| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | 51.1% | 59.96% |
| CAGR﹪ | 7.6% | 8.7% |
| Sharpe | 0.93 | 4.7 |
| Prob. Sharpe Ratio | 98.3% | 100.0% |
| Smart Sharpe | 0.66 | 3.35 |
| Sortino | 1.37 | 100.4 |
| Smart Sortino | 0.97 | 71.56 |
| Sortino/√2 | 0.97 | 70.99 |
| Smart Sortino/√2 | 0.69 | 50.6 |
| Omega | 1.19 | 1.19 |
| Max Drawdown | -9.84% | -1.25% |
| Longest DD Days | 528 | 209 |
| Volatility (ann.) | 8.62% | 1.86% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.77 | 6.93 |
| Skew | -0.51 | 20.13 |
| Kurtosis | 10.19 | 418.61 |
| Expected Daily | 0.03% | 0.03% |
| Expected Monthly | 0.6% | 0.68% |
| Expected Yearly | 6.07% | 6.94% |
| Kelly Criterion | 2.51% | 91.59% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.86% | -0.16% |
| Expected Shortfall (cVaR) | -0.86% | -0.16% |
| Max Consecutive Wins | 10 | 718 |
| Max Consecutive Losses | 7 | 51 |
| Gain/Pain Ratio | 0.19 | 27.43 |
| Gain/Pain (1M) | 1.75 | 27.43 |
| Payoff Ratio | 0.95 | 1.91 |
| Profit Factor | 1.19 | 28.43 |
| Common Sense Ratio | 1.31 | 105.81 |
| CPC Index | 0.59 | 51.41 |
| Tail Ratio | 1.1 | 3.72 |
| Outlier Win Ratio | 2.0 | 19.12 |
| Outlier Loss Ratio | 1.54 | 26.07 |
| MTD | 0.53% | 0.3% |
| 3M | 5.54% | 2.14% |
| 6M | 7.87% | 4.73% |
| YTD | 6.69% | 4.13% |
| 1Y | 21.51% | 6.47% |
| 3Y (ann.) | 10.92% | 8.3% |
| 5Y (ann.) | 8.78% | 8.78% |
| 10Y (ann.) | 7.6% | 8.7% |
| All-time (ann.) | 7.6% | 8.7% |
| Best Day | 3.13% | 2.47% |
| Worst Day | -5.57% | -0.03% |
| Best Month | 7.42% | 7.61% |
| Worst Month | -7.25% | -0.52% |
| Best Year | 21.75% | 11.92% |
| Worst Year | -0.8% | 1.93% |
| Avg. Drawdown | -0.79% | -0.57% |
| Avg. Drawdown Days | 16 | 93 |
| Recovery Factor | 5.19 | 47.78 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 5.58 | 55.16 |
| Avg. Up Month | 1.56% | 0.81% |
| Avg. Down Month | -0.11% | -0.46% |
| Win Days | 52.57% | 94.48% |
| Win Month | 62.32% | 92.75% |
| Win Quarter | 66.67% | 91.67% |
| Win Year | 85.71% | 100.0% |
| Beta | 0.46 | - |
| Alpha | 0.04 | - |
| Correlation | 9.9% | - |
| Treynor Ratio | 111.01% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 1.93 | 1.07 | 0.55 | - |
| 2021 | 8.39 | -0.80 | -0.10 | - |
| 2022 | 11.92 | 8.15 | 0.68 | - |
| 2023 | 7.42 | 3.22 | 0.43 | - |
| 2024 | 9.51 | 3.92 | 0.41 | - |
| 2025 | 5.60 | 21.75 | 3.88 | + |
| 2026 | 4.13 | 6.69 | 1.62 | + |
| 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 |