| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | 48.1% | 90.81% |
| CAGR﹪ | 7.33% | 12.35% |
| Sharpe | 0.9 | 24.98 |
| Prob. Sharpe Ratio | 97.87% | 100.0% |
| Smart Sharpe | 0.64 | 17.82 |
| Sortino | 1.32 | - |
| Smart Sortino | 0.94 | - |
| Sortino/√2 | 0.93 | - |
| Smart Sortino/√2 | 0.66 | - |
| Omega | 1.18 | 1.18 |
| Max Drawdown | -9.84% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 8.7% | 0.49% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.75 | - |
| Skew | -0.51 | 7.76 |
| Kurtosis | 10.03 | 114.11 |
| Expected Daily | 0.03% | 0.05% |
| Expected Monthly | 0.58% | 0.95% |
| Expected Yearly | 5.77% | 9.67% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.87% | -0.0% |
| Expected Shortfall (cVaR) | -0.87% | -0.0% |
| Max Consecutive Wins | 10 | 1330 |
| Max Consecutive Losses | 7 | 0 |
| Gain/Pain Ratio | 0.18 | - |
| Gain/Pain (1M) | 1.67 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.18 | - |
| Common Sense Ratio | 1.3 | - |
| CPC Index | - | - |
| Tail Ratio | 1.1 | 4.94 |
| Outlier Win Ratio | 2.0 | 15.03 |
| Outlier Loss Ratio | 1.47 | - |
| MTD | 0.0% | 0.67% |
| 3M | 3.96% | 3.95% |
| 6M | 9.56% | 7.84% |
| YTD | 4.58% | 4.25% |
| 1Y | 20.45% | 17.39% |
| 3Y (ann.) | 10.3% | 17.0% |
| 5Y (ann.) | 8.17% | 13.33% |
| 10Y (ann.) | 7.33% | 12.35% |
| All-time (ann.) | 7.33% | 12.35% |
| 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 | 21.75% | 19.38% |
| Worst Year | -0.8% | 1.39% |
| Avg. Drawdown | -0.8% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 4.89 | - |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 5.2 | - |
| Avg. Up Month | 1.57% | 1.02% |
| Avg. Down Month | - | - |
| Win Days | 52.5% | 100.0% |
| Win Month | 61.76% | 100.0% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 85.71% | 100.0% |
| Beta | 1.86 | - |
| Alpha | -0.15 | - |
| Correlation | 10.5% | - |
| Treynor Ratio | 25.81% | - |
| 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 | 19.38 | 21.75 | 1.12 | + |
| 2026 | 4.25 | 4.58 | 1.08 | + |
| 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 |
| 2025-03-19 | 2025-05-29 | -3.18 | 71 |
| 2025-08-25 | 2025-10-30 | -1.88 | 66 |
| 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 |
| 2025-11-14 | 2025-12-10 | -1.35 | 26 |