| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 54.01% | 24.4% |
| CAGR﹪ | 17.41% | 8.45% |
| Sharpe | 10.23 | 25.52 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 6.59 | 16.42 |
| Sortino | 24.93 | 151.57 |
| Smart Sortino | 16.04 | 97.55 |
| Sortino/√2 | 17.63 | 107.17 |
| Smart Sortino/√2 | 11.34 | 68.98 |
| Omega | 5.76 | 5.76 |
| Max Drawdown | -0.28% | -0.4% |
| Longest DD Days | 7 | 63 |
| Volatility (ann.) | 1.56% | 0.32% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.31 | 0.31 |
| Calmar | 62.16 | 21.13 |
| Skew | 0.09 | 0.48 |
| Kurtosis | 0.91 | 1.66 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.32% | 0.66% |
| Expected Yearly | 11.4% | 5.61% |
| Kelly Criterion | 50.08% | 95.2% |
| 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 | 35 | 524 |
| Max Consecutive Losses | 2 | 21 |
| Gain/Pain Ratio | 4.76 | 54.49 |
| Gain/Pain (1M) | - | 54.49 |
| Payoff Ratio | 0.66 | 1.79 |
| Profit Factor | 5.76 | 55.49 |
| Common Sense Ratio | 14.21 | 413.24 |
| CPC Index | 3.05 | 96.07 |
| Tail Ratio | 2.47 | 7.45 |
| Outlier Win Ratio | 2.15 | 6.06 |
| Outlier Loss Ratio | 1.44 | 5.24 |
| MTD | 0.77% | 0.58% |
| 3M | 3.67% | 3.06% |
| 6M | 7.64% | 4.35% |
| YTD | 3.02% | 2.95% |
| 1Y | 18.28% | 6.11% |
| 3Y (ann.) | 17.41% | 8.45% |
| 5Y (ann.) | 17.41% | 8.45% |
| 10Y (ann.) | 17.41% | 8.45% |
| All-time (ann.) | 17.41% | 8.45% |
| Best Day | 0.38% | 0.09% |
| Worst Day | -0.28% | -0.02% |
| Best Month | 1.85% | 1.62% |
| Worst Month | 0.29% | -0.4% |
| Best Year | 19.38% | 9.51% |
| Worst Year | 3.02% | 2.95% |
| Avg. Drawdown | -0.08% | -0.4% |
| Avg. Drawdown Days | 2 | 63 |
| Recovery Factor | 192.81 | 61.0 |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 1381.43 | 72.16 |
| Avg. Up Month | 1.32% | 0.7% |
| Avg. Down Month | - | - |
| Win Days | 80.15% | 96.93% |
| Win Month | 100.0% | 96.97% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.03 | - |
| Alpha | 0.16 | - |
| Correlation | 0.61% | - |
| Treynor Ratio | 1807.97% | - |
| 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 | 2.95 | 3.02 | 1.02 | + |
| 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 |