| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 36.04% | 14.99% |
| CAGR﹪ | 19.22% | 8.3% |
| Sharpe | 13.85 | 18.61 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 10.1 | 13.57 |
| Sortino | 26.88 | 120.21 |
| Smart Sortino | 19.6 | 87.69 |
| Sortino/√2 | 19.0 | 85.0 |
| Smart Sortino/√2 | 13.86 | 62.0 |
| Omega | 25.01 | 25.01 |
| Max Drawdown | -0.72% | -0.4% |
| Longest DD Days | 16 | 63 |
| Volatility (ann.) | 1.26% | 0.43% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.45 | 0.45 |
| Calmar | 26.65 | 20.76 |
| Skew | -0.55 | 1.44 |
| Kurtosis | 43.2 | 3.76 |
| Expected Daily | 0.07% | 0.03% |
| Expected Monthly | 1.41% | 0.64% |
| Expected Yearly | 10.81% | 4.77% |
| Kelly Criterion | 97.68% | 92.54% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.06% | -0.01% |
| Expected Shortfall (cVaR) | -0.06% | -0.01% |
| Max Consecutive Wins | 213 | 262 |
| Max Consecutive Losses | 1 | 21 |
| Gain/Pain Ratio | 24.01 | 34.86 |
| Gain/Pain (1M) | - | 34.86 |
| Payoff Ratio | 9.29 | 1.74 |
| Profit Factor | 25.01 | 35.86 |
| Common Sense Ratio | - | 373.4 |
| CPC Index | 227.47 | 59.29 |
| Tail Ratio | - | 10.41 |
| Outlier Win Ratio | 2.49 | 5.42 |
| Outlier Loss Ratio | 0.1 | 0.71 |
| MTD | 0.84% | 0.44% |
| 3M | 3.65% | 2.36% |
| 6M | 7.84% | 4.37% |
| YTD | 4.41% | 3.42% |
| 1Y | 18.17% | 6.04% |
| 3Y (ann.) | 19.22% | 8.3% |
| 5Y (ann.) | 19.22% | 8.3% |
| 10Y (ann.) | 19.22% | 8.3% |
| All-time (ann.) | 19.22% | 8.3% |
| Best Day | 0.8% | 0.14% |
| Worst Day | -0.72% | -0.02% |
| Best Month | 1.8% | 1.62% |
| Worst Month | 0.43% | -0.4% |
| Best Year | 20.2% | 5.6% |
| Worst Year | 4.41% | 3.42% |
| Avg. Drawdown | -0.14% | -0.4% |
| Avg. Drawdown Days | 4 | 63 |
| Recovery Factor | 49.97 | 37.47 |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 242.03 | 38.21 |
| Avg. Up Month | 1.41% | 0.69% |
| Avg. Down Month | - | - |
| Win Days | 97.91% | 95.27% |
| Win Month | 100.0% | 95.45% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.02 | - |
| Alpha | 0.17 | - |
| Correlation | 0.8% | - |
| Treynor Ratio | 1520.26% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 5.28 | 8.40 | 1.59 | + |
| 2025 | 5.60 | 20.20 | 3.61 | + |
| 2026 | 3.42 | 4.41 | 1.29 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-07-30 | 2024-08-15 | -0.72 | 16 |
| 2026-01-14 | 2026-01-26 | -0.47 | 12 |
| 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 |
| 2025-12-23 | 2025-12-24 | -0.01 | 1 |
| 2026-01-29 | 2026-02-02 | -0.01 | 4 |