| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 89.5% | 55.61% |
| CAGR﹪ | 18.51% | 12.46% |
| Sharpe | 0.87 | 23.75 |
| Prob. Sharpe Ratio | 92.07% | 99.98% |
| Smart Sharpe | 0.83 | 22.42 |
| Sortino | 1.14 | - |
| Smart Sortino | 1.08 | - |
| Sortino/√2 | 0.81 | - |
| Smart Sortino/√2 | 0.76 | - |
| Omega | 1.2 | 1.2 |
| Max Drawdown | -36.95% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 24.65% | 0.53% |
| R^2 | 0.19 | 0.19 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.5 | - |
| Skew | -4.93 | 13.77 |
| Kurtosis | 92.19 | 312.22 |
| Expected Daily | 0.07% | 0.05% |
| Expected Monthly | 1.46% | 1.01% |
| Expected Yearly | 13.64% | 9.25% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.47% | -0.01% |
| Expected Shortfall (cVaR) | -2.47% | -0.01% |
| Max Consecutive Wins | 9 | 878 |
| Max Consecutive Losses | 9 | 0 |
| Gain/Pain Ratio | 0.2 | - |
| Gain/Pain (1M) | 1.01 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.2 | - |
| Common Sense Ratio | 1.3 | - |
| CPC Index | - | - |
| Tail Ratio | 1.08 | 3.49 |
| Outlier Win Ratio | 2.25 | 40.02 |
| Outlier Loss Ratio | 1.73 | - |
| MTD | -4.16% | 1.63% |
| 3M | -0.0% | 5.14% |
| 6M | -8.96% | 10.76% |
| YTD | -4.43% | 8.79% |
| 1Y | 20.89% | 21.58% |
| 3Y (ann.) | 38.8% | 14.18% |
| 5Y (ann.) | 18.51% | 12.46% |
| 10Y (ann.) | 18.51% | 12.46% |
| All-time (ann.) | 18.51% | 12.46% |
| Best Day | 9.11% | 0.82% |
| Worst Day | -25.97% | 0.0% |
| Best Month | 19.21% | 1.83% |
| Worst Month | -25.97% | 0.41% |
| Best Year | 43.2% | 18.74% |
| Worst Year | -4.77% | 2.77% |
| Avg. Drawdown | -3.97% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 2.42 | - |
| Ulcer Index | 0.14 | 0.0 |
| Serenity Index | 0.4 | - |
| Avg. Up Month | 5.4% | 1.01% |
| Avg. Down Month | - | - |
| Win Days | 55.27% | 100.0% |
| Win Month | 63.64% | 100.0% |
| Win Quarter | 68.75% | 100.0% |
| Win Year | 60.0% | 100.0% |
| Beta | -20.33 | - |
| Alpha | 2.79 | - |
| Correlation | -44.06% | - |
| Treynor Ratio | -4.4% | - |
| 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 | 8.79 | -4.43 | -0.50 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-25 | 2023-03-30 | -36.95 | 398 |
| 2024-04-15 | 2024-08-29 | -13.04 | 136 |
| 2024-11-29 | 2025-05-30 | -10.74 | 182 |
| 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 |
| 2022-01-27 | 2022-02-17 | -5.68 | 21 |
| 2021-11-17 | 2022-01-05 | -5.04 | 49 |