| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 283.34% | 295.37% |
| CAGR﹪ | 47.05% | 48.36% |
| Sharpe | 1.6 | 1.77 |
| Prob. Sharpe Ratio | 92.12% | 96.67% |
| Smart Sharpe | 1.4 | 1.55 |
| Sortino | 2.35 | 2.67 |
| Smart Sortino | 2.05 | 2.33 |
| Sortino/√2 | 1.66 | 1.89 |
| Smart Sortino/√2 | 1.45 | 1.65 |
| Omega | 1.32 | 1.32 |
| Max Drawdown | -12.87% | -12.51% |
| Longest DD Days | 278 | 180 |
| Volatility (ann.) | 21.18% | 19.38% |
| R^2 | 0.76 | 0.76 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 3.66 | 3.87 |
| Skew | -0.88 | -0.3 |
| Kurtosis | 10.69 | 6.38 |
| Expected Daily | 0.15% | 0.16% |
| Expected Monthly | 3.17% | 3.25% |
| Expected Yearly | 30.83% | 31.64% |
| Kelly Criterion | 13.6% | 17.47% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.03% | -1.84% |
| Expected Shortfall (cVaR) | -2.03% | -1.84% |
| Max Consecutive Wins | 11 | 11 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.4 | 0.46 |
| Gain/Pain (1M) | 5.09 | 5.33 |
| Payoff Ratio | 1.01 | 1.04 |
| Profit Factor | 1.4 | 1.46 |
| Common Sense Ratio | 1.95 | 1.62 |
| CPC Index | 0.8 | 0.88 |
| Tail Ratio | 1.39 | 1.11 |
| Outlier Win Ratio | 3.42 | 3.81 |
| Outlier Loss Ratio | 3.56 | 3.93 |
| MTD | 0.57% | 1.22% |
| 3M | 23.01% | 25.04% |
| 6M | 31.0% | 33.55% |
| YTD | 17.63% | 19.87% |
| 1Y | 56.17% | 59.53% |
| 3Y (ann.) | 35.51% | 36.94% |
| 5Y (ann.) | 47.05% | 48.36% |
| 10Y (ann.) | 47.05% | 48.36% |
| All-time (ann.) | 47.05% | 48.36% |
| Best Day | 5.4% | 7.16% |
| Worst Day | -12.71% | -9.23% |
| Best Month | 20.57% | 16.41% |
| Worst Month | -6.2% | -7.55% |
| Best Year | 45.34% | 46.23% |
| Worst Year | 17.63% | 19.87% |
| Avg. Drawdown | -2.47% | -2.14% |
| Avg. Drawdown Days | 20 | 16 |
| Recovery Factor | 22.02 | 23.61 |
| Ulcer Index | 0.05 | 0.04 |
| Serenity Index | 9.13 | 9.68 |
| Avg. Up Month | 5.57% | 5.49% |
| Avg. Down Month | -2.46% | -2.53% |
| Win Days | 56.61% | 58.0% |
| Win Month | 72.09% | 74.42% |
| Win Quarter | 73.33% | 73.33% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.95 | - |
| Alpha | 0.02 | - |
| Correlation | 86.9% | - |
| Treynor Ratio | 290.93% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 23.44 | 23.47 | 1.00 | + |
| 2023 | 46.23 | 43.56 | 0.94 | - |
| 2024 | 43.05 | 45.34 | 1.05 | + |
| 2025 | 27.74 | 26.50 | 0.96 | - |
| 2026 | 19.87 | 17.63 | 0.89 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-04-18 | 2024-09-11 | -12.87 | 146 |
| 2026-02-02 | 2026-03-11 | -12.71 | 37 |
| 2024-11-29 | 2025-09-03 | -10.56 | 278 |
| 2025-10-21 | 2025-12-24 | -9.76 | 64 |
| 2023-08-14 | 2024-03-05 | -9.30 | 204 |
| 2024-10-31 | 2024-11-22 | -6.75 | 22 |
| 2023-04-14 | 2023-07-03 | -6.69 | 80 |
| 2022-10-13 | 2022-11-24 | -6.60 | 42 |
| 2022-09-19 | 2022-10-04 | -5.44 | 15 |
| 2022-12-22 | 2023-01-03 | -3.46 | 12 |