| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 389.77% | 257.83% |
| CAGR﹪ | 12.69% | 10.06% |
| Sharpe | 0.72 | 36.61 |
| Prob. Sharpe Ratio | 99.53% | - |
| Smart Sharpe | 0.64 | 32.51 |
| Sortino | 1.02 | - |
| Smart Sortino | 0.91 | - |
| Sortino/√2 | 0.72 | - |
| Smart Sortino/√2 | 0.64 | - |
| Omega | 1.14 | 1.14 |
| Max Drawdown | -33.0% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 19.27% | 0.26% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.38 | - |
| Skew | -0.23 | 1.28 |
| Kurtosis | 10.94 | 1.14 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 1.0% | 0.8% |
| Expected Yearly | 12.02% | 9.53% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.94% | -0.01% |
| Expected Shortfall (cVaR) | -1.94% | -0.01% |
| Max Consecutive Wins | 12 | 3342 |
| Max Consecutive Losses | 9 | 0 |
| Gain/Pain Ratio | 0.14 | - |
| Gain/Pain (1M) | 0.84 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.14 | - |
| Common Sense Ratio | 1.14 | - |
| CPC Index | - | - |
| Tail Ratio | 1.0 | 4.1 |
| Outlier Win Ratio | 1.88 | 40.05 |
| Outlier Loss Ratio | 1.94 | - |
| MTD | -3.23% | 1.29% |
| 3M | 5.26% | 4.05% |
| 6M | 19.2% | 8.61% |
| YTD | 24.41% | 17.87% |
| 1Y | 22.95% | 20.12% |
| 3Y (ann.) | 28.01% | 15.96% |
| 5Y (ann.) | 15.07% | 12.48% |
| 10Y (ann.) | 14.08% | 9.85% |
| All-time (ann.) | 12.69% | 10.06% |
| Best Day | 11.18% | 0.09% |
| Worst Day | -12.09% | 0.0% |
| Best Month | 13.18% | 1.83% |
| Worst Month | -12.76% | 0.37% |
| Best Year | 34.14% | 18.74% |
| Worst Year | -23.98% | 4.16% |
| Avg. Drawdown | -2.6% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 11.81 | - |
| Ulcer Index | 0.08 | 0.0 |
| Serenity Index | 3.5 | - |
| Avg. Up Month | 3.73% | 0.78% |
| Avg. Down Month | - | - |
| Win Days | 54.07% | 100.0% |
| Win Month | 66.88% | 100.0% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 71.43% | 100.0% |
| Beta | 0.19 | - |
| Alpha | 0.12 | - |
| Correlation | 0.26% | - |
| Treynor Ratio | 2068.66% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2012 | 4.16 | -3.06 | -0.74 | - |
| 2013 | 9.64 | 27.69 | 2.87 | + |
| 2014 | 9.97 | 12.20 | 1.22 | + |
| 2015 | 12.30 | -8.71 | -0.71 | - |
| 2016 | 9.60 | 17.06 | 1.78 | + |
| 2017 | 7.87 | 19.00 | 2.41 | + |
| 2018 | 6.96 | -5.80 | -0.83 | - |
| 2019 | 7.22 | 30.04 | 4.16 | + |
| 2020 | 4.97 | 14.73 | 2.96 | + |
| 2021 | 5.82 | 27.05 | 4.65 | + |
| 2022 | 9.43 | -23.98 | -2.54 | - |
| 2023 | 10.00 | 34.14 | 3.41 | + |
| 2024 | 18.74 | 22.42 | 1.20 | + |
| 2025 | 17.87 | 24.41 | 1.37 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-05 | 2023-12-14 | -33.00 | 708 |
| 2020-02-13 | 2020-09-02 | -31.59 | 202 |
| 2025-02-21 | 2025-06-06 | -23.28 | 105 |
| 2015-02-25 | 2016-07-26 | -20.41 | 517 |
| 2018-10-04 | 2019-03-21 | -19.23 | 168 |
| 2019-04-24 | 2019-07-24 | -12.13 | 91 |
| 2024-07-17 | 2024-09-24 | -11.43 | 69 |
| 2020-09-03 | 2020-11-24 | -11.01 | 82 |
| 2025-10-29 | 2025-11-28 | -10.32 | 30 |
| 2018-01-29 | 2018-03-09 | -10.17 | 39 |