| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 31.6% | 44.02% |
| CAGR﹪ | 14.06% | 19.09% |
| Sharpe | 0.73 | 89.84 |
| Prob. Sharpe Ratio | 85.11% | 100.0% |
| Smart Sharpe | 0.73 | 89.66 |
| Sortino | 1.06 | - |
| Smart Sortino | 1.05 | - |
| Sortino/√2 | 0.75 | - |
| Smart Sortino/√2 | 0.74 | - |
| Omega | 1.14 | 1.14 |
| Max Drawdown | -28.92% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 21.34% | 0.2% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.49 | - |
| Skew | -0.15 | 0.31 |
| Kurtosis | 8.61 | 1.21 |
| Expected Daily | 0.05% | 0.07% |
| Expected Monthly | 1.06% | 1.41% |
| Expected Yearly | 7.11% | 9.55% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.15% | -0.05% |
| Expected Shortfall (cVaR) | -2.15% | -0.05% |
| Max Consecutive Wins | 7 | 521 |
| Max Consecutive Losses | 9 | 0 |
| Gain/Pain Ratio | 0.14 | - |
| Gain/Pain (1M) | 0.71 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.14 | - |
| Common Sense Ratio | 1.19 | - |
| CPC Index | - | - |
| Tail Ratio | 1.04 | 1.62 |
| Outlier Win Ratio | 1.73 | 24.36 |
| Outlier Loss Ratio | 1.89 | - |
| MTD | 3.3% | 0.46% |
| 3M | 5.61% | 3.93% |
| 6M | 6.14% | 8.06% |
| YTD | 3.3% | 0.46% |
| 1Y | 8.86% | 19.3% |
| 3Y (ann.) | 14.06% | 19.09% |
| 5Y (ann.) | 14.06% | 19.09% |
| 10Y (ann.) | 14.06% | 19.09% |
| All-time (ann.) | 14.06% | 19.09% |
| Best Day | 8.86% | 0.1% |
| Worst Day | -9.07% | 0.0% |
| Best Month | 11.31% | 1.83% |
| Worst Month | -9.11% | 0.46% |
| Best Year | 15.59% | 19.39% |
| Worst Year | 3.3% | 0.46% |
| Avg. Drawdown | -3.92% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 1.09 | - |
| Ulcer Index | 0.09 | 0.0 |
| Serenity Index | 0.3 | - |
| Avg. Up Month | 5.59% | 1.36% |
| Avg. Down Month | - | - |
| Win Days | 50.67% | 100.0% |
| Win Month | 53.85% | 100.0% |
| Win Quarter | 70.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.24 | - |
| Alpha | 0.11 | - |
| Correlation | 0.22% | - |
| Treynor Ratio | 130.52% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 1.13 | 4.47 | 3.97 | + |
| 2024 | 18.74 | 15.59 | 0.83 | - |
| 2025 | 19.39 | 5.49 | 0.28 | - |
| 2026 | 0.46 | 3.30 | 7.16 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-11-26 | 2025-12-11 | -28.92 | 380 |
| 2024-08-01 | 2024-10-11 | -9.67 | 71 |
| 2024-04-01 | 2024-07-16 | -7.15 | 106 |
| 2025-12-12 | 2026-01-13 | -6.33 | 32 |
| 2023-12-27 | 2024-02-12 | -5.31 | 47 |
| 2024-10-18 | 2024-11-06 | -4.01 | 19 |
| 2024-07-17 | 2024-07-25 | -2.53 | 8 |
| 2024-02-13 | 2024-02-15 | -2.29 | 2 |
| 2024-11-12 | 2024-11-20 | -2.00 | 8 |
| 2024-02-16 | 2024-02-23 | -1.73 | 7 |