| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 115.47% | 81.48% |
| CAGR﹪ | 17.36% | 13.24% |
| Sharpe | 0.8 | 27.72 |
| Prob. Sharpe Ratio | 93.52% | 99.99% |
| Smart Sharpe | 0.78 | 27.34 |
| Sortino | 1.04 | - |
| Smart Sortino | 1.03 | - |
| Sortino/√2 | 0.74 | - |
| Smart Sortino/√2 | 0.73 | - |
| Omega | 1.18 | 1.18 |
| Max Drawdown | -36.95% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 25.76% | 0.48% |
| R^2 | 0.13 | 0.13 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.47 | - |
| Skew | -4.04 | 14.8 |
| Kurtosis | 66.45 | 377.23 |
| Expected Daily | 0.07% | 0.05% |
| Expected Monthly | 1.36% | 1.05% |
| Expected Yearly | 13.65% | 10.44% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.59% | -0.0% |
| Expected Shortfall (cVaR) | -2.59% | -0.0% |
| Max Consecutive Wins | 9 | 1137 |
| Max Consecutive Losses | 9 | 0 |
| Gain/Pain Ratio | 0.18 | - |
| Gain/Pain (1M) | 0.85 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.18 | - |
| Common Sense Ratio | 1.24 | - |
| CPC Index | - | - |
| Tail Ratio | 1.05 | 3.49 |
| Outlier Win Ratio | 2.13 | 39.19 |
| Outlier Loss Ratio | 1.68 | - |
| MTD | -7.17% | 0.43% |
| 3M | -25.11% | 3.47% |
| 6M | -9.66% | 7.2% |
| YTD | -13.7% | 6.28% |
| 1Y | 11.66% | 16.11% |
| 3Y (ann.) | 18.7% | 17.25% |
| 5Y (ann.) | 17.36% | 13.24% |
| 10Y (ann.) | 17.36% | 13.24% |
| All-time (ann.) | 17.36% | 13.24% |
| Best Day | 9.11% | 0.82% |
| Worst Day | -25.97% | 0.0% |
| Best Month | 24.03% | 1.83% |
| Worst Month | -25.97% | 0.41% |
| Best Year | 43.2% | 19.38% |
| Worst Year | -13.7% | 2.77% |
| Avg. Drawdown | -4.14% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 3.13 | - |
| Ulcer Index | 0.13 | 0.0 |
| Serenity Index | 0.59 | - |
| Avg. Up Month | 5.85% | 1.06% |
| Avg. Down Month | - | - |
| Win Days | 54.78% | 100.0% |
| Win Month | 61.4% | 100.0% |
| Win Quarter | 70.0% | 100.0% |
| Win Year | 66.67% | 100.0% |
| Beta | -19.35 | - |
| Alpha | 2.76 | - |
| Correlation | -35.78% | - |
| Treynor Ratio | -5.97% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.77 | 2.03 | 0.73 | - |
| 2022 | 6.57 | -4.77 | -0.73 | - |
| 2023 | 10.00 | 42.51 | 4.25 | + |
| 2024 | 18.74 | 43.20 | 2.31 | + |
| 2025 | 19.38 | 25.92 | 1.34 | + |
| 2026 | 6.28 | -13.70 | -2.18 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-25 | 2023-03-30 | -36.95 | 398 |
| 2026-02-02 | 2026-06-10 | -30.42 | 128 |
| 2024-04-15 | 2024-08-29 | -13.04 | 136 |
| 2024-11-29 | 2025-09-05 | -10.74 | 280 |
| 2025-10-21 | 2026-01-05 | -10.11 | 76 |
| 2023-09-08 | 2024-03-05 | -9.35 | 179 |
| 2021-09-07 | 2021-11-12 | -6.90 | 66 |
| 2023-08-14 | 2023-09-05 | -6.80 | 22 |
| 2024-10-31 | 2024-11-22 | -6.80 | 22 |
| 2023-04-14 | 2023-06-30 | -5.78 | 77 |