| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 58.38% | 24.8% |
| CAGR﹪ | 17.17% | 7.94% |
| Sharpe | 10.43 | 23.73 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 6.73 | 15.32 |
| Sortino | 25.54 | 148.07 |
| Smart Sortino | 16.49 | 95.6 |
| Sortino/√2 | 18.06 | 104.7 |
| Smart Sortino/√2 | 11.66 | 67.6 |
| Omega | 6.05 | 6.05 |
| Max Drawdown | -0.28% | -0.4% |
| Longest DD Days | 7 | 63 |
| Volatility (ann.) | 1.51% | 0.32% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.33 | 0.33 |
| Calmar | 61.3 | 19.84 |
| Skew | 0.12 | 0.58 |
| Kurtosis | 1.12 | 1.46 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.29% | 0.62% |
| Expected Yearly | 12.18% | 5.7% |
| Kelly Criterion | 51.93% | 95.43% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.09% | -0.0% |
| Expected Shortfall (cVaR) | -0.09% | -0.0% |
| Max Consecutive Wins | 35 | 524 |
| Max Consecutive Losses | 2 | 21 |
| Gain/Pain Ratio | 5.05 | 55.3 |
| Gain/Pain (1M) | - | 55.3 |
| Payoff Ratio | 0.63 | 1.65 |
| Profit Factor | 6.05 | 56.3 |
| Common Sense Ratio | 15.04 | 598.74 |
| CPC Index | 3.12 | 90.47 |
| Tail Ratio | 2.49 | 10.64 |
| Outlier Win Ratio | 2.23 | 6.45 |
| Outlier Loss Ratio | 1.45 | 5.19 |
| MTD | 0.26% | 0.03% |
| 3M | 3.51% | 0.82% |
| 6M | 7.34% | 3.55% |
| YTD | 5.94% | 3.28% |
| 1Y | 16.64% | 5.28% |
| 3Y (ann.) | 17.17% | 7.94% |
| 5Y (ann.) | 17.17% | 7.94% |
| 10Y (ann.) | 17.17% | 7.94% |
| All-time (ann.) | 17.17% | 7.94% |
| Best Day | 0.38% | 0.09% |
| Worst Day | -0.28% | -0.02% |
| Best Month | 1.85% | 1.62% |
| Worst Month | 0.26% | -0.4% |
| Best Year | 19.38% | 9.51% |
| Worst Year | 5.92% | 3.28% |
| Avg. Drawdown | -0.07% | -0.4% |
| Avg. Drawdown Days | 2 | 63 |
| Recovery Factor | 208.39 | 62.0 |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 1563.77 | 80.28 |
| Avg. Up Month | 1.29% | 0.65% |
| Avg. Down Month | - | - |
| Win Days | 81.35% | 97.15% |
| Win Month | 100.0% | 97.22% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.08 | - |
| Alpha | 0.15 | - |
| Correlation | 1.64% | - |
| Treynor Ratio | 754.17% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 4.48 | 5.92 | 1.32 | + |
| 2024 | 9.51 | 18.23 | 1.92 | + |
| 2025 | 5.60 | 19.38 | 3.46 | + |
| 2026 | 3.28 | 5.94 | 1.81 | + |
| 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 |