| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | 33.96% | 7.1% |
| CAGR﹪ | 29.81% | 6.31% |
| Sharpe | 2.2 | 17.75 |
| Prob. Sharpe Ratio | 99.21% | 100.0% |
| Smart Sharpe | 1.98 | 15.93 |
| Sortino | 3.7 | 73.24 |
| Smart Sortino | 3.32 | 65.76 |
| Sortino/√2 | 2.62 | 51.79 |
| Smart Sortino/√2 | 2.35 | 46.5 |
| Omega | 1.47 | 1.47 |
| Max Drawdown | -7.57% | -0.4% |
| Longest DD Days | 92 | 63 |
| Volatility (ann.) | 11.9% | 0.34% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.11 | 0.11 |
| Calmar | 3.94 | 15.78 |
| Skew | 0.4 | 0.66 |
| Kurtosis | 2.32 | 1.21 |
| Expected Daily | 0.1% | 0.02% |
| Expected Monthly | 2.11% | 0.49% |
| Expected Yearly | 10.24% | 2.31% |
| Kelly Criterion | 13.81% | 87.62% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.13% | -0.01% |
| Expected Shortfall (cVaR) | -1.13% | -0.01% |
| Max Consecutive Wins | 6 | 168 |
| Max Consecutive Losses | 5 | 21 |
| Gain/Pain Ratio | 0.47 | 17.12 |
| Gain/Pain (1M) | 5.75 | 17.12 |
| Payoff Ratio | 1.21 | 1.43 |
| Profit Factor | 1.47 | 18.12 |
| Common Sense Ratio | 2.25 | 73.26 |
| CPC Index | 0.94 | 24.05 |
| Tail Ratio | 1.54 | 4.04 |
| Outlier Win Ratio | 1.71 | 37.12 |
| Outlier Loss Ratio | 1.6 | 42.21 |
| MTD | -0.29% | 0.17% |
| 3M | 3.28% | 1.09% |
| 6M | 4.08% | 1.56% |
| YTD | -0.29% | 0.17% |
| 1Y | 25.16% | 5.01% |
| 3Y (ann.) | 29.81% | 6.31% |
| 5Y (ann.) | 29.81% | 6.31% |
| 10Y (ann.) | 29.81% | 6.31% |
| All-time (ann.) | 29.81% | 6.31% |
| Best Day | 3.34% | 0.08% |
| Worst Day | -2.54% | -0.02% |
| Best Month | 8.51% | 1.24% |
| Worst Month | -2.95% | -0.4% |
| Best Year | 23.81% | 5.6% |
| Worst Year | -0.29% | 0.17% |
| Avg. Drawdown | -1.26% | -0.4% |
| Avg. Drawdown Days | 15 | 63 |
| Recovery Factor | 4.48 | 17.75 |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 1.62 | 9.16 |
| Avg. Up Month | 3.75% | 0.57% |
| Avg. Down Month | - | - |
| Win Days | 52.77% | 92.71% |
| Win Month | 71.43% | 92.86% |
| Win Quarter | 83.33% | 100.0% |
| Win Year | 66.67% | 100.0% |
| Beta | 2.4 | - |
| Alpha | 0.12 | - |
| Correlation | 6.8% | - |
| Treynor Ratio | 14.14% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 1.24 | 8.51 | 6.86 | + |
| 2025 | 5.60 | 23.81 | 4.25 | + |
| 2026 | 0.17 | -0.29 | -1.69 | - |
| 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 |
| 2025-07-29 | 2025-08-11 | -1.44 | 13 |
| 2025-12-18 | 2026-01-22 | -1.39 | 35 |
| 2025-02-13 | 2025-02-20 | -1.35 | 7 |
| 2025-03-11 | 2025-03-13 | -0.67 | 2 |
| 2024-12-28 | 2024-12-30 | -0.64 | 2 |