| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 97.0% | 98.0% |
| Cumulative Return | 57.44% | 57.33% |
| CAGR﹪ | 12.74% | 12.72% |
| Sharpe | 1.45 | 1.71 |
| Prob. Sharpe Ratio | 99.98% | 100.0% |
| Smart Sharpe | 1.37 | 1.61 |
| Sortino | 2.08 | 2.44 |
| Smart Sortino | 1.96 | 2.31 |
| Sortino/√2 | 1.47 | 1.73 |
| Smart Sortino/√2 | 1.39 | 1.63 |
| Omega | 1.31 | 1.31 |
| Max Drawdown | -4.56% | -3.92% |
| Longest DD Days | 184 | 188 |
| Volatility (ann.) | 3.58% | 3.03% |
| R^2 | 0.71 | 0.71 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 2.79 | 3.25 |
| Skew | -1.18 | -1.69 |
| Kurtosis | 19.4 | 30.57 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 0.99% | 0.99% |
| Expected Yearly | 9.5% | 9.49% |
| Kelly Criterion | 24.66% | 35.06% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.32% | -0.27% |
| Expected Shortfall (cVaR) | -0.32% | -0.27% |
| Max Consecutive Wins | 25 | 25 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.86 | 1.28 |
| Gain/Pain (1M) | 4.83 | 5.96 |
| Payoff Ratio | 0.97 | 1.1 |
| Profit Factor | 1.86 | 2.28 |
| Common Sense Ratio | 2.33 | 3.84 |
| CPC Index | 1.14 | 1.66 |
| Tail Ratio | 1.25 | 1.68 |
| Outlier Win Ratio | 3.5 | 4.42 |
| Outlier Loss Ratio | 2.5 | 3.46 |
| MTD | 0.72% | 0.67% |
| 3M | 5.15% | 5.19% |
| 6M | 9.56% | 9.45% |
| YTD | 6.65% | 6.92% |
| 1Y | 24.32% | 24.2% |
| 3Y (ann.) | 13.9% | 13.82% |
| 5Y (ann.) | 12.74% | 12.72% |
| 10Y (ann.) | 12.74% | 12.72% |
| All-time (ann.) | 12.74% | 12.72% |
| 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 | 28.2% | 27.79% |
| Worst Year | 3.18% | 3.34% |
| Avg. Drawdown | -0.31% | -0.24% |
| Avg. Drawdown Days | 9 | 9 |
| Recovery Factor | 12.58 | 14.62 |
| Ulcer Index | 0.01 | 0.01 |
| Serenity Index | 6.04 | 6.16 |
| Avg. Up Month | 1.5% | 1.44% |
| Avg. Down Month | -1.16% | -0.96% |
| Win Days | 62.88% | 65.92% |
| Win Month | 80.43% | 82.61% |
| Win Quarter | 87.5% | 81.25% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.99 | - |
| Alpha | 0.0 | - |
| Correlation | 83.99% | - |
| Treynor Ratio | 50.76% | - |
| 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 | 27.79 | 28.20 | 1.01 | + |
| 2026 | 6.92 | 6.65 | 0.96 | - |
| 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 |