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Trading Strategy

Risk and Profitability Coefficients Analysis

RISK AND PROFITABILITY COEFFICIENTS

Comprehensive analysis of our trading strategy performance metrics

SHARPE RATIO
6.05
EXCELLENT (>3.0 considered outstanding)
Excellent risk-to-return ratio
CALMAR RATIO
2.59
HIGH (>1.0 considered good)
High return relative to maximum drawdown
SORTINO RATIO
104.38
EXCEPTIONAL (>2.0 considered excellent)
Superior performance relative to negative deviations
ALPHA COEFFICIENT
0.37
POSITIVE ALPHA
Strategy outperforms benchmark
INFORMATION RATIO
4.72
OUTSTANDING (>0.5 considered good)
Significantly outperforms benchmark
TREYNOR RATIO
17.85
SUPERIOR
Excellent return per unit of market risk
SCHWAGER RATIO
78.4
FAVORABLE
Optimal balance of profitability
VOLATILITY
6%
LOW AND STABLE
Minimal return fluctuations
R² (Coefficient of Determination)
0.01
BENCHMARK INDEPENDENCE
Results independent of market indices
M² (Modified Sharpe Ratio)
4.93%
SUPERIOR
Best risk-adjusted performance relative to benchmark

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