Strategy Performance Report

8 Jan, 2025 - 8 Jan, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	62.0%
Cumulative Return	24.28%
CAGR﹪	24.21%
Sharpe	2.68
Prob. Sharpe Ratio	99.88%
Smart Sharpe	2.61
Sortino	5.48
Smart Sortino	5.32
Sortino/√2	3.87
Smart Sortino/√2	3.76
Omega	1.71
Max Drawdown	-3.32%
Max DD Date	2025-10-31
Max DD Period Start	2025-10-16
Max DD Period End	2025-12-22
Longest DD Days	68
Volatility (ann.)	8.21%
Calmar	7.29
Skew	1.88
Kurtosis	9.52
Expected Daily	0.06%
Expected Monthly	1.69%
Expected Yearly	11.48%
Kelly Criterion	20.7%
Risk of Ruin	0.0%
Daily Value-at-Risk	-0.65%
Expected Shortfall (cVaR)	-0.98%
Max Consecutive Wins	4
Max Consecutive Losses	4
Gain/Pain Ratio	0.71
Gain/Pain (1M)	107.71
Payoff Ratio	1.73
Profit Factor	1.71
Common Sense Ratio	3.1
CPC Index	1.47
Tail Ratio	1.81
Outlier Win Ratio	7.8
Outlier Loss Ratio	3.59
MTD	1.83%
3M	5.74%
6M	11.43%
YTD	1.83%
1Y	24.28%
3Y (ann.)	24.21%
5Y (ann.)	24.21%
10Y (ann.)	24.21%
All-time (ann.)	24.21%
Best Day	2.94%
Worst Day	-1.46%
Best Month	5.06%
Worst Month	-0.21%
Best Year	22.05%
Worst Year	1.83%
Avg. Drawdown	-0.78%
Avg. Drawdown Days	11
Recovery Factor	6.65
Ulcer Index	0.01
Serenity Index	3.32
Avg. Up Month	1.85%
Avg. Down Month	-0.21%
Win Days	49.78%
Win Month	92.31%
Win Quarter	100.0%
Win Year	100.0%