| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 53.62% | 26.2% |
| CAGR﹪ | 17.44% | 9.1% |
| Sharpe | 10.22 | 23.05 |
| Prob. Sharpe Ratio | 100.0% | - |
| Smart Sharpe | 6.57 | 14.82 |
| Sortino | 24.87 | 162.16 |
| Smart Sortino | 15.99 | 104.27 |
| Sortino/√2 | 17.59 | 114.66 |
| Smart Sortino/√2 | 11.31 | 73.73 |
| Omega | 5.73 | 5.73 |
| Max Drawdown | -0.28% | -0.4% |
| Longest DD Days | 7 | 63 |
| Volatility (ann.) | 1.56% | 0.37% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.29 | 0.29 |
| Calmar | 62.24 | 22.76 |
| Skew | 0.09 | 0.78 |
| Kurtosis | 0.89 | 1.1 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.31% | 0.71% |
| Expected Yearly | 11.33% | 5.99% |
| Kelly Criterion | 49.84% | 95.3% |
| 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 | 4.73 | 58.09 |
| Gain/Pain (1M) | - | 58.09 |
| Payoff Ratio | 0.66 | 1.93 |
| Profit Factor | 5.73 | 59.09 |
| Common Sense Ratio | 14.11 | 615.27 |
| CPC Index | 3.04 | 110.44 |
| Tail Ratio | 2.46 | 10.41 |
| Outlier Win Ratio | 2.14 | 5.65 |
| Outlier Loss Ratio | 1.45 | 5.25 |
| MTD | 0.52% | 0.95% |
| 3M | 3.71% | 4.63% |
| 6M | 7.69% | 5.94% |
| YTD | 2.76% | 4.44% |
| 1Y | 18.41% | 7.81% |
| 3Y (ann.) | 17.44% | 9.1% |
| 5Y (ann.) | 17.44% | 9.1% |
| 10Y (ann.) | 17.44% | 9.1% |
| All-time (ann.) | 17.44% | 9.1% |
| 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 | 2.76% | 4.44% |
| Avg. Drawdown | -0.08% | -0.4% |
| Avg. Drawdown Days | 2 | 63 |
| Recovery Factor | 191.42 | 65.51 |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 1365.11 | 91.45 |
| Avg. Up Month | 1.32% | 0.74% |
| Avg. Down Month | - | - |
| Win Days | 80.0% | 96.9% |
| Win Month | 100.0% | 96.97% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.0 | - |
| Alpha | 0.16 | - |
| Correlation | 0.12% | - |
| Treynor Ratio | 11009.22% | - |
| 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 | 4.44 | 2.76 | 0.62 | - |
| 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 |