| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 56.4% | 25.18% |
| CAGR﹪ | 17.3% | 8.34% |
| Sharpe | 10.34 | 25.69 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 6.67 | 16.56 |
| Sortino | 25.28 | 152.68 |
| Smart Sortino | 16.3 | 98.41 |
| Sortino/√2 | 17.88 | 107.96 |
| Smart Sortino/√2 | 11.52 | 69.59 |
| Omega | 5.92 | 5.92 |
| Max Drawdown | -0.28% | -0.4% |
| Longest DD Days | 7 | 63 |
| Volatility (ann.) | 1.53% | 0.31% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.32 | 0.32 |
| Calmar | 61.76 | 20.85 |
| Skew | 0.1 | 0.55 |
| Kurtosis | 1.02 | 1.89 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.32% | 0.66% |
| Expected Yearly | 11.83% | 5.77% |
| Kelly Criterion | 51.13% | 95.37% |
| 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 | 4.92 | 56.04 |
| Gain/Pain (1M) | - | 56.04 |
| Payoff Ratio | 0.65 | 1.75 |
| Profit Factor | 5.92 | 57.04 |
| Common Sense Ratio | 14.77 | 424.8 |
| CPC Index | 3.09 | 97.06 |
| Tail Ratio | 2.49 | 7.45 |
| Outlier Win Ratio | 2.19 | 6.15 |
| Outlier Loss Ratio | 1.44 | 5.19 |
| MTD | 1.18% | 0.6% |
| 3M | 3.57% | 1.94% |
| 6M | 7.57% | 4.41% |
| YTD | 4.61% | 3.59% |
| 1Y | 17.3% | 6.1% |
| 3Y (ann.) | 17.3% | 8.34% |
| 5Y (ann.) | 17.3% | 8.34% |
| 10Y (ann.) | 17.3% | 8.34% |
| All-time (ann.) | 17.3% | 8.34% |
| 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 | 4.61% | 3.59% |
| Avg. Drawdown | -0.07% | -0.4% |
| Avg. Drawdown Days | 2 | 63 |
| Recovery Factor | 201.33 | 62.94 |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 1479.75 | 76.18 |
| Avg. Up Month | 1.33% | 0.7% |
| Avg. Down Month | - | - |
| Win Days | 80.81% | 97.05% |
| Win Month | 100.0% | 97.06% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.04 | - |
| Alpha | 0.15 | - |
| Correlation | 0.85% | - |
| Treynor Ratio | 1344.24% | - |
| 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 | 3.59 | 4.61 | 1.28 | + |
| 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 |