| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 13.8% | 18.27% |
| CAGR﹪ | 6.32% | 8.28% |
| Sharpe | 0.4 | 25.07 |
| Prob. Sharpe Ratio | 72.19% | 100.0% |
| Smart Sharpe | 0.39 | 24.48 |
| Sortino | 0.62 | 131.2 |
| Smart Sortino | 0.6 | 128.11 |
| Sortino/√2 | 0.44 | 92.77 |
| Smart Sortino/√2 | 0.42 | 90.59 |
| Omega | 1.08 | 1.08 |
| Max Drawdown | -14.69% | -0.4% |
| Longest DD Days | 323 | 63 |
| Volatility (ann.) | 20.18% | 0.31% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.43 | 20.69 |
| Skew | 0.61 | 0.2 |
| Kurtosis | 3.01 | 1.09 |
| Expected Daily | 0.02% | 0.03% |
| Expected Monthly | 0.5% | 0.65% |
| Expected Yearly | 4.4% | 5.75% |
| Kelly Criterion | 17.41% | 93.89% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.06% | -0.0% |
| Expected Shortfall (cVaR) | -2.06% | -0.0% |
| Max Consecutive Wins | 8 | 453 |
| Max Consecutive Losses | 8 | 21 |
| Gain/Pain Ratio | 0.08 | 41.87 |
| Gain/Pain (1M) | 0.56 | 41.87 |
| Payoff Ratio | 1.53 | 1.77 |
| Profit Factor | 1.08 | 42.87 |
| Common Sense Ratio | 1.15 | 319.26 |
| CPC Index | 0.82 | 73.03 |
| Tail Ratio | 1.07 | 7.45 |
| Outlier Win Ratio | 2.33 | 61.76 |
| Outlier Loss Ratio | 1.98 | 86.97 |
| MTD | -1.43% | 0.41% |
| 3M | -5.16% | 1.2% |
| 6M | 3.68% | 1.72% |
| YTD | -9.74% | 5.26% |
| 1Y | -1.01% | 6.86% |
| 3Y (ann.) | 6.32% | 8.28% |
| 5Y (ann.) | 6.32% | 8.28% |
| 10Y (ann.) | 6.32% | 8.28% |
| All-time (ann.) | 6.32% | 8.28% |
| Best Day | 5.69% | 0.09% |
| Worst Day | -3.97% | -0.02% |
| Best Month | 18.88% | 1.43% |
| Worst Month | -6.28% | -0.4% |
| Best Year | 25.52% | 9.51% |
| Worst Year | -9.74% | 2.6% |
| Avg. Drawdown | -3.48% | -0.4% |
| Avg. Drawdown Days | 47 | 63 |
| Recovery Factor | 0.94 | 45.67 |
| Ulcer Index | 0.07 | 0.0 |
| Serenity Index | 0.21 | 41.84 |
| Avg. Up Month | 4.54% | 0.84% |
| Avg. Down Month | - | - |
| Win Days | 50.09% | 96.1% |
| Win Month | 42.31% | 96.15% |
| Win Quarter | 55.56% | 100.0% |
| Win Year | 66.67% | 100.0% |
| Beta | 2.72 | - |
| Alpha | -0.13 | - |
| Correlation | 4.21% | - |
| Treynor Ratio | 5.08% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 2.60 | 0.45 | 0.17 | - |
| 2024 | 9.51 | 25.52 | 2.68 | + |
| 2025 | 5.26 | -9.74 | -1.85 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-01-08 | 2025-11-27 | -14.69 | 323 |
| 2024-04-23 | 2024-11-14 | -10.38 | 205 |
| 2024-11-29 | 2024-12-28 | -9.13 | 29 |
| 2023-10-20 | 2023-12-05 | -5.76 | 46 |
| 2024-01-05 | 2024-02-06 | -3.11 | 32 |
| 2023-12-25 | 2024-01-03 | -1.82 | 9 |
| 2023-12-06 | 2023-12-21 | -1.67 | 15 |
| 2024-03-01 | 2024-03-15 | -1.57 | 14 |
| 2024-04-18 | 2024-04-22 | -1.07 | 4 |
| 2024-11-18 | 2024-11-22 | -0.89 | 4 |