| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 93.0% | 97.0% |
| Cumulative Return | 25.36% | 26.08% |
| CAGR﹪ | 18.93% | 19.45% |
| Sharpe | 5.97 | 9.93 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 3.91 | 6.5 |
| Sortino | 10.88 | 50.09 |
| Smart Sortino | 7.12 | 32.78 |
| Sortino/√2 | 7.69 | 35.42 |
| Smart Sortino/√2 | 5.03 | 23.18 |
| Omega | 2.98 | 2.98 |
| Max Drawdown | -0.43% | -0.2% |
| Longest DD Days | 11 | 3 |
| Volatility (ann.) | 1.75% | 1.1% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 44.13 | 96.06 |
| Skew | -0.02 | 4.5 |
| Kurtosis | 4.48 | 36.93 |
| Expected Daily | 0.07% | 0.07% |
| Expected Monthly | 1.42% | 1.46% |
| Expected Yearly | 11.97% | 12.29% |
| Kelly Criterion | 71.45% | 99.04% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.11% | -0.04% |
| Expected Shortfall (cVaR) | -0.11% | -0.04% |
| Max Consecutive Wins | 23 | 81 |
| Max Consecutive Losses | 2 | 2 |
| Gain/Pain Ratio | 4.8 | 113.22 |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | 1.33 | 52.17 |
| Profit Factor | 5.8 | 114.22 |
| Common Sense Ratio | 16.0 | 595.29 |
| CPC Index | 6.44 | 5903.09 |
| Tail Ratio | 2.76 | 5.21 |
| Outlier Win Ratio | 3.57 | 4.87 |
| Outlier Loss Ratio | 1.39 | 1.92 |
| MTD | 1.28% | 1.16% |
| 3M | 3.81% | 3.69% |
| 6M | 7.87% | 7.81% |
| YTD | 5.05% | 5.01% |
| 1Y | 18.03% | 17.96% |
| 3Y (ann.) | 18.93% | 19.45% |
| 5Y (ann.) | 18.93% | 19.45% |
| 10Y (ann.) | 18.93% | 19.45% |
| All-time (ann.) | 18.93% | 19.45% |
| Best Day | 0.59% | 0.75% |
| Worst Day | -0.43% | -0.2% |
| Best Month | 1.83% | 1.82% |
| Worst Month | 1.0% | 1.16% |
| Best Year | 19.34% | 20.06% |
| Worst Year | 5.05% | 5.01% |
| Avg. Drawdown | -0.1% | -0.1% |
| Avg. Drawdown Days | 3 | 2 |
| Recovery Factor | 59.13 | 128.82 |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 283.75 | 6247.33 |
| Avg. Up Month | 1.42% | 1.46% |
| Avg. Down Month | - | - |
| Win Days | 83.71% | 99.06% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.01 | - |
| Alpha | 0.17 | - |
| Correlation | 0.66% | - |
| Treynor Ratio | 1728.84% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 20.06 | 19.34 | 0.96 | - |
| 2026 | 5.01 | 5.05 | 1.01 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-04-24 | 2026-04-27 | -0.43 | 3 |
| 2025-12-18 | 2025-12-29 | -0.38 | 11 |
| 2025-11-05 | 2025-11-10 | -0.30 | 5 |
| 2026-01-08 | 2026-01-12 | -0.27 | 4 |
| 2026-04-16 | 2026-04-21 | -0.25 | 5 |
| 2025-10-14 | 2025-10-23 | -0.23 | 9 |
| 2025-05-29 | 2025-06-02 | -0.22 | 4 |
| 2026-04-06 | 2026-04-10 | -0.21 | 4 |
| 2026-03-06 | 2026-03-09 | -0.18 | 3 |
| 2025-08-14 | 2025-08-19 | -0.18 | 5 |