| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 26.97% | 40.8% |
| CAGR﹪ | 5.99% | 8.7% |
| Sharpe | 0.79 | 23.77 |
| Prob. Sharpe Ratio | 88.09% | 100.0% |
| Smart Sharpe | 0.63 | 18.94 |
| Sortino | 1.24 | - |
| Smart Sortino | 0.99 | - |
| Sortino/√2 | 0.88 | - |
| Smart Sortino/√2 | 0.7 | - |
| Omega | 1.28 | 1.28 |
| Max Drawdown | -13.87% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 14.65% | 0.63% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.43 | - |
| Skew | 1.15 | 9.34 |
| Kurtosis | 115.09 | 130.02 |
| Expected Daily | 0.04% | 0.06% |
| Expected Monthly | 0.83% | 1.19% |
| Expected Yearly | 4.89% | 7.08% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.47% | -0.01% |
| Expected Shortfall (cVaR) | -1.47% | -0.01% |
| Max Consecutive Wins | 8 | 575 |
| Max Consecutive Losses | 7 | 0 |
| Gain/Pain Ratio | 0.28 | - |
| Gain/Pain (1M) | 1.77 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.28 | - |
| Common Sense Ratio | 1.49 | - |
| CPC Index | - | - |
| Tail Ratio | 1.16 | 3.71 |
| Outlier Win Ratio | 3.41 | 22.0 |
| Outlier Loss Ratio | 1.3 | - |
| MTD | 0.24% | 0.84% |
| 3M | 6.29% | 4.96% |
| 6M | 10.77% | 10.67% |
| YTD | 10.82% | 11.36% |
| 1Y | 17.13% | 21.92% |
| 3Y (ann.) | 17.03% | 20.73% |
| 5Y (ann.) | 5.99% | 8.7% |
| 10Y (ann.) | 5.99% | 8.7% |
| All-time (ann.) | 5.99% | 8.7% |
| Best Day | 12.35% | 0.61% |
| Worst Day | -12.19% | 0.0% |
| Best Month | 7.85% | 1.83% |
| Worst Month | -4.32% | 0.41% |
| Best Year | 11.59% | 18.74% |
| Worst Year | -2.54% | 1.23% |
| Avg. Drawdown | -0.91% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 1.94 | - |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 1.24 | - |
| Avg. Up Month | 2.07% | 1.22% |
| Avg. Down Month | - | - |
| Win Days | 52.09% | 100.0% |
| Win Month | 68.97% | 100.0% |
| Win Quarter | 75.0% | 100.0% |
| Win Year | 80.0% | 100.0% |
| Beta | 2.32 | - |
| Alpha | -0.23 | - |
| Correlation | 9.98% | - |
| Treynor Ratio | 11.62% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.77 | 2.13 | 0.56 | - |
| 2022 | 1.36 | -2.54 | -1.86 | - |
| 2023 | 1.23 | 3.16 | 2.57 | + |
| 2024 | 18.74 | 11.59 | 0.62 | - |
| 2025 | 11.36 | 10.82 | 0.95 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-06 | 2024-01-11 | -13.87 | 735 |
| 2024-04-23 | 2025-02-13 | -9.80 | 296 |
| 2025-03-21 | 2025-05-12 | -3.71 | 52 |
| 2021-10-21 | 2022-01-03 | -1.54 | 74 |
| 2024-01-15 | 2024-01-17 | -0.95 | 2 |
| 2024-01-18 | 2024-01-24 | -0.86 | 6 |
| 2025-03-11 | 2025-03-17 | -0.82 | 6 |
| 2024-02-05 | 2024-02-07 | -0.76 | 2 |
| 2021-07-06 | 2021-07-29 | -0.74 | 23 |
| 2024-01-25 | 2024-01-29 | -0.72 | 4 |