| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 25.54% | 28.71% |
| CAGR﹪ | 17.95% | 20.1% |
| Sharpe | 6.55 | 102.6 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 5.82 | 91.14 |
| Sortino | 13.05 | - |
| Smart Sortino | 11.59 | - |
| Sortino/√2 | 9.23 | - |
| Smart Sortino/√2 | 8.19 | - |
| Omega | 3.14 | 3.14 |
| Max Drawdown | -1.14% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 2.51% | 0.18% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 15.72 | - |
| Skew | 0.36 | -0.81 |
| Kurtosis | 3.81 | 3.47 |
| Expected Daily | 0.07% | 0.07% |
| Expected Monthly | 1.27% | 1.41% |
| Expected Yearly | 12.05% | 13.45% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.19% | -0.05% |
| Expected Shortfall (cVaR) | -0.19% | -0.05% |
| Max Consecutive Wins | 13 | 349 |
| Max Consecutive Losses | 5 | 0 |
| Gain/Pain Ratio | 2.14 | - |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | - | - |
| Profit Factor | 3.14 | - |
| Common Sense Ratio | 5.17 | - |
| CPC Index | - | - |
| Tail Ratio | 1.65 | 1.65 |
| Outlier Win Ratio | 2.1 | 3.8 |
| Outlier Loss Ratio | 1.24 | - |
| MTD | 1.42% | 0.89% |
| 3M | 6.33% | 5.13% |
| 6M | 11.65% | 10.73% |
| YTD | 10.11% | 9.74% |
| 1Y | 18.18% | 21.73% |
| 3Y (ann.) | 17.95% | 20.1% |
| 5Y (ann.) | 17.95% | 20.1% |
| 10Y (ann.) | 17.95% | 20.1% |
| All-time (ann.) | 17.95% | 20.1% |
| Best Day | 0.86% | 0.09% |
| Worst Day | -0.54% | 0.0% |
| Best Month | 2.02% | 1.83% |
| Worst Month | 0.0% | 0.0% |
| Best Year | 14.02% | 17.29% |
| Worst Year | 10.11% | 9.74% |
| Avg. Drawdown | -0.15% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 22.38 | - |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 45.27 | - |
| Avg. Up Month | 1.35% | 1.5% |
| Avg. Down Month | - | - |
| Win Days | 72.02% | 100.0% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.4 | - |
| Alpha | 0.09 | - |
| Correlation | 2.81% | - |
| Treynor Ratio | 64.28% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 17.29 | 14.02 | 0.81 | - |
| 2025 | 9.74 | 10.11 | 1.04 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-10-18 | 2024-11-20 | -1.14 | 33 |
| 2024-12-10 | 2024-12-25 | -0.96 | 15 |
| 2024-11-21 | 2024-12-05 | -0.66 | 14 |
| 2025-01-06 | 2025-01-10 | -0.49 | 4 |
| 2025-04-07 | 2025-04-11 | -0.42 | 4 |
| 2024-07-09 | 2024-07-15 | -0.26 | 6 |
| 2024-04-30 | 2024-05-07 | -0.25 | 7 |
| 2025-02-18 | 2025-02-24 | -0.24 | 6 |
| 2025-03-11 | 2025-03-13 | -0.19 | 2 |
| 2024-02-20 | 2024-02-21 | -0.18 | 1 |