| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 69.99% | 69.96% |
| CAGR﹪ | 15.09% | 15.08% |
| Sharpe | 10.88 | 11.1 |
| Prob. Sharpe Ratio | - | - |
| Smart Sharpe | 10.27 | 10.47 |
| Sortino | 52.62 | 104.13 |
| Smart Sortino | 49.67 | 98.28 |
| Sortino/√2 | 37.21 | 73.63 |
| Smart Sortino/√2 | 35.12 | 69.5 |
| Omega | 10.88 | 10.88 |
| Max Drawdown | -0.11% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 0.66% | 0.65% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 138.02 | - |
| Skew | 1.39 | 1.75 |
| Kurtosis | 2.08 | 2.61 |
| Expected Daily | 0.06% | 0.06% |
| Expected Monthly | 1.16% | 1.16% |
| Expected Yearly | 11.2% | 11.19% |
| 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 | 593 | 845 |
| Max Consecutive Losses | 1 | 0 |
| Gain/Pain Ratio | 185.89 | - |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | - | - |
| Profit Factor | 186.89 | - |
| Common Sense Ratio | 3439.74 | - |
| CPC Index | - | - |
| Tail Ratio | 18.41 | 9.42 |
| Outlier Win Ratio | 3.09 | 3.15 |
| Outlier Loss Ratio | -0.1 | - |
| MTD | 0.35% | 0.46% |
| 3M | 3.65% | 3.66% |
| 6M | 7.83% | 7.83% |
| YTD | 5.33% | 5.56% |
| 1Y | 18.21% | 18.35% |
| 3Y (ann.) | 17.54% | 17.57% |
| 5Y (ann.) | 15.09% | 15.08% |
| 10Y (ann.) | 15.09% | 15.08% |
| All-time (ann.) | 15.09% | 15.08% |
| Best Day | 0.26% | 0.25% |
| Worst Day | -0.09% | 0.0% |
| Best Month | 1.8% | 1.81% |
| Worst Month | 0.35% | 0.46% |
| Best Year | 20.68% | 20.64% |
| Worst Year | 3.0% | 2.92% |
| Avg. Drawdown | -0.03% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 640.22 | - |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 45828.0 | - |
| Avg. Up Month | 1.16% | 1.16% |
| Avg. Down Month | - | - |
| Win Days | 98.72% | 100.0% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.07 | - |
| Alpha | 0.13 | - |
| Correlation | 6.85% | - |
| Treynor Ratio | 901.87% | - |
| 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 | 20.64 | 20.68 | 1.00 | + |
| 2026 | 5.56 | 5.33 | 0.96 | - |
| 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 |