| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 73.34% | 72.0% |
| CAGR﹪ | 14.1% | 13.89% |
| Sharpe | 5.47 | 26.22 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 4.78 | 22.95 |
| Sortino | 8.8 | - |
| Smart Sortino | 7.7 | - |
| Sortino/√2 | 6.22 | - |
| Smart Sortino/√2 | 5.45 | - |
| Omega | 8.31 | 8.31 |
| Max Drawdown | -2.86% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 2.43% | 0.5% |
| R^2 | 0.07 | 0.07 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 4.94 | - |
| Skew | -0.04 | 9.15 |
| Kurtosis | 222.08 | 132.06 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 1.08% | 1.07% |
| Expected Yearly | 11.63% | 11.46% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.2% | -0.0% |
| Expected Shortfall (cVaR) | -0.2% | -0.0% |
| Max Consecutive Wins | 361 | 1045 |
| Max Consecutive Losses | 3 | 0 |
| Gain/Pain Ratio | 7.31 | - |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | - | - |
| Profit Factor | 8.31 | - |
| Common Sense Ratio | 76.34 | - |
| CPC Index | - | - |
| Tail Ratio | 9.18 | 3.18 |
| Outlier Win Ratio | 2.31 | 2.88 |
| Outlier Loss Ratio | 0.34 | - |
| MTD | 0.32% | 0.32% |
| 3M | 4.36% | 4.02% |
| 6M | 9.37% | 8.47% |
| YTD | 19.23% | 18.26% |
| 1Y | 21.16% | 20.11% |
| 3Y (ann.) | 15.98% | 16.04% |
| 5Y (ann.) | 14.1% | 13.89% |
| 10Y (ann.) | 14.1% | 13.89% |
| All-time (ann.) | 14.1% | 13.89% |
| Best Day | 2.57% | 0.51% |
| Worst Day | -2.86% | 0.0% |
| Best Month | 2.16% | 1.83% |
| Worst Month | 0.16% | 0.32% |
| Best Year | 19.23% | 18.74% |
| Worst Year | 1.71% | 1.78% |
| Avg. Drawdown | -0.11% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 25.69 | - |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 411.48 | - |
| Avg. Up Month | 1.09% | 1.07% |
| Avg. Down Month | - | - |
| Win Days | 92.39% | 100.0% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 1.28 | - |
| Alpha | -0.03 | - |
| Correlation | 26.28% | - |
| Treynor Ratio | 57.23% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.78 | 1.71 | 0.96 | - |
| 2022 | 9.41 | 10.56 | 1.12 | + |
| 2023 | 10.00 | 9.34 | 0.93 | - |
| 2024 | 18.74 | 18.25 | 0.97 | - |
| 2025 | 18.26 | 19.23 | 1.05 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-24 | 2022-03-29 | -2.86 | 33 |
| 2022-04-25 | 2022-05-19 | -0.96 | 24 |
| 2021-12-27 | 2022-01-28 | -0.68 | 32 |
| 2022-03-31 | 2022-04-04 | -0.16 | 4 |
| 2022-06-20 | 2022-06-22 | -0.14 | 2 |
| 2022-07-27 | 2022-07-28 | -0.14 | 1 |
| 2022-06-02 | 2022-06-03 | -0.13 | 1 |
| 2022-08-16 | 2022-08-18 | -0.11 | 2 |
| 2022-06-27 | 2022-07-01 | -0.09 | 4 |
| 2022-08-09 | 2022-08-12 | -0.09 | 3 |