| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 24.48% | 42.49% |
| CAGR﹪ | 8.46% | 14.04% |
| Sharpe | 2.12 | 38.94 |
| Prob. Sharpe Ratio | 99.91% | - |
| Smart Sharpe | 2.01 | 37.03 |
| Sortino | 3.13 | - |
| Smart Sortino | 2.97 | - |
| Sortino/√2 | 2.21 | - |
| Smart Sortino/√2 | 2.1 | - |
| Omega | 1.5 | 1.5 |
| Max Drawdown | -4.56% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 3.83% | 0.33% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 1.85 | - |
| Skew | -1.17 | 0.29 |
| Kurtosis | 20.15 | -1.22 |
| Expected Daily | 0.03% | 0.05% |
| Expected Monthly | 0.65% | 1.05% |
| Expected Yearly | 5.63% | 9.26% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.36% | -0.02% |
| Expected Shortfall (cVaR) | -0.36% | -0.02% |
| Max Consecutive Wins | 10 | 686 |
| Max Consecutive Losses | 7 | 0 |
| Gain/Pain Ratio | 0.5 | - |
| Gain/Pain (1M) | 2.56 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.5 | - |
| Common Sense Ratio | 1.82 | - |
| CPC Index | - | - |
| Tail Ratio | 1.21 | 3.5 |
| Outlier Win Ratio | 2.34 | 7.21 |
| Outlier Loss Ratio | 1.51 | - |
| MTD | 0.2% | 0.08% |
| 3M | 6.93% | 5.4% |
| 6M | 10.56% | 11.1% |
| YTD | 6.93% | 5.4% |
| 1Y | 12.78% | 20.62% |
| 3Y (ann.) | 8.46% | 14.04% |
| 5Y (ann.) | 8.46% | 14.04% |
| 10Y (ann.) | 8.46% | 14.04% |
| All-time (ann.) | 8.46% | 14.04% |
| Best Day | 1.43% | 0.1% |
| Worst Day | -2.21% | 0.0% |
| Best Month | 5.56% | 1.83% |
| Worst Month | -2.04% | 0.08% |
| Best Year | 7.65% | 18.74% |
| Worst Year | 3.68% | 3.5% |
| Avg. Drawdown | -0.36% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 5.36 | - |
| Ulcer Index | 0.01 | 0.0 |
| Serenity Index | 2.36 | - |
| Avg. Up Month | 1.19% | 1.04% |
| Avg. Down Month | - | - |
| Win Days | 58.88% | 100.0% |
| Win Month | 76.47% | 100.0% |
| Win Quarter | 83.33% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.97 | - |
| Alpha | -0.04 | - |
| Correlation | 8.43% | - |
| Treynor Ratio | 25.31% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 3.50 | 4.31 | 1.23 | + |
| 2023 | 10.00 | 3.68 | 0.37 | - |
| 2024 | 18.74 | 7.65 | 0.41 | - |
| 2025 | 5.40 | 6.93 | 1.28 | + |
| 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 |
| 2024-08-15 | 2024-10-08 | -1.11 | 54 |
| 2023-02-06 | 2023-03-10 | -0.87 | 32 |
| 2024-03-13 | 2024-03-29 | -0.64 | 16 |
| 2025-01-27 | 2025-01-30 | -0.46 | 3 |
| 2023-06-28 | 2023-07-26 | -0.46 | 28 |
| 2025-03-25 | 2025-04-01 | -0.38 | 7 |