| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 56.09% | 112.49% |
| CAGR﹪ | 6.33% | 10.94% |
| Sharpe | 0.57 | 23.17 |
| Prob. Sharpe Ratio | 93.73% | 100.0% |
| Smart Sharpe | 0.39 | 16.15 |
| Sortino | 0.84 | - |
| Smart Sortino | 0.59 | - |
| Sortino/√2 | 0.6 | - |
| Smart Sortino/√2 | 0.42 | - |
| Omega | 1.18 | 1.18 |
| Max Drawdown | -27.13% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 12.08% | 0.45% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.23 | - |
| Skew | 2.31 | 8.04 |
| Kurtosis | 240.19 | 127.94 |
| Expected Daily | 0.02% | 0.04% |
| Expected Monthly | 0.51% | 0.86% |
| Expected Yearly | 5.72% | 9.88% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.22% | -0.01% |
| Expected Shortfall (cVaR) | -1.22% | -0.01% |
| Max Consecutive Wins | 9 | 1834 |
| Max Consecutive Losses | 10 | 0 |
| Gain/Pain Ratio | 0.18 | - |
| Gain/Pain (1M) | 0.86 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.18 | - |
| Common Sense Ratio | 1.38 | - |
| CPC Index | - | - |
| Tail Ratio | 1.17 | 4.62 |
| Outlier Win Ratio | 2.13 | 17.3 |
| Outlier Loss Ratio | 1.79 | - |
| MTD | 1.24% | 1.12% |
| 3M | 5.79% | 3.64% |
| 6M | 10.47% | 7.73% |
| YTD | 4.85% | 4.71% |
| 1Y | 21.02% | 17.04% |
| 3Y (ann.) | 7.9% | 17.05% |
| 5Y (ann.) | 5.12% | 13.38% |
| 10Y (ann.) | 6.33% | 10.94% |
| All-time (ann.) | 6.33% | 10.94% |
| Best Day | 17.61% | 0.51% |
| Worst Day | -14.34% | 0.0% |
| Best Month | 12.23% | 1.83% |
| Worst Month | -5.81% | 0.37% |
| Best Year | 21.68% | 19.38% |
| Worst Year | -5.45% | 4.71% |
| Avg. Drawdown | -1.21% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 2.07 | - |
| Ulcer Index | 0.05 | 0.0 |
| Serenity Index | 0.86 | - |
| Avg. Up Month | 2.13% | 0.87% |
| Avg. Down Month | - | - |
| Win Days | 52.11% | 100.0% |
| Win Month | 57.95% | 100.0% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 75.0% | 100.0% |
| Beta | -0.62 | - |
| Alpha | 0.13 | - |
| Correlation | -2.3% | - |
| Treynor Ratio | -90.08% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 7.09 | 16.54 | 2.33 | + |
| 2020 | 4.97 | 7.29 | 1.47 | + |
| 2021 | 5.82 | -5.45 | -0.94 | - |
| 2022 | 9.41 | 3.31 | 0.35 | - |
| 2023 | 10.00 | -0.15 | -0.01 | - |
| 2024 | 18.74 | 0.32 | 0.02 | - |
| 2025 | 19.38 | 21.68 | 1.12 | + |
| 2026 | 4.71 | 4.85 | 1.03 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-12-09 | 2025-03-04 | -27.13 | 1546 |
| 2020-02-25 | 2020-04-23 | -10.79 | 58 |
| 2025-03-21 | 2025-06-03 | -5.56 | 74 |
| 2025-09-09 | 2025-11-21 | -5.03 | 73 |
| 2019-05-06 | 2019-06-19 | -3.34 | 44 |
| 2020-06-22 | 2020-11-12 | -2.42 | 143 |
| 2025-08-20 | 2025-09-08 | -1.88 | 19 |
| 2026-01-08 | 2026-02-16 | -1.72 | 39 |
| 2025-12-19 | 2026-01-06 | -1.63 | 18 |
| 2019-02-07 | 2019-03-11 | -1.33 | 32 |