| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 173.09% | 76.89% |
| CAGR﹪ | 24.59% | 13.29% |
| Sharpe | 1.05 | 27.11 |
| Prob. Sharpe Ratio | 96.86% | 99.99% |
| Smart Sharpe | 1.03 | 26.61 |
| Sortino | 1.38 | - |
| Smart Sortino | 1.35 | - |
| Sortino/√2 | 0.97 | - |
| Smart Sortino/√2 | 0.95 | - |
| Omega | 1.24 | 1.24 |
| Max Drawdown | -36.95% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 25.73% | 0.49% |
| R^2 | 0.14 | 0.14 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.67 | - |
| Skew | -4.26 | 14.22 |
| Kurtosis | 70.59 | 351.73 |
| Expected Daily | 0.09% | 0.05% |
| Expected Monthly | 1.88% | 1.06% |
| Expected Yearly | 18.23% | 9.97% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.56% | -0.0% |
| Expected Shortfall (cVaR) | -2.56% | -0.0% |
| Max Consecutive Wins | 9 | 1080 |
| Max Consecutive Losses | 9 | 0 |
| Gain/Pain Ratio | 0.24 | - |
| Gain/Pain (1M) | 1.35 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.24 | - |
| Common Sense Ratio | 1.42 | - |
| CPC Index | - | - |
| Tail Ratio | 1.14 | 3.49 |
| Outlier Win Ratio | 2.19 | 39.65 |
| Outlier Loss Ratio | 1.7 | - |
| MTD | -6.69% | 1.16% |
| 3M | 9.94% | 4.0% |
| 6M | 22.88% | 8.07% |
| YTD | 9.38% | 3.58% |
| 1Y | 43.01% | 18.18% |
| 3Y (ann.) | 31.32% | 16.91% |
| 5Y (ann.) | 24.59% | 13.29% |
| 10Y (ann.) | 24.59% | 13.29% |
| All-time (ann.) | 24.59% | 13.29% |
| 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 | -4.77% | 2.77% |
| Avg. Drawdown | -3.78% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 4.68 | - |
| Ulcer Index | 0.12 | 0.0 |
| Serenity Index | 0.95 | - |
| Avg. Up Month | 5.85% | 1.06% |
| Avg. Down Month | - | - |
| Win Days | 55.57% | 100.0% |
| Win Month | 64.81% | 100.0% |
| Win Quarter | 73.68% | 100.0% |
| Win Year | 83.33% | 100.0% |
| Beta | -19.41 | - |
| Alpha | 2.85 | - |
| Correlation | -37.01% | - |
| Treynor Ratio | -8.92% | - |
| 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 | 3.58 | 9.38 | 2.62 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-25 | 2023-03-30 | -36.95 | 398 |
| 2026-02-02 | 2026-03-20 | -15.30 | 46 |
| 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 |