| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 81.36% | 107.94% |
| CAGR﹪ | 8.51% | 10.56% |
| Sharpe | 0.48 | 15.63 |
| Prob. Sharpe Ratio | 89.72% | 99.76% |
| Smart Sharpe | 0.47 | 15.2 |
| Sortino | 0.64 | - |
| Smart Sortino | 0.63 | - |
| Sortino/√2 | 0.46 | - |
| Smart Sortino/√2 | 0.44 | - |
| Omega | 1.1 | 1.1 |
| Max Drawdown | -54.18% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 22.49% | 0.65% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.16 | - |
| Skew | -1.22 | 27.76 |
| Kurtosis | 13.72 | 1020.82 |
| Expected Daily | 0.03% | 0.04% |
| Expected Monthly | 0.68% | 0.84% |
| Expected Yearly | 7.73% | 9.58% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.29% | -0.03% |
| Expected Shortfall (cVaR) | -2.29% | -0.03% |
| Max Consecutive Wins | 11 | 1820 |
| Max Consecutive Losses | 16 | 0 |
| Gain/Pain Ratio | 0.1 | - |
| Gain/Pain (1M) | 0.46 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.1 | - |
| Common Sense Ratio | 1.07 | - |
| CPC Index | - | - |
| Tail Ratio | 0.98 | 4.62 |
| Outlier Win Ratio | 1.88 | 41.93 |
| Outlier Loss Ratio | 1.91 | - |
| MTD | 5.28% | 1.28% |
| 3M | 3.75% | 3.98% |
| 6M | 2.61% | 8.19% |
| YTD | 2.26% | 19.39% |
| 1Y | 5.56% | 19.49% |
| 3Y (ann.) | 15.98% | 16.21% |
| 5Y (ann.) | 3.0% | 12.69% |
| 10Y (ann.) | 8.51% | 10.56% |
| All-time (ann.) | 8.51% | 10.56% |
| Best Day | 8.98% | 1.55% |
| Worst Day | -14.14% | 0.0% |
| Best Month | 15.26% | 1.83% |
| Worst Month | -26.92% | 0.37% |
| Best Year | 52.03% | 19.39% |
| Worst Year | -38.96% | 2.34% |
| Avg. Drawdown | -2.9% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 1.5 | - |
| Ulcer Index | 0.22 | 0.0 |
| Serenity Index | 0.13 | - |
| Avg. Up Month | 4.4% | 0.78% |
| Avg. Down Month | - | - |
| Win Days | 54.62% | 100.0% |
| Win Month | 64.77% | 100.0% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 87.5% | 100.0% |
| Beta | 0.87 | - |
| Alpha | 0.02 | - |
| Correlation | 2.5% | - |
| Treynor Ratio | 93.72% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2018 | 2.34 | 1.25 | 0.54 | - |
| 2019 | 7.22 | 37.44 | 5.19 | + |
| 2020 | 4.97 | 13.38 | 2.69 | + |
| 2021 | 5.82 | 19.85 | 3.41 | + |
| 2022 | 9.41 | -38.96 | -4.14 | - |
| 2023 | 10.00 | 52.03 | 5.20 | + |
| 2024 | 18.74 | 1.06 | 0.06 | - |
| 2025 | 19.39 | 2.26 | 0.12 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2025-12-30 | -54.18 | 1531 |
| 2020-01-21 | 2020-11-18 | -34.16 | 302 |
| 2018-10-04 | 2019-01-21 | -7.56 | 109 |
| 2021-01-15 | 2021-03-11 | -6.27 | 55 |
| 2019-07-05 | 2019-09-03 | -5.61 | 60 |
| 2019-11-08 | 2019-12-18 | -4.72 | 40 |
| 2019-09-17 | 2019-10-23 | -4.54 | 36 |
| 2021-07-08 | 2021-08-10 | -4.16 | 33 |
| 2019-02-06 | 2019-04-09 | -4.00 | 62 |
| 2021-03-16 | 2021-04-16 | -3.86 | 31 |