| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | 37.82% | 11.24% |
| CAGR﹪ | 29.35% | 8.92% |
| Sharpe | 2.25 | 16.99 |
| Prob. Sharpe Ratio | 99.53% | - |
| Smart Sharpe | 1.99 | 15.07 |
| Sortino | 3.81 | 108.31 |
| Smart Sortino | 3.38 | 96.06 |
| Sortino/√2 | 2.69 | 76.59 |
| Smart Sortino/√2 | 2.39 | 67.93 |
| Omega | 1.48 | 1.48 |
| Max Drawdown | -7.57% | -0.4% |
| Longest DD Days | 92 | 63 |
| Volatility (ann.) | 11.57% | 0.5% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.1 | 0.1 |
| Calmar | 3.88 | 22.31 |
| Skew | 0.42 | 0.78 |
| Kurtosis | 2.47 | -0.21 |
| Expected Daily | 0.1% | 0.03% |
| Expected Monthly | 2.03% | 0.67% |
| Expected Yearly | 11.29% | 3.62% |
| Kelly Criterion | 11.6% | 89.96% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.1% | -0.02% |
| Expected Shortfall (cVaR) | -1.1% | -0.02% |
| Max Consecutive Wins | 6 | 168 |
| Max Consecutive Losses | 5 | 21 |
| Gain/Pain Ratio | 0.48 | 26.59 |
| Gain/Pain (1M) | 6.05 | 26.59 |
| Payoff Ratio | 1.19 | 1.92 |
| Profit Factor | 1.48 | 27.59 |
| Common Sense Ratio | 2.33 | 136.74 |
| CPC Index | 0.91 | 49.51 |
| Tail Ratio | 1.57 | 4.96 |
| Outlier Win Ratio | 1.66 | 25.95 |
| Outlier Loss Ratio | 1.64 | 40.89 |
| MTD | 0.51% | 0.57% |
| 3M | 3.34% | 4.29% |
| 6M | 3.42% | 5.61% |
| YTD | 2.58% | 4.05% |
| 1Y | 18.47% | 7.5% |
| 3Y (ann.) | 29.35% | 8.92% |
| 5Y (ann.) | 29.35% | 8.92% |
| 10Y (ann.) | 29.35% | 8.92% |
| All-time (ann.) | 29.35% | 8.92% |
| Best Day | 3.34% | 0.09% |
| Worst Day | -2.54% | -0.02% |
| Best Month | 8.51% | 1.81% |
| Worst Month | -2.95% | -0.4% |
| Best Year | 23.81% | 5.6% |
| Worst Year | 2.58% | 1.24% |
| Avg. Drawdown | -1.23% | -0.4% |
| Avg. Drawdown Days | 16 | 63 |
| Recovery Factor | 4.99 | 28.11 |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 1.92 | 23.62 |
| Avg. Up Month | 3.35% | 0.68% |
| Avg. Down Month | - | - |
| Win Days | 52.0% | 93.4% |
| Win Month | 75.0% | 93.75% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.56 | - |
| Alpha | 0.21 | - |
| Correlation | 2.4% | - |
| Treynor Ratio | 67.36% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 1.24 | 8.51 | 6.86 | + |
| 2025 | 5.60 | 23.81 | 4.25 | + |
| 2026 | 4.05 | 2.58 | 0.64 | - |
| 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 |
| 2025-03-11 | 2025-03-13 | -0.67 | 2 |
| 2024-12-28 | 2024-12-30 | -0.64 | 2 |