| Metric | Russell 3000 | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 37.22% | 295.09% |
| CAGR﹪ | 13.79% | 75.27% |
| Sharpe | 1.2 | 4.12 |
| Prob. Sharpe Ratio | 94.27% | 100.0% |
| Smart Sharpe | 1.06 | 3.65 |
| Sortino | 1.77 | 7.38 |
| Smart Sortino | 1.57 | 6.54 |
| Sortino/√2 | 1.25 | 5.22 |
| Smart Sortino/√2 | 1.11 | 4.63 |
| Omega | 2.07 | 2.07 |
| Max Drawdown | -19.47% | -7.4% |
| Longest DD Days | 128 | 29 |
| Volatility (ann.) | 16.87% | 20.37% |
| R^2 | 0.39 | 0.39 |
| Information Ratio | 0.24 | 0.24 |
| Calmar | 0.71 | 10.17 |
| Skew | 0.74 | 0.32 |
| Kurtosis | 17.97 | 2.62 |
| Expected Daily | 0.07% | 0.32% |
| Expected Monthly | 1.52% | 6.76% |
| Expected Yearly | 17.14% | 98.77% |
| Kelly Criterion | 5.83% | 29.74% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.67% | -1.78% |
| Expected Shortfall (cVaR) | -1.67% | -1.78% |
| Max Consecutive Wins | 9 | 9 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | 0.26 | 1.07 |
| Gain/Pain (1M) | 2.08 | 55.01 |
| Payoff Ratio | 0.89 | 1.21 |
| Profit Factor | 1.26 | 2.07 |
| Common Sense Ratio | 1.02 | 2.93 |
| CPC Index | 0.63 | 1.54 |
| Tail Ratio | 0.81 | 1.42 |
| Outlier Win Ratio | 4.24 | 2.82 |
| Outlier Loss Ratio | 4.26 | 3.64 |
| MTD | 2.14% | 6.63% |
| 3M | 9.63% | 47.29% |
| 6M | 17.28% | 88.93% |
| YTD | 11.99% | 99.81% |
| 1Y | 17.18% | 130.33% |
| 3Y (ann.) | 13.79% | 75.27% |
| 5Y (ann.) | 13.79% | 75.27% |
| 10Y (ann.) | 13.79% | 75.27% |
| All-time (ann.) | 13.79% | 75.27% |
| Best Day | 9.53% | 6.99% |
| Worst Day | -5.89% | -4.25% |
| Best Month | 6.51% | 22.44% |
| Worst Month | -5.96% | -2.59% |
| Best Year | 22.53% | 99.81% |
| Worst Year | 11.99% | 97.74% |
| Avg. Drawdown | -1.54% | -1.52% |
| Avg. Drawdown Days | 10 | 5 |
| Recovery Factor | 1.75 | 19.06 |
| Ulcer Index | 0.04 | 0.02 |
| Serenity Index | 1.07 | 32.72 |
| Avg. Up Month | 3.49% | 9.44% |
| Avg. Down Month | -2.6% | -0.07% |
| Win Days | 55.66% | 61.56% |
| Win Month | 71.43% | 85.71% |
| Win Quarter | 85.71% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.75 |
| Alpha | - | 0.69 |
| Correlation | - | 62.42% |
| Treynor Ratio | - | 391.46% |
| Year | Russell 3000 | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 22.53 | 97.74 | 4.34 | + |
| 2025 | 11.99 | 99.81 | 8.33 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-07-31 | 2024-08-14 | -7.40 | 15 |
| 2025-07-24 | 2025-08-11 | -6.59 | 19 |
| 2025-03-28 | 2025-04-08 | -5.62 | 12 |
| 2024-04-01 | 2024-04-25 | -5.27 | 25 |
| 2024-01-16 | 2024-02-13 | -4.86 | 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 | -4.61 | 19 |
| 2025-01-06 | 2025-01-14 | -4.05 | 9 |
| 2025-05-28 | 2025-06-02 | -3.56 | 6 |