| Metric | Russell 3000 | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 32.03% | 218.69% |
| CAGR﹪ | 13.27% | 68.15% |
| Sharpe | 1.13 | 3.94 |
| Prob. Sharpe Ratio | 92.2% | 100.0% |
| Smart Sharpe | 0.98 | 3.41 |
| Sortino | 1.66 | 6.73 |
| Smart Sortino | 1.44 | 5.82 |
| Sortino/√2 | 1.18 | 4.76 |
| Smart Sortino/√2 | 1.02 | 4.12 |
| Omega | 1.97 | 1.97 |
| Max Drawdown | -19.47% | -8.13% |
| Longest DD Days | 128 | 29 |
| Volatility (ann.) | 17.4% | 19.73% |
| R^2 | 0.4 | 0.4 |
| Information Ratio | 0.23 | 0.23 |
| Calmar | 0.68 | 8.38 |
| Skew | 0.74 | -0.06 |
| Kurtosis | 17.36 | 1.46 |
| Expected Daily | 0.07% | 0.3% |
| Expected Monthly | 1.47% | 6.29% |
| Expected Yearly | 14.9% | 78.52% |
| Kelly Criterion | 5.87% | 26.72% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.72% | -1.74% |
| Expected Shortfall (cVaR) | -1.72% | -1.74% |
| Max Consecutive Wins | 9 | 9 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | 0.25 | 0.97 |
| Gain/Pain (1M) | 1.84 | 46.54 |
| Payoff Ratio | 0.86 | 1.15 |
| Profit Factor | 1.25 | 1.97 |
| Common Sense Ratio | 0.99 | 2.78 |
| CPC Index | 0.6 | 1.37 |
| Tail Ratio | 0.8 | 1.42 |
| Outlier Win Ratio | 3.93 | 2.67 |
| Outlier Loss Ratio | 4.09 | 3.66 |
| MTD | 2.57% | 9.79% |
| 3M | 18.38% | 37.26% |
| 6M | 3.33% | 53.81% |
| YTD | 7.75% | 60.95% |
| 1Y | 14.13% | 113.7% |
| 3Y (ann.) | 13.27% | 68.15% |
| 5Y (ann.) | 13.27% | 68.15% |
| 10Y (ann.) | 13.27% | 68.15% |
| All-time (ann.) | 13.27% | 68.15% |
| Best Day | 9.53% | 5.08% |
| Worst Day | -5.89% | -4.3% |
| Best Month | 6.51% | 16.66% |
| Worst Month | -5.96% | -2.58% |
| Best Year | 22.53% | 98.01% |
| Worst Year | 7.75% | 60.95% |
| Avg. Drawdown | -1.62% | -1.55% |
| Avg. Drawdown Days | 11 | 5 |
| Recovery Factor | 1.55 | 14.64 |
| Ulcer Index | 0.04 | 0.02 |
| Serenity Index | 0.9 | 25.52 |
| Avg. Up Month | 3.75% | 9.05% |
| Avg. Down Month | -2.6% | -0.07% |
| Win Days | 56.48% | 60.88% |
| Win Month | 68.42% | 84.21% |
| Win Quarter | 85.71% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.72 |
| Alpha | - | 0.64 |
| Correlation | - | 63.09% |
| Treynor Ratio | - | 305.63% |
| Year | Russell 3000 | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 22.53 | 98.01 | 4.35 | + |
| 2025 | 7.75 | 60.95 | 7.86 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-07-31 | 2024-08-15 | -8.13 | 16 |
| 2025-03-28 | 2025-04-08 | -5.62 | 12 |
| 2024-04-01 | 2024-04-25 | -5.22 | 25 |
| 2024-01-16 | 2024-02-13 | -4.88 | 29 |
| 2025-02-19 | 2025-03-14 | -4.79 | 24 |
| 2024-09-03 | 2024-09-12 | -4.76 | 10 |
| 2024-12-13 | 2024-12-31 | -4.72 | 19 |
| 2025-01-06 | 2025-01-14 | -4.09 | 9 |
| 2024-10-01 | 2024-10-15 | -3.67 | 15 |
| 2025-05-28 | 2025-06-02 | -3.56 | 6 |