| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 65.36% | 65.33% |
| CAGR﹪ | 15.07% | 15.06% |
| Sharpe | 10.75 | 10.99 |
| Prob. Sharpe Ratio | - | - |
| Smart Sharpe | 10.05 | 10.26 |
| Sortino | 51.16 | 101.23 |
| Smart Sortino | 47.8 | 94.59 |
| Sortino/√2 | 36.18 | 71.58 |
| Smart Sortino/√2 | 33.8 | 66.89 |
| Omega | 10.36 | 10.36 |
| 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 | 137.82 | - |
| Skew | 1.38 | 1.76 |
| Kurtosis | 2.07 | 2.64 |
| Expected Daily | 0.06% | 0.06% |
| Expected Monthly | 1.15% | 1.15% |
| Expected Yearly | 10.58% | 10.58% |
| 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 | 544 | 796 |
| Max Consecutive Losses | 1 | 0 |
| Gain/Pain Ratio | 176.21 | - |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | - | - |
| Profit Factor | 177.21 | - |
| Common Sense Ratio | 3324.41 | - |
| CPC Index | - | - |
| Tail Ratio | 18.76 | 9.48 |
| Outlier Win Ratio | 3.09 | 3.15 |
| Outlier Loss Ratio | -0.02 | - |
| MTD | 0.08% | 0.17% |
| 3M | 3.92% | 3.93% |
| 6M | 8.28% | 8.27% |
| YTD | 2.46% | 2.68% |
| 1Y | 19.7% | 19.78% |
| 3Y (ann.) | 16.94% | 16.95% |
| 5Y (ann.) | 15.07% | 15.06% |
| 10Y (ann.) | 15.07% | 15.06% |
| All-time (ann.) | 15.07% | 15.06% |
| Best Day | 0.26% | 0.25% |
| Worst Day | -0.09% | 0.0% |
| Best Month | 1.8% | 1.81% |
| Worst Month | 0.08% | 0.17% |
| Best Year | 20.68% | 20.64% |
| Worst Year | 2.46% | 2.68% |
| Avg. Drawdown | -0.03% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 597.85 | - |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 40639.76 | - |
| Avg. Up Month | 1.15% | 1.15% |
| Avg. Down Month | - | - |
| Win Days | 98.65% | 100.0% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.08 | - |
| Alpha | 0.13 | - |
| Correlation | 7.92% | - |
| Treynor Ratio | 721.11% | - |
| 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 | 2.68 | 2.46 | 0.92 | - |
| 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 |