| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 57.97% | 58.67% |
| CAGR﹪ | 17.19% | 17.37% |
| Sharpe | 10.41 | 75.41 |
| Prob. Sharpe Ratio | 100.0% | - |
| Smart Sharpe | 6.72 | 48.68 |
| Sortino | 25.49 | - |
| Smart Sortino | 16.45 | - |
| Sortino/√2 | 18.02 | - |
| Smart Sortino/√2 | 11.63 | - |
| Omega | 6.02 | 6.02 |
| Max Drawdown | -0.28% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 1.51% | 0.21% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 61.37 | - |
| Skew | 0.11 | -0.03 |
| Kurtosis | 1.1 | 0.09 |
| Expected Daily | 0.06% | 0.06% |
| Expected Monthly | 1.31% | 1.33% |
| Expected Yearly | 12.11% | 12.23% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.09% | -0.04% |
| Expected Shortfall (cVaR) | -0.09% | -0.04% |
| Max Consecutive Wins | 35 | 732 |
| Max Consecutive Losses | 2 | 0 |
| Gain/Pain Ratio | 5.02 | - |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | - | - |
| Profit Factor | 6.02 | - |
| Common Sense Ratio | 14.99 | - |
| CPC Index | - | - |
| Tail Ratio | 2.49 | 2.15 |
| Outlier Win Ratio | 2.19 | 3.18 |
| Outlier Loss Ratio | 1.05 | - |
| MTD | 1.0% | 1.09% |
| 3M | 3.36% | 3.34% |
| 6M | 7.28% | 7.17% |
| YTD | 5.66% | 5.83% |
| 1Y | 16.89% | 16.33% |
| 3Y (ann.) | 17.19% | 17.37% |
| 5Y (ann.) | 17.19% | 17.37% |
| 10Y (ann.) | 17.19% | 17.37% |
| All-time (ann.) | 17.19% | 17.37% |
| Best Day | 0.38% | 0.09% |
| Worst Day | -0.28% | 0.0% |
| Best Month | 1.85% | 1.83% |
| Worst Month | 0.29% | 0.63% |
| Best Year | 19.38% | 19.38% |
| Worst Year | 5.66% | 5.77% |
| Avg. Drawdown | -0.07% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 206.93 | - |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 1546.36 | - |
| Avg. Up Month | 1.32% | 1.33% |
| Avg. Down Month | - | - |
| Win Days | 81.21% | 100.0% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.84 | - |
| Alpha | 0.02 | - |
| Correlation | 11.69% | - |
| Treynor Ratio | 69.07% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 5.77 | 5.92 | 1.03 | + |
| 2024 | 18.74 | 18.23 | 0.97 | - |
| 2025 | 19.38 | 19.38 | 1.00 | - |
| 2026 | 5.83 | 5.66 | 0.97 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-04-07 | 2025-04-08 | -0.28 | 1 |
| 2025-09-29 | 2025-09-30 | -0.28 | 1 |
| 2025-02-04 | 2025-02-07 | -0.24 | 3 |
| 2025-08-13 | 2025-08-20 | -0.24 | 7 |
| 2025-04-21 | 2025-04-23 | -0.21 | 2 |
| 2024-12-25 | 2024-12-26 | -0.19 | 1 |
| 2025-05-26 | 2025-05-29 | -0.19 | 3 |
| 2025-01-20 | 2025-01-22 | -0.19 | 2 |
| 2025-02-17 | 2025-02-20 | -0.18 | 3 |
| 2025-07-21 | 2025-07-22 | -0.18 | 1 |