| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 97.0% | 98.0% |
| Cumulative Return | 44.77% | 44.66% |
| CAGR﹪ | 11.7% | 11.68% |
| Sharpe | 1.14 | 1.33 |
| Prob. Sharpe Ratio | 99.81% | 99.96% |
| Smart Sharpe | 1.07 | 1.26 |
| Sortino | 1.61 | 1.88 |
| Smart Sortino | 1.52 | 1.78 |
| Sortino/√2 | 1.14 | 1.33 |
| Smart Sortino/√2 | 1.07 | 1.26 |
| Omega | 1.24 | 1.24 |
| Max Drawdown | -4.56% | -3.92% |
| Longest DD Days | 184 | 188 |
| Volatility (ann.) | 3.72% | 3.15% |
| R^2 | 0.71 | 0.71 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 2.56 | 2.98 |
| Skew | -1.16 | -1.67 |
| Kurtosis | 18.56 | 29.21 |
| Expected Daily | 0.04% | 0.04% |
| Expected Monthly | 0.91% | 0.9% |
| Expected Yearly | 9.69% | 9.67% |
| Kelly Criterion | 21.64% | 31.69% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.34% | -0.28% |
| Expected Shortfall (cVaR) | -0.34% | -0.28% |
| Max Consecutive Wins | 25 | 25 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.73 | 1.08 |
| Gain/Pain (1M) | 3.94 | 4.86 |
| Payoff Ratio | 0.98 | 1.11 |
| Profit Factor | 1.73 | 2.08 |
| Common Sense Ratio | 2.24 | 3.39 |
| CPC Index | 1.04 | 1.48 |
| Tail Ratio | 1.29 | 1.63 |
| Outlier Win Ratio | 3.51 | 4.5 |
| Outlier Loss Ratio | 2.57 | 3.57 |
| MTD | 0.47% | 0.36% |
| 3M | 2.44% | 2.37% |
| 6M | 11.41% | 11.35% |
| YTD | 25.72% | 25.64% |
| 1Y | 31.96% | 31.59% |
| 3Y (ann.) | 12.12% | 12.02% |
| 5Y (ann.) | 11.7% | 11.68% |
| 10Y (ann.) | 11.7% | 11.68% |
| All-time (ann.) | 11.7% | 11.68% |
| Best Day | 1.43% | 1.43% |
| Worst Day | -2.21% | -2.17% |
| Best Month | 5.56% | 5.07% |
| Worst Month | -2.04% | -1.65% |
| Best Year | 25.72% | 25.64% |
| Worst Year | 3.18% | 3.34% |
| Avg. Drawdown | -0.35% | -0.26% |
| Avg. Drawdown Days | 10 | 10 |
| Recovery Factor | 9.81 | 11.39 |
| Ulcer Index | 0.01 | 0.01 |
| Serenity Index | 4.18 | 4.26 |
| Avg. Up Month | 1.47% | 1.41% |
| Avg. Down Month | -1.16% | -0.96% |
| Win Days | 61.22% | 64.14% |
| Win Month | 78.05% | 80.49% |
| Win Quarter | 85.71% | 78.57% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.99 | - |
| Alpha | 0.0 | - |
| Correlation | 84.03% | - |
| Treynor Ratio | 38.03% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 3.34 | 3.18 | 0.95 | - |
| 2023 | 3.60 | 3.68 | 1.02 | + |
| 2024 | 7.55 | 7.65 | 1.01 | + |
| 2025 | 25.64 | 25.72 | 1.00 | + |
| 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 |
| 2025-01-27 | 2025-01-30 | -0.46 | 3 |