| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 52.84% | 25.02% |
| CAGR﹪ | 17.48% | 8.85% |
| Sharpe | 10.18 | 23.45 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 6.54 | 15.07 |
| Sortino | 24.76 | 156.73 |
| Smart Sortino | 15.91 | 100.72 |
| Sortino/√2 | 17.51 | 110.82 |
| Smart Sortino/√2 | 11.25 | 71.22 |
| Omega | 5.67 | 5.67 |
| Max Drawdown | -0.28% | -0.4% |
| Longest DD Days | 7 | 63 |
| Volatility (ann.) | 1.57% | 0.36% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.3 | 0.3 |
| Calmar | 62.41 | 22.13 |
| Skew | 0.08 | 0.74 |
| Kurtosis | 0.85 | 1.31 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.33% | 0.7% |
| Expected Yearly | 11.19% | 5.74% |
| Kelly Criterion | 49.37% | 95.18% |
| 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 | 4.67 | 55.73 |
| Gain/Pain (1M) | - | 55.73 |
| Payoff Ratio | 0.67 | 1.87 |
| Profit Factor | 5.67 | 56.73 |
| Common Sense Ratio | 13.94 | 590.7 |
| CPC Index | 3.02 | 102.99 |
| Tail Ratio | 2.46 | 10.41 |
| Outlier Win Ratio | 2.12 | 5.8 |
| Outlier Loss Ratio | 1.45 | 5.28 |
| MTD | 1.21% | 1.81% |
| 3M | 3.87% | 3.84% |
| 6M | 7.98% | 5.05% |
| YTD | 2.23% | 3.46% |
| 1Y | 18.57% | 7.15% |
| 3Y (ann.) | 17.48% | 8.85% |
| 5Y (ann.) | 17.48% | 8.85% |
| 10Y (ann.) | 17.48% | 8.85% |
| All-time (ann.) | 17.48% | 8.85% |
| Best Day | 0.38% | 0.09% |
| Worst Day | -0.28% | -0.02% |
| Best Month | 1.85% | 1.81% |
| Worst Month | 0.29% | -0.4% |
| Best Year | 19.38% | 9.51% |
| Worst Year | 2.23% | 3.46% |
| Avg. Drawdown | -0.08% | -0.4% |
| Avg. Drawdown Days | 2 | 63 |
| Recovery Factor | 188.61 | 62.54 |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 1333.17 | 82.27 |
| Avg. Up Month | 1.34% | 0.74% |
| Avg. Down Month | - | - |
| Win Days | 79.72% | 96.86% |
| Win Month | 100.0% | 96.88% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.03 | - |
| Alpha | 0.16 | - |
| Correlation | 0.61% | - |
| Treynor Ratio | 1988.6% | - |
| 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 | 3.46 | 2.23 | 0.64 | - |
| 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 |