Strategy Performance Report

8 Jan, 2025 - 7 Jan, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	55.0%
Cumulative Return	30.93%
CAGR﹪	30.93%
Sharpe	3.87
Prob. Sharpe Ratio	100.0%
Smart Sharpe	3.73
Sortino	10.14
Smart Sortino	9.77
Sortino/√2	7.17
Smart Sortino/√2	6.91
Omega	2.39
Max Drawdown	-1.83%
Max DD Date	2025-07-09
Max DD Period Start	2025-06-04
Max DD Period End	2025-08-04
Longest DD Days	62
Volatility (ann.)	7.03%
Calmar	16.87
Skew	2.32
Kurtosis	8.68
Expected Daily	0.07%
Expected Monthly	2.09%
Expected Yearly	14.42%
Kelly Criterion	28.95%
Risk of Ruin	0.0%
Daily Value-at-Risk	-0.53%
Expected Shortfall (cVaR)	-0.73%
Max Consecutive Wins	3
Max Consecutive Losses	4
Gain/Pain Ratio	1.39
Gain/Pain (1M)	36.58
Payoff Ratio	2.42
Profit Factor	2.39
Common Sense Ratio	6.59
CPC Index	2.87
Tail Ratio	2.75
Outlier Win Ratio	8.3
Outlier Loss Ratio	3.3
MTD	0.31%
3M	11.42%
6M	19.41%
YTD	0.31%
1Y	30.93%
3Y (ann.)	30.93%
5Y (ann.)	30.93%
10Y (ann.)	30.93%
All-time (ann.)	30.93%
Best Day	2.27%
Worst Day	-0.99%
Best Month	7.71%
Worst Month	-0.68%
Best Year	30.53%
Worst Year	0.31%
Avg. Drawdown	-0.61%
Avg. Drawdown Days	10
Recovery Factor	14.84
Ulcer Index	0.01
Serenity Index	8.41
Avg. Up Month	2.57%
Avg. Down Month	-0.38%
Win Days	49.75%
Win Month	84.62%
Win Quarter	100.0%
Win Year	100.0%