Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 96.0% | 100.0% |
Cumulative Return | 25.54% | 12.72% |
CAGR﹪ | 17.95% | 9.08% |
Sharpe | 6.55 | 32.93 |
Prob. Sharpe Ratio | 100.0% | - |
Smart Sharpe | 5.82 | 29.25 |
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% | 0.26% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.19 | 0.19 |
Calmar | 15.72 | - |
Skew | 0.36 | 0.6 |
Kurtosis | 3.81 | -0.61 |
Expected Daily | 0.07% | 0.03% |
Expected Monthly | 1.27% | 0.67% |
Expected Yearly | 12.05% | 6.17% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -0.19% | -0.01% |
Expected Shortfall (cVaR) | -0.19% | -0.01% |
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 | 7.45 |
Outlier Win Ratio | 2.02 | 7.7 |
Outlier Loss Ratio | 1.44 | - |
MTD | 1.42% | 0.24% |
3M | 6.33% | 1.41% |
6M | 11.65% | 4.5% |
YTD | 10.11% | 3.81% |
1Y | 18.18% | 9.82% |
3Y (ann.) | 17.95% | 9.08% |
5Y (ann.) | 17.95% | 9.08% |
10Y (ann.) | 17.95% | 9.08% |
All-time (ann.) | 17.95% | 9.08% |
Best Day | 0.86% | 0.07% |
Worst Day | -0.54% | 0.0% |
Best Month | 2.02% | 1.43% |
Worst Month | 0.0% | 0.0% |
Best Year | 14.02% | 8.58% |
Worst Year | 10.11% | 3.81% |
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% | 0.71% |
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 | -0.18 | - |
Alpha | 0.18 | - |
Correlation | -1.85% | - |
Treynor Ratio | -144.26% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2024 | 8.58 | 14.02 | 1.63 | + |
2025 | 3.81 | 10.11 | 2.65 | + |
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 |