| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | 39.7% | 10.63% |
| CAGR﹪ | 27.58% | 7.64% |
| Sharpe | 2.18 | 18.6 |
| Prob. Sharpe Ratio | 99.6% | 100.0% |
| Smart Sharpe | 1.94 | 16.5 |
| Sortino | 3.68 | 97.66 |
| Smart Sortino | 3.27 | 86.62 |
| Sortino/√2 | 2.6 | 69.06 |
| Smart Sortino/√2 | 2.31 | 61.25 |
| Omega | 1.47 | 1.47 |
| Max Drawdown | -7.57% | -0.4% |
| Longest DD Days | 92 | 63 |
| Volatility (ann.) | 11.23% | 0.39% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.1 | 0.1 |
| Calmar | 3.64 | 19.1 |
| Skew | 0.43 | 0.94 |
| Kurtosis | 2.63 | 1.41 |
| Expected Daily | 0.09% | 0.03% |
| Expected Monthly | 1.99% | 0.6% |
| Expected Yearly | 11.79% | 3.43% |
| Kelly Criterion | 9.67% | 90.45% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.07% | -0.01% |
| Expected Shortfall (cVaR) | -1.07% | -0.01% |
| Max Consecutive Wins | 6 | 168 |
| Max Consecutive Losses | 5 | 21 |
| Gain/Pain Ratio | 0.47 | 25.22 |
| Gain/Pain (1M) | 6.3 | 25.22 |
| Payoff Ratio | 1.14 | 1.66 |
| Profit Factor | 1.47 | 26.22 |
| Common Sense Ratio | 2.25 | 106.03 |
| CPC Index | 0.87 | 41.01 |
| Tail Ratio | 1.54 | 4.04 |
| Outlier Win Ratio | 1.71 | 30.21 |
| Outlier Loss Ratio | 1.68 | 40.53 |
| MTD | 0.43% | 0.49% |
| 3M | 4.13% | 2.22% |
| 6M | 8.29% | 4.38% |
| YTD | 3.98% | 3.48% |
| 1Y | 20.19% | 6.06% |
| 3Y (ann.) | 27.58% | 7.64% |
| 5Y (ann.) | 27.58% | 7.64% |
| 10Y (ann.) | 27.58% | 7.64% |
| All-time (ann.) | 27.58% | 7.64% |
| Best Day | 3.34% | 0.09% |
| Worst Day | -2.54% | -0.02% |
| Best Month | 8.51% | 1.62% |
| Worst Month | -2.95% | -0.4% |
| Best Year | 23.81% | 5.6% |
| Worst Year | 3.98% | 1.24% |
| Avg. Drawdown | -1.15% | -0.4% |
| Avg. Drawdown Days | 14 | 63 |
| Recovery Factor | 5.24 | 26.59 |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 2.14 | 19.44 |
| Avg. Up Month | 3.19% | 0.58% |
| Avg. Down Month | - | - |
| Win Days | 51.81% | 94.03% |
| Win Month | 76.47% | 94.12% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.71 | - |
| Alpha | 0.19 | - |
| Correlation | 2.45% | - |
| Treynor Ratio | 55.93% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 1.24 | 8.51 | 6.86 | + |
| 2025 | 5.60 | 23.81 | 4.25 | + |
| 2026 | 3.48 | 3.98 | 1.14 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-03-20 | 2025-06-20 | -7.57 | 92 |
| 2025-09-08 | 2025-12-05 | -5.91 | 88 |
| 2025-01-03 | 2025-02-12 | -2.01 | 40 |
| 2025-08-20 | 2025-09-05 | -1.93 | 16 |
| 2025-07-04 | 2025-07-15 | -1.65 | 11 |
| 2025-12-18 | 2026-02-13 | -1.46 | 57 |
| 2025-07-29 | 2025-08-11 | -1.44 | 13 |
| 2025-02-13 | 2025-02-20 | -1.35 | 7 |
| 2026-04-23 | 2026-04-24 | -1.19 | 1 |
| 2026-03-17 | 2026-04-10 | -1.13 | 24 |