| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 35.71% | 35.53% |
| CAGR﹪ | 19.32% | 19.23% |
| Sharpe | 8.36 | 13.56 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 5.23 | 8.49 |
| Sortino | 18.93 | 176.64 |
| Smart Sortino | 11.84 | 110.53 |
| Sortino/√2 | 13.38 | 124.9 |
| Smart Sortino/√2 | 8.38 | 78.16 |
| Omega | 4.84 | 4.84 |
| Max Drawdown | -0.24% | -0.02% |
| Longest DD Days | 4 | 1 |
| Volatility (ann.) | 1.29% | 0.79% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 79.46 | 1200.5 |
| Skew | 0.62 | 2.03 |
| Kurtosis | 5.71 | 5.57 |
| Expected Daily | 0.07% | 0.07% |
| Expected Monthly | 1.46% | 1.46% |
| Expected Yearly | 10.72% | 10.66% |
| Kelly Criterion | 83.62% | 99.47% |
| 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 | 10.4 | 1334.87 |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | 2.34 | 6.18 |
| Profit Factor | 11.4 | 1335.87 |
| Common Sense Ratio | 48.27 | 7618.12 |
| CPC Index | 23.62 | 8219.62 |
| Tail Ratio | 4.24 | 5.7 |
| Outlier Win Ratio | 3.2 | 3.94 |
| Outlier Loss Ratio | 1.38 | 7.28 |
| MTD | 1.25% | 1.17% |
| 3M | 3.95% | 3.93% |
| 6M | 8.26% | 8.21% |
| YTD | 2.23% | 2.43% |
| 1Y | 19.91% | 19.87% |
| 3Y (ann.) | 19.32% | 19.23% |
| 5Y (ann.) | 19.32% | 19.23% |
| 10Y (ann.) | 19.32% | 19.23% |
| All-time (ann.) | 19.32% | 19.23% |
| Best Day | 0.58% | 0.39% |
| Worst Day | -0.24% | -0.02% |
| Best Month | 2.41% | 2.0% |
| Worst Month | 0.79% | 0.69% |
| Best Year | 20.77% | 20.81% |
| Worst Year | 2.23% | 2.43% |
| Avg. Drawdown | -0.06% | -0.01% |
| Avg. Drawdown Days | 1 | 1 |
| Recovery Factor | 146.88 | 2218.39 |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 1378.24 | 1204362.24 |
| Avg. Up Month | 1.47% | 1.46% |
| Avg. Down Month | - | - |
| Win Days | 88.52% | 99.54% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.15 | - |
| Alpha | 0.15 | - |
| Correlation | 9.27% | - |
| Treynor Ratio | 189.44% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 9.52 | 9.92 | 1.04 | + |
| 2025 | 20.81 | 20.77 | 1.00 | - |
| 2026 | 2.43 | 2.23 | 0.92 | - |
| 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 |
| 2024-06-20 | 2024-06-21 | -0.07 | 1 |