Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 7.0% | 7.0% |
Time in Market | 97.0% | 100.0% |
Cumulative Return | 44.62% | 44.74% |
CAGR﹪ | 17.85% | 17.89% |
Sharpe | 5.72 | 14.45 |
Prob. Sharpe Ratio | 100.0% | - |
Smart Sharpe | 3.69 | 9.34 |
Sortino | 11.09 | 208.23 |
Smart Sortino | 7.17 | 134.57 |
Sortino/√2 | 7.84 | 147.24 |
Smart Sortino/√2 | 5.07 | 95.16 |
Omega | 2.65 | 2.65 |
Max Drawdown | -0.28% | - |
Longest DD Days | - | - |
Volatility (ann.) | 1.65% | 0.65% |
R^2 | 0.01 | 0.01 |
Information Ratio | -0.0 | -0.0 |
Calmar | 63.71 | - |
Skew | 0.06 | 1.57 |
Kurtosis | 0.6 | 1.5 |
Expected Daily | 0.06% | 0.06% |
Expected Monthly | 1.33% | 1.33% |
Expected Yearly | 13.09% | 13.12% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -0.11% | -0.0% |
Expected Shortfall (cVaR) | -0.11% | -0.0% |
Max Consecutive Wins | 25 | 257 |
Max Consecutive Losses | 2 | 0 |
Gain/Pain Ratio | 4.25 | - |
Gain/Pain (1M) | - | - |
Payoff Ratio | - | - |
Profit Factor | 5.25 | - |
Common Sense Ratio | 12.31 | - |
CPC Index | - | - |
Tail Ratio | 2.35 | 5.42 |
Outlier Win Ratio | 2.45 | 3.84 |
Outlier Loss Ratio | 1.28 | - |
MTD | 0.73% | 0.88% |
3M | 3.86% | 4.31% |
6M | 9.11% | 9.41% |
YTD | 15.76% | 16.13% |
1Y | 20.55% | 20.72% |
3Y (ann.) | 17.85% | 17.89% |
5Y (ann.) | 17.85% | 17.89% |
10Y (ann.) | 17.85% | 17.89% |
All-time (ann.) | 17.85% | 17.89% |
Best Day | 0.38% | 0.22% |
Worst Day | -0.28% | 0.0% |
Best Month | 1.85% | 1.78% |
Worst Month | 0.05% | 0.17% |
Best Year | 18.23% | 18.14% |
Worst Year | 5.67% | 5.5% |
Avg. Drawdown | -0.08% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | 159.29 | - |
Ulcer Index | 0.0 | 0.0 |
Serenity Index | 880.39 | - |
Avg. Up Month | 1.33% | 1.33% |
Avg. Down Month | - | - |
Win Days | 77.84% | 100.0% |
Win Month | 100.0% | 100.0% |
Win Quarter | 100.0% | 100.0% |
Win Year | 100.0% | 100.0% |
Beta | -0.27 | - |
Alpha | 0.21 | - |
Correlation | -10.65% | - |
Treynor Ratio | -140.12% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2023 | 5.50 | 5.67 | 1.03 | + |
2024 | 18.14 | 18.23 | 1.00 | + |
2025 | 16.13 | 15.76 | 0.98 | - |
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 |