| Metric | Russell 3000 | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 11.8% | 123.27% |
| CAGR﹪ | 6.28% | 55.13% |
| Sharpe | 0.58 | 3.44 |
| Prob. Sharpe Ratio | 74.6% | 99.99% |
| Smart Sharpe | 0.53 | 3.1 |
| Sortino | 0.84 | 5.7 |
| Smart Sortino | 0.75 | 5.13 |
| Sortino/√2 | 0.59 | 4.03 |
| Smart Sortino/√2 | 0.53 | 3.63 |
| Omega | 1.81 | 1.81 |
| Max Drawdown | -19.47% | -8.22% |
| Longest DD Days | 64 | 31 |
| Volatility (ann.) | 17.91% | 19.09% |
| R^2 | 0.41 | 0.41 |
| Information Ratio | 0.22 | 0.22 |
| Calmar | 0.32 | 6.7 |
| Skew | 0.83 | -0.08 |
| Kurtosis | 18.73 | 2.04 |
| Expected Daily | 0.04% | 0.25% |
| Expected Monthly | 0.7% | 5.15% |
| Expected Yearly | 5.73% | 49.42% |
| Kelly Criterion | -0.41% | 23.74% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.81% | -1.72% |
| Expected Shortfall (cVaR) | -1.81% | -1.72% |
| Max Consecutive Wins | 7 | 14 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | 0.12 | 0.81 |
| Gain/Pain (1M) | 0.67 | 24.11 |
| Payoff Ratio | 0.82 | 1.04 |
| Profit Factor | 1.12 | 1.81 |
| Common Sense Ratio | 0.86 | 2.53 |
| CPC Index | 0.5 | 1.15 |
| Tail Ratio | 0.77 | 1.39 |
| Outlier Win Ratio | 3.65 | 2.68 |
| Outlier Loss Ratio | 3.93 | 3.6 |
| MTD | -3.92% | 6.22% |
| 3M | -8.14% | 9.72% |
| 6M | -7.56% | 23.57% |
| YTD | -8.76% | 10.48% |
| 1Y | 4.55% | 91.48% |
| 3Y (ann.) | 6.28% | 55.13% |
| 5Y (ann.) | 6.28% | 55.13% |
| 10Y (ann.) | 6.28% | 55.13% |
| All-time (ann.) | 6.28% | 55.13% |
| Best Day | 9.53% | 5.08% |
| Worst Day | -5.89% | -4.65% |
| Best Month | 6.51% | 11.49% |
| Worst Month | -5.96% | -2.3% |
| Best Year | 22.53% | 102.09% |
| Worst Year | -8.76% | 10.48% |
| Avg. Drawdown | -1.8% | -1.75% |
| Avg. Drawdown Days | 10 | 6 |
| Recovery Factor | 0.68 | 10.06 |
| Ulcer Index | 0.04 | 0.02 |
| Serenity Index | 0.52 | 15.01 |
| Avg. Up Month | 3.47% | 8.76% |
| Avg. Down Month | -3.72% | -0.51% |
| Win Days | 54.89% | 61.2% |
| Win Month | 62.5% | 75.0% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | - | 0.68 |
| Alpha | - | 0.59 |
| Correlation | - | 63.98% |
| Treynor Ratio | - | 180.76% |
| Year | Russell 3000 | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 22.53 | 102.09 | 4.53 | + |
| 2025 | -8.76 | 10.48 | -1.20 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-07-31 | 2024-08-14 | -8.22 | 15 |
| 2025-03-28 | 2025-04-08 | -5.62 | 12 |
| 2024-04-01 | 2024-04-25 | -5.24 | 25 |
| 2024-12-13 | 2024-12-31 | -5.06 | 19 |
| 2025-02-19 | 2025-03-21 | -4.76 | 31 |
| 2024-09-03 | 2024-09-13 | -4.68 | 11 |
| 2024-01-16 | 2024-02-13 | -4.39 | 29 |
| 2025-01-06 | 2025-01-14 | -4.09 | 9 |
| 2024-10-01 | 2024-10-15 | -3.67 | 15 |
| 2024-05-23 | 2024-05-29 | -2.48 | 7 |