| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 92.0% | 100.0% |
| Cumulative Return | 17.85% | 6.3% |
| CAGR﹪ | 19.53% | 6.86% |
| Sharpe | 11.89 | 10.56 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 9.34 | 8.3 |
| Sortino | 26.76 | 72.34 |
| Smart Sortino | 21.02 | 56.81 |
| Sortino/√2 | 18.92 | 51.15 |
| Smart Sortino/√2 | 14.86 | 40.17 |
| Omega | 7.74 | 7.74 |
| Max Drawdown | -0.3% | -0.4% |
| Longest DD Days | 9 | 63 |
| Volatility (ann.) | 1.48% | 0.62% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.42 | 0.42 |
| Calmar | 65.55 | 17.15 |
| Skew | -0.33 | 5.91 |
| Kurtosis | 2.37 | 44.4 |
| Expected Daily | 0.07% | 0.03% |
| Expected Monthly | 1.38% | 0.51% |
| Expected Yearly | 8.56% | 3.1% |
| Kelly Criterion | 78.34% | 85.2% |
| 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 | 149 |
| Max Consecutive Losses | 2 | 21 |
| Gain/Pain Ratio | 6.74 | 15.24 |
| Gain/Pain (1M) | 276.62 | 15.24 |
| Payoff Ratio | 1.49 | 1.54 |
| Profit Factor | 7.74 | 16.24 |
| Common Sense Ratio | 22.68 | 52.04 |
| CPC Index | 10.05 | 22.79 |
| Tail Ratio | 2.93 | 3.2 |
| Outlier Win Ratio | 2.99 | 8.95 |
| Outlier Loss Ratio | 1.36 | 6.22 |
| MTD | 1.11% | 0.41% |
| 3M | 4.22% | 1.2% |
| 6M | 9.1% | 1.72% |
| YTD | 17.92% | 5.26% |
| 1Y | 17.85% | 6.3% |
| 3Y (ann.) | 19.53% | 6.86% |
| 5Y (ann.) | 19.53% | 6.86% |
| 10Y (ann.) | 19.53% | 6.86% |
| All-time (ann.) | 19.53% | 6.86% |
| Best Day | 0.36% | 0.33% |
| Worst Day | -0.3% | -0.02% |
| Best Month | 1.83% | 1.23% |
| Worst Month | -0.06% | -0.4% |
| Best Year | 17.92% | 5.26% |
| Worst Year | -0.06% | 0.99% |
| Avg. Drawdown | -0.09% | -0.4% |
| Avg. Drawdown Days | 3 | 63 |
| Recovery Factor | 59.91 | 15.74 |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 301.03 | 12.06 |
| Avg. Up Month | 1.52% | 0.55% |
| Avg. Down Month | - | - |
| Win Days | 87.04% | 91.03% |
| Win Month | 91.67% | 91.67% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -0.23 | - |
| Alpha | 0.19 | - |
| Correlation | -9.56% | - |
| Treynor Ratio | -78.06% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 0.99 | -0.06 | -0.06 | - |
| 2025 | 5.26 | 17.92 | 3.41 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-11-05 | 2025-11-10 | -0.30 | 5 |
| 2025-01-08 | 2025-01-09 | -0.27 | 1 |
| 2025-10-14 | 2025-10-23 | -0.23 | 9 |
| 2025-05-29 | 2025-06-02 | -0.22 | 4 |
| 2024-12-27 | 2025-01-03 | -0.20 | 7 |
| 2025-08-14 | 2025-08-19 | -0.18 | 5 |
| 2025-09-30 | 2025-10-01 | -0.17 | 1 |
| 2025-09-24 | 2025-09-26 | -0.12 | 2 |
| 2025-07-14 | 2025-07-16 | -0.11 | 2 |
| 2025-09-12 | 2025-09-15 | -0.09 | 3 |