| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 34.43% | 36.64% |
| CAGR﹪ | 17.38% | 18.42% |
| Sharpe | 10.6 | 50.91 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 6.93 | 33.29 |
| Sortino | 26.57 | - |
| Smart Sortino | 17.38 | - |
| Sortino/√2 | 18.79 | - |
| Smart Sortino/√2 | 12.29 | - |
| Omega | 6.14 | 6.14 |
| Max Drawdown | -0.28% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 1.49% | 0.33% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 62.04 | - |
| Skew | 0.07 | 1.88 |
| Kurtosis | 0.9 | 7.94 |
| Expected Daily | 0.06% | 0.07% |
| Expected Monthly | 1.29% | 1.37% |
| Expected Yearly | 10.37% | 10.97% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.09% | -0.03% |
| Expected Shortfall (cVaR) | -0.09% | -0.03% |
| Max Consecutive Wins | 25 | 471 |
| Max Consecutive Losses | 2 | 0 |
| Gain/Pain Ratio | 5.14 | - |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | - | - |
| Profit Factor | 6.14 | - |
| Common Sense Ratio | 16.99 | - |
| CPC Index | - | - |
| Tail Ratio | 2.77 | 2.41 |
| Outlier Win Ratio | 2.54 | 3.57 |
| Outlier Loss Ratio | 1.16 | - |
| MTD | 0.58% | 1.63% |
| 3M | 4.85% | 5.97% |
| 6M | 10.17% | 11.73% |
| YTD | 7.35% | 8.8% |
| 1Y | 20.02% | 22.32% |
| 3Y (ann.) | 17.38% | 18.42% |
| 5Y (ann.) | 17.38% | 18.42% |
| 10Y (ann.) | 17.38% | 18.42% |
| All-time (ann.) | 17.38% | 18.42% |
| Best Day | 0.36% | 0.16% |
| Worst Day | -0.28% | 0.0% |
| Best Month | 1.85% | 1.83% |
| Worst Month | 0.29% | 0.63% |
| Best Year | 18.23% | 18.74% |
| Worst Year | 5.92% | 5.77% |
| Avg. Drawdown | -0.07% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 122.92 | - |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 1051.89 | - |
| Avg. Up Month | 1.3% | 1.37% |
| Avg. Down Month | - | - |
| Win Days | 79.91% | 100.0% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.42 | - |
| Alpha | 0.09 | - |
| Correlation | 9.29% | - |
| Treynor Ratio | 81.38% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 5.77 | 5.92 | 1.03 | + |
| 2024 | 18.74 | 18.23 | 0.97 | - |
| 2025 | 8.80 | 7.35 | 0.84 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-04-07 | 2025-04-08 | -0.28 | 1 |
| 2025-02-04 | 2025-02-07 | -0.24 | 3 |
| 2025-04-21 | 2025-04-23 | -0.21 | 2 |
| 2024-12-25 | 2024-12-26 | -0.19 | 1 |
| 2025-01-20 | 2025-01-22 | -0.19 | 2 |
| 2025-02-17 | 2025-02-20 | -0.18 | 3 |
| 2025-04-09 | 2025-04-11 | -0.17 | 2 |
| 2025-03-04 | 2025-03-07 | -0.17 | 3 |
| 2023-08-07 | 2023-08-09 | -0.17 | 2 |
| 2023-08-14 | 2023-08-15 | -0.16 | 1 |