| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 28.79% | 30.04% |
| CAGR﹪ | 20.24% | 21.09% |
| Sharpe | 14.85 | 64.45 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 10.58 | 45.93 |
| Sortino | 29.57 | - |
| Smart Sortino | 21.08 | - |
| Sortino/√2 | 20.91 | - |
| Smart Sortino/√2 | 14.9 | - |
| Omega | 32.79 | 32.79 |
| Max Drawdown | -0.72% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 1.21% | 0.29% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 28.06 | - |
| Skew | -0.47 | 3.25 |
| Kurtosis | 54.18 | 18.18 |
| Expected Daily | 0.07% | 0.07% |
| Expected Monthly | 1.42% | 1.47% |
| Expected Yearly | 13.49% | 14.04% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.05% | -0.04% |
| Expected Shortfall (cVaR) | -0.05% | -0.04% |
| Max Consecutive Wins | 213 | 353 |
| Max Consecutive Losses | 1 | 0 |
| Gain/Pain Ratio | 31.79 | - |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | - | - |
| Profit Factor | 32.79 | - |
| Common Sense Ratio | 691.69 | - |
| CPC Index | - | - |
| Tail Ratio | 21.09 | 1.6 |
| Outlier Win Ratio | 2.57 | 2.6 |
| Outlier Loss Ratio | -0.18 | - |
| MTD | 0.33% | 0.32% |
| 3M | 4.21% | 4.02% |
| 6M | 9.16% | 8.47% |
| YTD | 18.81% | 18.26% |
| 1Y | 20.62% | 20.11% |
| 3Y (ann.) | 20.24% | 21.09% |
| 5Y (ann.) | 20.24% | 21.09% |
| 10Y (ann.) | 20.24% | 21.09% |
| All-time (ann.) | 20.24% | 21.09% |
| Best Day | 0.8% | 0.18% |
| Worst Day | -0.72% | 0.0% |
| Best Month | 1.8% | 1.83% |
| Worst Month | 0.33% | 0.32% |
| Best Year | 18.81% | 18.26% |
| Worst Year | 8.4% | 9.96% |
| Avg. Drawdown | -0.13% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 39.91 | - |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 196.15 | - |
| Avg. Up Month | 1.42% | 1.47% |
| Avg. Down Month | - | - |
| Win Days | 98.26% | 100.0% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.19 | - |
| Alpha | 0.15 | - |
| Correlation | 4.49% | - |
| Treynor Ratio | 153.23% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 9.96 | 8.40 | 0.84 | - |
| 2025 | 18.26 | 18.81 | 1.03 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-07-30 | 2024-08-15 | -0.72 | 16 |
| 2025-11-06 | 2025-11-07 | -0.03 | 1 |
| 2024-09-04 | 2024-09-05 | -0.02 | 1 |
| 2025-08-13 | 2025-08-14 | -0.01 | 1 |
| 2025-09-09 | 2025-09-10 | -0.01 | 1 |
| 2025-11-24 | 2025-11-25 | -0.01 | 1 |