| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | 24.4% | 61.52% |
| CAGR﹪ | 4.99% | 11.29% |
| Sharpe | 0.62 | 20.76 |
| Prob. Sharpe Ratio | 89.49% | 100.0% |
| Smart Sharpe | 0.45 | 14.9 |
| Sortino | 0.89 | - |
| Smart Sortino | 0.64 | - |
| Sortino/√2 | 0.63 | - |
| Smart Sortino/√2 | 0.45 | - |
| Omega | 1.12 | 1.12 |
| Max Drawdown | -9.84% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 9.07% | 0.55% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.51 | - |
| Skew | -0.57 | 7.29 |
| Kurtosis | 10.56 | 91.82 |
| Expected Daily | 0.02% | 0.05% |
| Expected Monthly | 0.4% | 0.88% |
| Expected Yearly | 3.71% | 8.32% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.92% | -0.01% |
| Expected Shortfall (cVaR) | -0.92% | -0.01% |
| Max Consecutive Wins | 7 | 1053 |
| Max Consecutive Losses | 5 | 0 |
| Gain/Pain Ratio | 0.12 | - |
| Gain/Pain (1M) | 0.96 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.12 | - |
| Common Sense Ratio | 1.24 | - |
| CPC Index | - | - |
| Tail Ratio | 1.11 | 5.26 |
| Outlier Win Ratio | 2.19 | 17.67 |
| Outlier Loss Ratio | 1.48 | - |
| MTD | 2.93% | 1.73% |
| 3M | 13.22% | 6.12% |
| 6M | 14.41% | 11.71% |
| YTD | 6.95% | 5.35% |
| 1Y | 12.35% | 21.23% |
| 3Y (ann.) | 8.88% | 13.67% |
| 5Y (ann.) | 4.99% | 11.29% |
| 10Y (ann.) | 4.99% | 11.29% |
| All-time (ann.) | 4.99% | 11.29% |
| Best Day | 3.13% | 0.51% |
| Worst Day | -5.57% | 0.0% |
| Best Month | 7.42% | 1.83% |
| Worst Month | -7.25% | 0.27% |
| Best Year | 8.15% | 18.74% |
| Worst Year | -0.8% | 1.39% |
| Avg. Drawdown | -0.95% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 2.48 | - |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 2.34 | - |
| Avg. Up Month | 1.6% | 0.92% |
| Avg. Down Month | - | - |
| Win Days | 52.79% | 100.0% |
| Win Month | 54.55% | 100.0% |
| Win Quarter | 57.89% | 100.0% |
| Win Year | 83.33% | 100.0% |
| Beta | 1.88 | - |
| Alpha | -0.16 | - |
| Correlation | 11.46% | - |
| Treynor Ratio | 12.96% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 1.39 | 1.07 | 0.77 | - |
| 2021 | 5.82 | -0.80 | -0.14 | - |
| 2022 | 9.41 | 8.15 | 0.87 | - |
| 2023 | 10.00 | 3.22 | 0.32 | - |
| 2024 | 18.74 | 3.92 | 0.21 | - |
| 2025 | 5.35 | 6.95 | 1.30 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-01-11 | 2022-06-06 | -9.84 | 511 |
| 2023-07-11 | 2024-12-20 | -4.77 | 528 |
| 2022-09-19 | 2022-11-16 | -4.26 | 58 |
| 2025-01-22 | 2025-01-30 | -1.51 | 8 |
| 2023-01-09 | 2023-01-31 | -1.50 | 22 |
| 2023-02-02 | 2023-03-02 | -1.46 | 28 |
| 2022-12-01 | 2022-12-13 | -1.38 | 12 |
| 2024-12-28 | 2025-01-16 | -1.32 | 19 |
| 2022-12-15 | 2023-01-03 | -1.28 | 19 |
| 2025-02-17 | 2025-02-26 | -1.24 | 9 |