| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 83.52% | 97.51% |
| CAGR﹪ | 9.67% | 10.9% |
| Sharpe | 1.25 | 31.03 |
| Prob. Sharpe Ratio | 99.29% | - |
| Smart Sharpe | 0.86 | 21.38 |
| Sortino | 1.72 | - |
| Smart Sortino | 1.19 | - |
| Sortino/√2 | 1.22 | - |
| Smart Sortino/√2 | 0.84 | - |
| Omega | 1.4 | 1.4 |
| Max Drawdown | -14.75% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 7.65% | 0.34% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.66 | - |
| Skew | -4.02 | 0.63 |
| Kurtosis | 249.35 | -0.89 |
| Expected Daily | 0.04% | 0.04% |
| Expected Monthly | 0.77% | 0.87% |
| Expected Yearly | 7.89% | 8.88% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.75% | -0.01% |
| Expected Shortfall (cVaR) | -0.75% | -0.01% |
| Max Consecutive Wins | 16 | 1647 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | 0.4 | - |
| Gain/Pain (1M) | 3.26 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.4 | - |
| Common Sense Ratio | 1.74 | - |
| CPC Index | - | - |
| Tail Ratio | 1.24 | 4.7 |
| Outlier Win Ratio | 2.23 | 12.23 |
| Outlier Loss Ratio | 1.9 | - |
| MTD | 0.07% | 0.12% |
| 3M | 5.16% | 3.69% |
| 6M | 10.75% | 7.62% |
| YTD | 5.16% | 3.69% |
| 1Y | 23.31% | 17.37% |
| 3Y (ann.) | 12.99% | 16.83% |
| 5Y (ann.) | 10.62% | 12.89% |
| 10Y (ann.) | 9.67% | 10.9% |
| All-time (ann.) | 9.67% | 10.9% |
| Best Day | 8.83% | 0.09% |
| Worst Day | -11.2% | 0.0% |
| Best Month | 4.85% | 1.83% |
| Worst Month | -6.05% | 0.12% |
| Best Year | 26.32% | 19.38% |
| Worst Year | 1.48% | 2.08% |
| Avg. Drawdown | -0.46% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 5.66 | - |
| Ulcer Index | 0.01 | 0.0 |
| Serenity Index | 11.88 | - |
| Avg. Up Month | 1.39% | 0.88% |
| Avg. Down Month | - | - |
| Win Days | 57.45% | 100.0% |
| Win Month | 74.68% | 100.0% |
| Win Quarter | 85.71% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.86 | - |
| Alpha | 0.01 | - |
| Correlation | 3.77% | - |
| Treynor Ratio | 97.26% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 2.08 | 6.08 | 2.92 | + |
| 2020 | 4.97 | 5.22 | 1.05 | + |
| 2021 | 5.82 | 1.48 | 0.26 | - |
| 2022 | 7.74 | 10.37 | 1.34 | + |
| 2023 | 10.00 | 2.93 | 0.29 | - |
| 2024 | 18.74 | 7.36 | 0.39 | - |
| 2025 | 19.38 | 26.32 | 1.36 | + |
| 2026 | 3.69 | 5.16 | 1.40 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-06 | 2022-06-03 | -14.75 | 148 |
| 2020-02-21 | 2020-04-30 | -5.36 | 69 |
| 2024-08-13 | 2024-12-24 | -5.19 | 133 |
| 2022-09-20 | 2022-10-21 | -4.78 | 31 |
| 2023-08-04 | 2024-02-13 | -3.74 | 193 |
| 2024-05-10 | 2024-08-07 | -2.41 | 89 |
| 2021-08-31 | 2021-12-29 | -1.78 | 120 |
| 2025-09-09 | 2025-10-22 | -1.73 | 43 |
| 2025-01-15 | 2025-01-21 | -1.37 | 6 |
| 2025-03-25 | 2025-04-17 | -1.30 | 23 |