days | 98.49% | 100.0% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.09 | - |
| Alpha | 0.12 | - |
| Correlation | 9.07% | - |
| Treynor Ratio | 522.2% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 2.92 | 3.00 | 1.03 | + |
| 2023 | 9.53 | 9.70 | 1.02 | + |
| 2024 | 18.40 | 18.35 | 1.00 | - |
| 2025 | 16.59 | 16.39 | 0.99 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-10-05 | 2023-10-11 | -0.11 | 6 |
| 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 |