| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | 38.67% | 40.96% |
| CAGR﹪ | 18.85% | 19.88% |
| Sharpe | 12.17 | 45.95 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 8.31 | 31.35 |
| Sortino | 35.69 | - |
| Smart Sortino | 24.35 | - |
| Sortino/√2 | 25.24 | - |
| Smart Sortino/√2 | 17.22 | - |
| Omega | 9.67 | 9.67 |
| Max Drawdown | -0.24% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 1.26% | 0.35% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 77.52 | - |
| Skew | 0.74 | 4.48 |
| Kurtosis | 5.2 | 36.27 |
| Expected Daily | 0.06% | 0.06% |
| Expected Monthly | 1.37% | 1.44% |
| Expected Yearly | 11.51% | 12.12% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.07% | -0.03% |
| Expected Shortfall (cVaR) | -0.07% | -0.03% |
| Max Consecutive Wins | 78 | 535 |
| Max Consecutive Losses | 3 | 0 |
| Gain/Pain Ratio | 8.67 | - |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | - | - |
| Profit Factor | 9.67 | - |
| Common Sense Ratio | 39.62 | - |
| CPC Index | - | - |
| Tail Ratio | 4.1 | 2.03 |
| Outlier Win Ratio | 2.26 | 2.83 |
| Outlier Loss Ratio | 0.88 | - |
| MTD | 0.72% | 1.12% |
| 3M | 3.67% | 4.14% |
| 6M | 7.78% | 8.0% |
| YTD | 4.25% | 4.72% |
| 1Y | 18.16% | 17.57% |
| 3Y (ann.) | 18.85% | 19.88% |
| 5Y (ann.) | 18.85% | 19.88% |
| 10Y (ann.) | 18.85% | 19.88% |
| All-time (ann.) | 18.85% | 19.88% |
| Best Day | 0.58% | 0.25% |
| Worst Day | -0.24% | 0.0% |
| Best Month | 2.41% | 1.83% |
| Worst Month | 0.1% | 1.01% |
| Best Year | 20.77% | 19.38% |
| Worst Year | 4.25% | 4.72% |
| Avg. Drawdown | -0.05% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 159.04 | - |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 1895.07 | - |
| Avg. Up Month | 1.37% | 1.44% |
| Avg. Down Month | - | - |
| Win Days | 84.02% | 100.0% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.27 | - |
| Alpha | 0.11 | - |
| Correlation | 7.49% | - |
| Treynor Ratio | 143.56% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 12.75 | 10.14 | 0.79 | - |
| 2025 | 19.38 | 20.77 | 1.07 | + |
| 2026 | 4.72 | 4.25 | 0.90 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-07-17 | 2025-07-18 | -0.24 | 1 |
| 2025-07-28 | 2025-07-29 | -0.23 | 1 |
| 2025-07-30 | 2025-08-01 | -0.23 | 2 |
| 2025-09-17 | 2025-09-19 | -0.22 | 2 |
| 2025-07-21 | 2025-07-22 | -0.19 | 1 |
| 2025-08-13 | 2025-08-15 | -0.16 | 2 |
| 2025-10-02 | 2025-10-03 | -0.13 | 1 |
| 2025-10-04 | 2025-10-06 | -0.11 | 2 |
| 2025-10-27 | 2025-10-29 | -0.11 | 2 |
| 2025-07-07 | 2025-07-08 | -0.11 | 1 |