| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 96.0% | 98.0% |
| Cumulative Return | 56.89% | 50.0% |
| CAGR﹪ | 12.74% | 11.4% |
| Sharpe | 1.43 | 1.13 |
| Prob. Sharpe Ratio | 99.98% | 99.84% |
| Smart Sharpe | 1.35 | 1.07 |
| Sortino | 2.04 | 1.65 |
| Smart Sortino | 1.93 | 1.56 |
| Sortino/√2 | 1.44 | 1.17 |
| Smart Sortino/√2 | 1.36 | 1.1 |
| Omega | 1.31 | 1.31 |
| Max Drawdown | -4.56% | -5.2% |
| Longest DD Days | 184 | 227 |
| Volatility (ann.) | 3.58% | 3.46% |
| R^2 | 0.58 | 0.58 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 2.79 | 2.19 |
| Skew | -1.18 | -1.07 |
| Kurtosis | 19.36 | 54.98 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 0.98% | 0.89% |
| Expected Yearly | 9.43% | 8.45% |
| Kelly Criterion | 23.77% | 29.67% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.32% | -0.32% |
| Expected Shortfall (cVaR) | -0.32% | -0.32% |
| Max Consecutive Wins | 25 | 23 |
| Max Consecutive Losses | 7 | 10 |
| Gain/Pain Ratio | 0.86 | 1.08 |
| Gain/Pain (1M) | 4.79 | 3.6 |
| Payoff Ratio | 0.95 | 0.99 |
| Profit Factor | 1.86 | 2.08 |
| Common Sense Ratio | 2.33 | 3.05 |
| CPC Index | 1.11 | 1.34 |
| Tail Ratio | 1.25 | 1.46 |
| Outlier Win Ratio | 3.85 | 4.93 |
| Outlier Loss Ratio | 2.84 | 3.83 |
| MTD | 0.17% | 0.27% |
| 3M | 5.3% | 5.34% |
| 6M | 10.21% | 9.17% |
| YTD | 6.06% | 6.69% |
| 1Y | 24.51% | 24.4% |
| 3Y (ann.) | 13.79% | 12.17% |
| 5Y (ann.) | 12.74% | 11.4% |
| 10Y (ann.) | 12.74% | 11.4% |
| All-time (ann.) | 12.74% | 11.4% |
| Best Day | 1.43% | 2.45% |
| Worst Day | -2.21% | -2.84% |
| Best Month | 5.56% | 5.85% |
| Worst Month | -2.04% | -2.68% |
| Best Year | 28.2% | 26.5% |
| Worst Year | 3.39% | 3.18% |
| Avg. Drawdown | -0.31% | -0.32% |
| Avg. Drawdown Days | 9 | 12 |
| Recovery Factor | 12.46 | 9.62 |
| Ulcer Index | 0.01 | 0.01 |
| Serenity Index | 5.97 | 2.94 |
| Avg. Up Month | 1.52% | 1.46% |
| Avg. Down Month | -1.16% | -1.36% |
| Win Days | 62.79% | 64.96% |
| Win Month | 80.43% | 80.43% |
| Win Quarter | 87.5% | 81.25% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.79 | - |
| Alpha | 0.03 | - |
| Correlation | 76.3% | - |
| Treynor Ratio | 63.18% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 3.44 | 3.39 | 0.99 | - |
| 2023 | 3.18 | 3.68 | 1.16 | + |
| 2024 | 4.13 | 7.65 | 1.85 | + |
| 2025 | 26.50 | 28.20 | 1.06 | + |
| 2026 | 6.69 | 6.06 | 0.91 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-09-19 | 2022-11-15 | -4.56 | 57 |
| 2023-08-09 | 2024-02-09 | -3.85 | 184 |
| 2024-10-09 | 2024-12-24 | -2.81 | 76 |
| 2024-05-13 | 2024-07-24 | -1.67 | 72 |
| 2025-09-09 | 2025-11-01 | -1.58 | 53 |
| 2024-08-15 | 2024-10-02 | -1.11 | 48 |
| 2025-04-04 | 2025-04-16 | -1.10 | 12 |
| 2023-02-06 | 2023-03-10 | -0.87 | 32 |
| 2024-03-13 | 2024-03-29 | -0.64 | 16 |
| 2025-12-19 | 2025-12-26 | -0.56 | 7 |