| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 88.0% | 100.0% |
| Cumulative Return | 40.94% | 55.09% |
| CAGR﹪ | 7.35% | 9.49% |
| Sharpe | 0.52 | 38.39 |
| Prob. Sharpe Ratio | 79.04% | 100.0% |
| Smart Sharpe | 0.5 | 36.4 |
| Sortino | 0.67 | - |
| Smart Sortino | 0.64 | - |
| Sortino/√2 | 0.48 | - |
| Smart Sortino/√2 | 0.45 | - |
| Omega | 1.25 | 1.25 |
| Max Drawdown | -52.16% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 35.44% | 0.37% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.14 | - |
| Skew | -7.04 | 1.52 |
| Kurtosis | 276.59 | 6.77 |
| Expected Daily | 0.04% | 0.06% |
| Expected Monthly | 0.88% | 1.13% |
| Expected Yearly | 5.89% | 7.59% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.6% | -0.02% |
| Expected Shortfall (cVaR) | -3.6% | -0.02% |
| Max Consecutive Wins | 6 | 783 |
| Max Consecutive Losses | 5 | 0 |
| Gain/Pain Ratio | 0.25 | - |
| Gain/Pain (1M) | 0.79 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.25 | - |
| Common Sense Ratio | 1.53 | - |
| CPC Index | - | - |
| Tail Ratio | 1.22 | 3.35 |
| Outlier Win Ratio | 3.09 | 32.91 |
| Outlier Loss Ratio | 2.14 | - |
| MTD | 0.79% | 1.08% |
| 3M | 2.42% | 3.47% |
| 6M | 6.23% | 6.91% |
| YTD | 10.23% | 10.44% |
| 1Y | 14.66% | 15.02% |
| 3Y (ann.) | 31.77% | 18.68% |
| 5Y (ann.) | 7.35% | 9.49% |
| 10Y (ann.) | 7.35% | 9.49% |
| All-time (ann.) | 7.35% | 9.49% |
| Best Day | 32.08% | 0.18% |
| Worst Day | -45.56% | 0.0% |
| Best Month | 31.46% | 1.83% |
| Worst Month | -51.26% | 0.5% |
| Best Year | 39.58% | 19.38% |
| Worst Year | -28.47% | 1.15% |
| Avg. Drawdown | -1.06% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.78 | - |
| Ulcer Index | 0.2 | 0.0 |
| Serenity Index | 0.12 | - |
| Avg. Up Month | 3.87% | 1.21% |
| Avg. Down Month | - | - |
| Win Days | 55.69% | 100.0% |
| Win Month | 87.18% | 100.0% |
| Win Quarter | 93.33% | 100.0% |
| Win Year | 83.33% | 100.0% |
| Beta | 7.42 | - |
| Alpha | -0.86 | - |
| Correlation | 7.69% | - |
| Treynor Ratio | 5.52% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.15 | 0.25 | 0.22 | - |
| 2022 | 5.69 | -28.47 | -5.00 | - |
| 2023 | 1.32 | 10.24 | 7.78 | + |
| 2024 | 8.61 | 39.58 | 4.60 | + |
| 2025 | 19.38 | 15.88 | 0.82 | - |
| 2026 | 10.44 | 10.23 | 0.98 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-06-15 | 2024-08-21 | -52.16 | 798 |
| 2022-01-25 | 2022-02-25 | -8.49 | 31 |
| 2021-11-29 | 2022-01-04 | -2.32 | 36 |
| 2022-01-14 | 2022-01-24 | -2.06 | 10 |
| 2022-01-06 | 2022-01-13 | -2.00 | 7 |
| 2025-07-22 | 2025-08-22 | -1.83 | 31 |
| 2026-07-08 | 2026-07-27 | -1.69 | 19 |
| 2026-07-03 | 2026-07-07 | -1.16 | 4 |
| 2026-06-09 | 2026-06-16 | -1.00 | 7 |
| 2024-10-25 | 2024-11-18 | -0.93 | 24 |