| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 89.0% | 100.0% |
| Cumulative Return | 34.27% | 47.06% |
| CAGR﹪ | 6.9% | 9.12% |
| Sharpe | 0.52 | 36.53 |
| Prob. Sharpe Ratio | 77.3% | 100.0% |
| Smart Sharpe | 0.49 | 34.71 |
| Sortino | 0.66 | - |
| Smart Sortino | 0.63 | - |
| Sortino/√2 | 0.47 | - |
| Smart Sortino/√2 | 0.45 | - |
| Omega | 1.25 | 1.25 |
| Max Drawdown | -52.16% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 38.08% | 0.39% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.13 | - |
| Skew | -6.59 | 1.31 |
| Kurtosis | 240.72 | 5.38 |
| Expected Daily | 0.04% | 0.06% |
| Expected Monthly | 0.87% | 1.14% |
| Expected Yearly | 5.03% | 6.64% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.87% | -0.02% |
| Expected Shortfall (cVaR) | -3.87% | -0.02% |
| Max Consecutive Wins | 6 | 675 |
| Max Consecutive Losses | 5 | 0 |
| Gain/Pain Ratio | 0.25 | - |
| Gain/Pain (1M) | 0.73 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.25 | - |
| Common Sense Ratio | 1.59 | - |
| CPC Index | - | - |
| Tail Ratio | 1.28 | 3.35 |
| Outlier Win Ratio | 3.02 | 34.33 |
| Outlier Loss Ratio | 1.98 | - |
| MTD | 0.46% | 1.12% |
| 3M | 4.11% | 3.75% |
| 6M | 8.47% | 7.79% |
| YTD | 5.02% | 4.71% |
| 1Y | 16.99% | 17.22% |
| 3Y (ann.) | 37.23% | 20.04% |
| 5Y (ann.) | 6.9% | 9.12% |
| 10Y (ann.) | 6.9% | 9.12% |
| All-time (ann.) | 6.9% | 9.12% |
| 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 | -1.21% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.66 | - |
| Ulcer Index | 0.21 | 0.0 |
| Serenity Index | 0.09 | - |
| Avg. Up Month | 4.37% | 1.24% |
| Avg. Down Month | - | - |
| Win Days | 55.95% | 100.0% |
| Win Month | 85.29% | 100.0% |
| Win Quarter | 92.86% | 100.0% |
| Win Year | 83.33% | 100.0% |
| Beta | 7.43 | - |
| Alpha | -0.87 | - |
| Correlation | 7.68% | - |
| Treynor Ratio | 4.61% | - |
| 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 | 4.71 | 5.02 | 1.06 | + |
| 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 |
| 2024-10-25 | 2024-11-18 | -0.93 | 24 |
| 2025-01-08 | 2025-01-27 | -0.89 | 19 |
| 2021-11-24 | 2021-11-26 | -0.88 | 2 |
| 2025-07-15 | 2025-07-21 | -0.83 | 6 |