| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 91.0% | 100.0% |
| Cumulative Return | 12.38% | 5.16% |
| CAGR﹪ | 20.16% | 8.23% |
| Sharpe | 12.65 | 11.17 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 10.19 | 8.99 |
| Sortino | 32.52 | - |
| Smart Sortino | 26.19 | - |
| Sortino/√2 | 23.0 | - |
| Smart Sortino/√2 | 18.52 | - |
| Omega | 9.89 | 9.89 |
| Max Drawdown | -0.27% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 1.45% | 0.7% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | 0.39 | 0.39 |
| Calmar | 75.14 | - |
| Skew | -0.04 | 5.68 |
| Kurtosis | 2.08 | 36.02 |
| Expected Daily | 0.07% | 0.03% |
| Expected Monthly | 1.31% | 0.56% |
| Expected Yearly | 6.01% | 2.55% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.08% | -0.04% |
| Expected Shortfall (cVaR) | -0.08% | -0.04% |
| Max Consecutive Wins | 23 | 160 |
| Max Consecutive Losses | 2 | 0 |
| Gain/Pain Ratio | 8.89 | - |
| Gain/Pain (1M) | 196.57 | - |
| Payoff Ratio | - | - |
| Profit Factor | 9.89 | - |
| Common Sense Ratio | 62.88 | - |
| CPC Index | - | - |
| Tail Ratio | 6.36 | 6.12 |
| Outlier Win Ratio | 3.57 | 10.31 |
| Outlier Loss Ratio | 1.28 | - |
| MTD | 0.56% | 0.11% |
| 3M | 4.77% | 0.8% |
| 6M | 10.2% | 2.45% |
| YTD | 12.45% | 4.13% |
| 1Y | 12.38% | 5.16% |
| 3Y (ann.) | 20.16% | 8.23% |
| 5Y (ann.) | 20.16% | 8.23% |
| 10Y (ann.) | 20.16% | 8.23% |
| All-time (ann.) | 20.16% | 8.23% |
| Best Day | 0.36% | 0.33% |
| Worst Day | -0.27% | 0.0% |
| Best Month | 1.83% | 1.23% |
| Worst Month | -0.06% | 0.11% |
| Best Year | 12.45% | 4.13% |
| Worst Year | -0.06% | 0.99% |
| Avg. Drawdown | -0.08% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 46.15 | - |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 339.98 | - |
| Avg. Up Month | 1.48% | 0.51% |
| Avg. Down Month | - | - |
| Win Days | 88.36% | 100.0% |
| Win Month | 88.89% | 100.0% |
| Win Quarter | 75.0% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -0.28 | - |
| Alpha | 0.21 | - |
| Correlation | -13.74% | - |
| Treynor Ratio | -43.95% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 0.99 | -0.06 | -0.06 | - |
| 2025 | 4.13 | 12.45 | 3.02 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-01-08 | 2025-01-09 | -0.27 | 1 |
| 2025-05-29 | 2025-06-02 | -0.22 | 4 |
| 2024-12-27 | 2025-01-03 | -0.20 | 7 |
| 2025-08-14 | 2025-08-15 | -0.18 | 1 |
| 2025-07-14 | 2025-07-16 | -0.11 | 2 |
| 2025-01-15 | 2025-01-16 | -0.08 | 1 |
| 2025-02-11 | 2025-02-12 | -0.05 | 1 |
| 2025-05-07 | 2025-05-08 | -0.04 | 1 |
| 2025-06-30 | 2025-07-01 | -0.04 | 1 |
| 2025-01-24 | 2025-01-27 | -0.03 | 3 |