| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 44.64% | 20.38% |
| CAGR﹪ | 16.93% | 8.18% |
| Sharpe | 0.86 | 24.55 |
| Prob. Sharpe Ratio | 90.53% | 100.0% |
| Smart Sharpe | 0.85 | 24.19 |
| Sortino | 1.26 | 138.62 |
| Smart Sortino | 1.24 | 136.56 |
| Sortino/√2 | 0.89 | 98.02 |
| Smart Sortino/√2 | 0.88 | 96.56 |
| Omega | 1.17 | 1.17 |
| Max Drawdown | -28.92% | -0.4% |
| Longest DD Days | 380 | 63 |
| Volatility (ann.) | 20.72% | 0.32% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.59 | 20.45 |
| Skew | -0.15 | 0.35 |
| Kurtosis | 8.66 | 0.63 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.28% | 0.64% |
| Expected Yearly | 9.67% | 4.75% |
| Kelly Criterion | 19.81% | 94.41% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.08% | -0.0% |
| Expected Shortfall (cVaR) | -2.08% | -0.0% |
| Max Consecutive Wins | 7 | 407 |
| Max Consecutive Losses | 9 | 21 |
| Gain/Pain Ratio | 0.17 | 46.28 |
| Gain/Pain (1M) | 0.92 | 46.28 |
| Payoff Ratio | 1.54 | 1.76 |
| Profit Factor | 1.17 | 47.28 |
| Common Sense Ratio | 1.29 | 369.73 |
| CPC Index | 0.92 | 80.45 |
| Tail Ratio | 1.11 | 7.82 |
| Outlier Win Ratio | 1.67 | 47.94 |
| Outlier Loss Ratio | 1.91 | 87.18 |
| MTD | 6.69% | 0.41% |
| 3M | 7.04% | 2.32% |
| 6M | 13.66% | 4.34% |
| YTD | 13.54% | 3.4% |
| 1Y | 44.15% | 6.02% |
| 3Y (ann.) | 16.93% | 8.18% |
| 5Y (ann.) | 16.93% | 8.18% |
| 10Y (ann.) | 16.93% | 8.18% |
| All-time (ann.) | 16.93% | 8.18% |
| Best Day | 8.86% | 0.08% |
| Worst Day | -9.07% | -0.02% |
| Best Month | 11.31% | 1.62% |
| Worst Month | -9.11% | -0.4% |
| Best Year | 15.59% | 9.51% |
| Worst Year | 4.47% | 0.67% |
| Avg. Drawdown | -3.87% | -0.4% |
| Avg. Drawdown Days | 36 | 63 |
| Recovery Factor | 1.54 | 50.94 |
| Ulcer Index | 0.08 | 0.0 |
| Serenity Index | 0.46 | 54.3 |
| Avg. Up Month | 5.33% | 0.74% |
| Avg. Down Month | - | - |
| Win Days | 51.44% | 96.43% |
| Win Month | 55.17% | 96.55% |
| Win Quarter | 72.73% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 1.01 | - |
| Alpha | 0.1 | - |
| Correlation | 1.57% | - |
| Treynor Ratio | 44.14% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 0.67 | 4.47 | 6.69 | + |
| 2024 | 9.51 | 15.59 | 1.64 | + |
| 2025 | 5.60 | 5.49 | 0.98 | - |
| 2026 | 3.40 | 13.54 | 3.99 | + |
| 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 |
| 2026-02-09 | 2026-04-16 | -6.60 | 66 |
| 2025-12-12 | 2026-02-04 | -6.33 | 54 |
| 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 |