| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 49.83% | 21.08% |
| CAGR﹪ | 17.59% | 7.97% |
| Sharpe | 10.01 | 27.21 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 6.42 | 17.46 |
| Sortino | 24.2 | 137.71 |
| Smart Sortino | 15.53 | 88.37 |
| Sortino/√2 | 17.11 | 97.38 |
| Smart Sortino/√2 | 10.98 | 62.49 |
| Omega | 5.46 | 5.46 |
| Max Drawdown | -0.28% | -0.4% |
| Longest DD Days | 7 | 63 |
| Volatility (ann.) | 1.6% | 0.28% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.33 | 0.33 |
| Calmar | 62.78 | 19.91 |
| Skew | 0.07 | -0.14 |
| Kurtosis | 0.73 | 0.7 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.31% | 0.62% |
| Expected Yearly | 10.64% | 4.9% |
| Kelly Criterion | 47.88% | 94.71% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.1% | -0.0% |
| Expected Shortfall (cVaR) | -0.1% | -0.0% |
| Max Consecutive Wins | 25 | 524 |
| Max Consecutive Losses | 2 | 21 |
| Gain/Pain Ratio | 4.46 | 47.74 |
| Gain/Pain (1M) | - | 47.74 |
| Payoff Ratio | 0.68 | 1.67 |
| Profit Factor | 5.46 | 48.74 |
| Common Sense Ratio | 13.2 | 328.13 |
| CPC Index | 2.94 | 78.59 |
| Tail Ratio | 2.42 | 6.73 |
| Outlier Win Ratio | 1.94 | 5.99 |
| Outlier Loss Ratio | 1.47 | 5.37 |
| MTD | 0.22% | 0.06% |
| 3M | 3.81% | 1.34% |
| 6M | 8.09% | 1.84% |
| YTD | 0.22% | 0.06% |
| 1Y | 19.56% | 5.69% |
| 3Y (ann.) | 17.59% | 7.97% |
| 5Y (ann.) | 17.59% | 7.97% |
| 10Y (ann.) | 17.59% | 7.97% |
| All-time (ann.) | 17.59% | 7.97% |
| Best Day | 0.38% | 0.07% |
| Worst Day | -0.28% | -0.02% |
| Best Month | 1.85% | 1.43% |
| Worst Month | 0.22% | -0.4% |
| Best Year | 19.38% | 9.51% |
| Worst Year | 0.22% | 0.06% |
| Avg. Drawdown | -0.08% | -0.4% |
| Avg. Drawdown Days | 2 | 63 |
| Recovery Factor | 177.88 | 52.7 |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 1217.11 | 51.07 |
| Avg. Up Month | 1.32% | 0.65% |
| Avg. Down Month | - | - |
| Win Days | 78.86% | 96.69% |
| Win Month | 100.0% | 96.77% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.07 | - |
| Alpha | 0.15 | - |
| Correlation | 1.3% | - |
| Treynor Ratio | 667.83% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 4.48 | 5.92 | 1.32 | + |
| 2024 | 9.51 | 18.23 | 1.92 | + |
| 2025 | 5.75 | 19.38 | 3.37 | + |
| 2026 | 0.06 | 0.22 | 3.50 | + |
| 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 |