Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 97.0% | 100.0% |
Cumulative Return | 45.18% | 46.16% |
CAGR﹪ | 17.74% | 18.09% |
Sharpe | 9.8 | 72.21 |
Prob. Sharpe Ratio | 100.0% | - |
Smart Sharpe | 6.33 | 46.62 |
Sortino | 23.58 | - |
Smart Sortino | 15.22 | - |
Sortino/√2 | 16.67 | - |
Smart Sortino/√2 | 10.76 | - |
Omega | 5.24 | 5.24 |
Max Drawdown | -0.28% | - |
Longest DD Days | - | - |
Volatility (ann.) | 1.64% | 0.23% |
R^2 | 0.01 | 0.01 |
Information Ratio | -0.01 | -0.01 |
Calmar | 63.34 | - |
Skew | 0.06 | -0.34 |
Kurtosis | 0.61 | -0.05 |
Expected Daily | 0.06% | 0.07% |
Expected Monthly | 1.34% | 1.36% |
Expected Yearly | 13.23% | 13.49% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -0.11% | -0.04% |
Expected Shortfall (cVaR) | -0.11% | -0.04% |
Max Consecutive Wins | 25 | 583 |
Max Consecutive Losses | 2 | 0 |
Gain/Pain Ratio | 4.24 | - |
Gain/Pain (1M) | - | - |
Payoff Ratio | - | - |
Profit Factor | 5.24 | - |
Common Sense Ratio | 12.21 | - |
CPC Index | - | - |
Tail Ratio | 2.33 | 2.15 |
Outlier Win Ratio | 2.02 | 3.12 |
Outlier Loss Ratio | 1.09 | - |
MTD | 0.87% | 1.29% |
3M | 4.2% | 4.44% |
6M | 9.5% | 9.28% |
YTD | 15.93% | 16.38% |
1Y | 20.67% | 21.35% |
3Y (ann.) | 17.74% | 18.09% |
5Y (ann.) | 17.74% | 18.09% |
10Y (ann.) | 17.74% | 18.09% |
All-time (ann.) | 17.74% | 18.09% |
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 | 18.23% | 18.74% |
Worst Year | 5.92% | 5.77% |
Avg. Drawdown | -0.08% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | 161.27 | - |
Ulcer Index | 0.0 | 0.0 |
Serenity Index | 1060.65 | - |
Avg. Up Month | 1.34% | 1.37% |
Avg. Down Month | - | - |
Win Days | 78.01% | 100.0% |
Win Month | 100.0% | 100.0% |
Win Quarter | 100.0% | 100.0% |
Win Year | 100.0% | 100.0% |
Beta | 0.8 | - |
Alpha | 0.03 | - |
Correlation | 11.03% | - |
Treynor Ratio | 56.57% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2023 | 5.77 | 5.92 | 1.03 | + |
2024 | 18.74 | 18.23 | 0.97 | - |
2025 | 16.38 | 15.93 | 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 |