| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 99.0% |
| Cumulative Return | 38.11% | 37.98% |
| CAGR﹪ | 19.01% | 18.96% |
| Sharpe | 8.24 | 13.44 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 5.15 | 8.39 |
| Sortino | 18.72 | 169.79 |
| Smart Sortino | 11.69 | 106.05 |
| Sortino/√2 | 13.24 | 120.06 |
| Smart Sortino/√2 | 8.27 | 74.99 |
| Omega | 4.69 | 4.69 |
| Max Drawdown | -0.24% | -0.02% |
| Longest DD Days | 4 | 1 |
| Volatility (ann.) | 1.28% | 0.78% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 78.19 | 1183.68 |
| Skew | 0.62 | 2.02 |
| Kurtosis | 5.56 | 5.58 |
| Expected Daily | 0.07% | 0.07% |
| Expected Monthly | 1.41% | 1.41% |
| Expected Yearly | 11.36% | 11.33% |
| Kelly Criterion | 82.56% | 99.5% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.06% | -0.01% |
| Expected Shortfall (cVaR) | -0.06% | -0.01% |
| Max Consecutive Wins | 78 | 185 |
| Max Consecutive Losses | 2 | 1 |
| Gain/Pain Ratio | 10.28 | 1413.75 |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | 2.33 | 6.1 |
| Profit Factor | 11.28 | 1414.75 |
| Common Sense Ratio | 47.93 | 8005.74 |
| CPC Index | 23.05 | 8595.15 |
| Tail Ratio | 4.25 | 5.66 |
| Outlier Win Ratio | 3.18 | 3.96 |
| Outlier Loss Ratio | 1.33 | 6.53 |
| MTD | 0.51% | 0.53% |
| 3M | 3.71% | 3.67% |
| 6M | 7.83% | 7.92% |
| YTD | 4.03% | 4.29% |
| 1Y | 18.21% | 18.35% |
| 3Y (ann.) | 19.01% | 18.96% |
| 5Y (ann.) | 19.01% | 18.96% |
| 10Y (ann.) | 19.01% | 18.96% |
| All-time (ann.) | 19.01% | 18.96% |
| Best Day | 0.58% | 0.39% |
| Worst Day | -0.24% | -0.02% |
| Best Month | 2.41% | 2.0% |
| Worst Month | 0.51% | 0.53% |
| Best Year | 20.77% | 20.81% |
| Worst Year | 4.03% | 4.29% |
| Avg. Drawdown | -0.06% | -0.01% |
| Avg. Drawdown Days | 1 | 1 |
| Recovery Factor | 156.72 | 2371.81 |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 1549.68 | 1388619.29 |
| Avg. Up Month | 1.41% | 1.41% |
| Avg. Down Month | - | - |
| Win Days | 87.8% | 99.57% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.13 | - |
| Alpha | 0.15 | - |
| Correlation | 7.86% | - |
| Treynor Ratio | 241.62% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 9.52 | 9.92 | 1.04 | + |
| 2025 | 20.81 | 20.77 | 1.00 | - |
| 2026 | 4.29 | 4.03 | 0.94 | - |
| 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 |
| 2025-10-27 | 2025-10-29 | -0.11 | 2 |
| 2025-07-07 | 2025-07-08 | -0.11 | 1 |
| 2026-03-26 | 2026-03-27 | -0.07 | 1 |