| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 89.0% | 100.0% |
| Cumulative Return | 33.53% | 19.89% |
| CAGR﹪ | 6.77% | 4.2% |
| Sharpe | 0.51 | 15.37 |
| Prob. Sharpe Ratio | 77.1% | 100.0% |
| Smart Sharpe | 0.49 | 14.6 |
| Sortino | 0.66 | 57.3 |
| Smart Sortino | 0.62 | 54.44 |
| Sortino/√2 | 0.46 | 40.52 |
| Smart Sortino/√2 | 0.44 | 38.49 |
| Omega | 1.24 | 1.24 |
| Max Drawdown | -52.16% | -1.25% |
| Longest DD Days | 798 | 195 |
| Volatility (ann.) | 38.14% | 0.44% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.13 | 3.34 |
| Skew | -6.58 | 0.8 |
| Kurtosis | 240.01 | 3.27 |
| Expected Daily | 0.04% | 0.03% |
| Expected Monthly | 0.85% | 0.54% |
| Expected Yearly | 4.94% | 3.07% |
| Kelly Criterion | -75.87% | 80.99% |
| 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 | 371 |
| Max Consecutive Losses | 5 | 55 |
| Gain/Pain Ratio | 0.24 | 10.91 |
| Gain/Pain (1M) | 0.72 | 10.91 |
| Payoff Ratio | 0.34 | 1.46 |
| Profit Factor | 1.24 | 11.91 |
| Common Sense Ratio | 1.58 | 38.92 |
| CPC Index | 0.23 | 15.47 |
| Tail Ratio | 1.27 | 3.27 |
| Outlier Win Ratio | 2.95 | 57.94 |
| Outlier Loss Ratio | 2.02 | 75.29 |
| MTD | -0.09% | 0.44% |
| 3M | 3.54% | 2.36% |
| 6M | 8.09% | 4.37% |
| YTD | 4.44% | 3.42% |
| 1Y | 16.85% | 6.04% |
| 3Y (ann.) | 36.92% | 8.09% |
| 5Y (ann.) | 6.77% | 4.2% |
| 10Y (ann.) | 6.77% | 4.2% |
| All-time (ann.) | 6.77% | 4.2% |
| Best Day | 32.08% | 0.16% |
| Worst Day | -45.56% | -0.03% |
| Best Month | 31.46% | 1.62% |
| Worst Month | -51.26% | -0.52% |
| Best Year | 39.58% | 5.6% |
| Worst Year | -28.47% | 1.3% |
| Avg. Drawdown | -1.21% | -0.83% |
| Avg. Drawdown Days | 16 | 129 |
| Recovery Factor | 0.64 | 15.85 |
| Ulcer Index | 0.21 | 0.0 |
| Serenity Index | 0.09 | 1.78 |
| Avg. Up Month | 4.1% | 0.68% |
| Avg. Down Month | -27.32% | -0.43% |
| Win Days | 55.8% | 88.71% |
| Win Month | 82.35% | 88.24% |
| Win Quarter | 85.71% | 85.71% |
| Win Year | 83.33% | 100.0% |
| Beta | 5.64 | - |
| Alpha | -0.19 | - |
| Correlation | 6.54% | - |
| Treynor Ratio | 5.94% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.63 | 0.25 | 0.15 | - |
| 2022 | 2.29 | -28.47 | -12.45 | - |
| 2023 | 1.30 | 10.24 | 7.85 | + |
| 2024 | 4.24 | 39.58 | 9.32 | + |
| 2025 | 5.60 | 15.88 | 2.84 | + |
| 2026 | 3.42 | 4.44 | 1.30 | + |
| 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 |