| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 96.0% | 82.0% |
| Cumulative Return | 3.35% | 4.55% |
| CAGR﹪ | 7.04% | 9.62% |
| Sharpe | -0.0 | 0.13 |
| Prob. Sharpe Ratio | 30.62% | 35.6% |
| Smart Sharpe | -0.0 | 0.13 |
| Sortino | -0.0 | 0.17 |
| Smart Sortino | -0.0 | 0.17 |
| Sortino/√2 | -0.0 | 0.12 |
| Smart Sortino/√2 | -0.0 | 0.12 |
| Omega | 1.0 | 1.0 |
| Max Drawdown | -9.21% | -9.2% |
| Longest DD Days | 75 | 77 |
| Volatility (ann.) | 15.05% | 13.73% |
| R^2 | 0.57 | 0.57 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.76 | 1.04 |
| Skew | 0.05 | -0.74 |
| Kurtosis | 4.11 | 3.24 |
| Expected Daily | 0.02% | 0.03% |
| Expected Monthly | 0.47% | 0.64% |
| Expected Yearly | 1.66% | 2.25% |
| Kelly Criterion | -4.09% | 1.83% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.53% | -1.39% |
| Expected Shortfall (cVaR) | -1.53% | -1.39% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 7 | 4 |
| Gain/Pain Ratio | 0.08 | 0.12 |
| Gain/Pain (1M) | 0.42 | 0.59 |
| Payoff Ratio | 0.68 | 0.81 |
| Profit Factor | 1.08 | 1.12 |
| Common Sense Ratio | 0.79 | 0.93 |
| CPC Index | 0.43 | 0.51 |
| Tail Ratio | 0.73 | 0.83 |
| Outlier Win Ratio | 3.08 | 3.85 |
| Outlier Loss Ratio | 3.26 | 3.46 |
| MTD | -1.4% | -1.74% |
| 3M | -0.1% | 0.16% |
| 6M | 3.35% | 4.55% |
| YTD | 0.61% | 1.0% |
| 1Y | 3.35% | 4.55% |
| 3Y (ann.) | 7.04% | 9.62% |
| 5Y (ann.) | 7.04% | 9.62% |
| 10Y (ann.) | 7.04% | 9.62% |
| All-time (ann.) | 7.04% | 9.62% |
| Best Day | 4.69% | 2.95% |
| Worst Day | -3.02% | -3.47% |
| Best Month | 5.83% | 5.52% |
| Worst Month | -6.53% | -6.45% |
| Best Year | 2.73% | 3.52% |
| Worst Year | 0.61% | 1.0% |
| Avg. Drawdown | -2.69% | -2.67% |
| Avg. Drawdown Days | 20 | 22 |
| Recovery Factor | 0.36 | 0.49 |
| Ulcer Index | 0.03 | 0.04 |
| Serenity Index | -0.16 | -0.09 |
| Avg. Up Month | 4.53% | 4.57% |
| Avg. Down Month | -2.44% | -2.18% |
| Win Days | 57.75% | 56.2% |
| Win Month | 42.86% | 42.86% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.83 | - |
| Alpha | -0.0 | - |
| Correlation | 75.62% | - |
| Treynor Ratio | -4.4% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.52 | 2.73 | 0.78 | - |
| 2026 | 1.00 | 0.61 | 0.61 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-09-25 | 2025-12-09 | -9.21 | 75 |
| 2026-02-03 | 2026-03-18 | -4.42 | 43 |
| 2025-12-19 | 2026-01-16 | -3.43 | 28 |
| 2025-12-12 | 2025-12-15 | -1.73 | 3 |
| 2026-01-26 | 2026-02-02 | -1.28 | 7 |
| 2025-09-23 | 2025-09-24 | -1.15 | 1 |
| 2026-01-24 | 2026-01-25 | -0.20 | 1 |
| 2025-12-17 | 2025-12-18 | -0.10 | 1 |