| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 92.0% | 82.0% |
| Cumulative Return | 8.41% | 8.65% |
| CAGR﹪ | 17.8% | 18.31% |
| Sharpe | 0.5 | 0.53 |
| Prob. Sharpe Ratio | 43.51% | 45.21% |
| Smart Sharpe | 0.48 | 0.52 |
| Sortino | 0.74 | 0.78 |
| Smart Sortino | 0.73 | 0.76 |
| Sortino/√2 | 0.53 | 0.55 |
| Smart Sortino/√2 | 0.51 | 0.54 |
| Omega | 1.09 | 1.09 |
| Max Drawdown | -7.74% | -7.34% |
| Longest DD Days | 42 | 44 |
| Volatility (ann.) | 16.7% | 16.04% |
| R^2 | 0.55 | 0.55 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 2.3 | 2.49 |
| Skew | 0.54 | 0.08 |
| Kurtosis | 5.39 | 6.44 |
| Expected Daily | 0.05% | 0.06% |
| Expected Monthly | 1.16% | 1.19% |
| Expected Yearly | 4.12% | 4.23% |
| Kelly Criterion | 9.36% | 9.02% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.67% | -1.6% |
| Expected Shortfall (cVaR) | -1.67% | -1.6% |
| Max Consecutive Wins | 6 | 7 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.17 | 0.21 |
| Gain/Pain (1M) | 1.24 | 1.2 |
| Payoff Ratio | 1.03 | 1.13 |
| Profit Factor | 1.17 | 1.21 |
| Common Sense Ratio | 1.49 | 1.34 |
| CPC Index | 0.65 | 0.71 |
| Tail Ratio | 1.27 | 1.11 |
| Outlier Win Ratio | 3.33 | 4.08 |
| Outlier Loss Ratio | 3.43 | 3.9 |
| MTD | -1.93% | -2.7% |
| 3M | 4.84% | 4.78% |
| 6M | 8.41% | 8.65% |
| YTD | 6.26% | 6.42% |
| 1Y | 8.41% | 8.65% |
| 3Y (ann.) | 17.8% | 18.31% |
| 5Y (ann.) | 17.8% | 18.31% |
| 10Y (ann.) | 17.8% | 18.31% |
| All-time (ann.) | 17.8% | 18.31% |
| Best Day | 5.5% | 5.03% |
| Worst Day | -4.02% | -4.04% |
| Best Month | 8.11% | 7.71% |
| Worst Month | -3.41% | -2.72% |
| Best Year | 6.26% | 6.42% |
| Worst Year | 2.02% | 2.1% |
| Avg. Drawdown | -3.06% | -2.42% |
| Avg. Drawdown Days | 15 | 13 |
| Recovery Factor | 1.09 | 1.18 |
| Ulcer Index | 0.03 | 0.03 |
| Serenity Index | 0.09 | 0.11 |
| Avg. Up Month | 5.43% | 5.62% |
| Avg. Down Month | -1.91% | -2.0% |
| Win Days | 54.01% | 51.64% |
| Win Month | 42.86% | 42.86% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.77 | - |
| Alpha | 0.03 | - |
| Correlation | 74.22% | - |
| Treynor Ratio | 1.83% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 2.10 | 2.02 | 0.97 | - |
| 2026 | 6.42 | 6.26 | 0.98 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-10-19 | 2025-11-20 | -7.74 | 32 |
| 2025-09-23 | 2025-10-18 | -7.32 | 25 |
| 2025-12-12 | 2026-01-23 | -4.25 | 42 |
| 2026-02-24 | 2026-03-18 | -3.90 | 22 |
| 2025-11-26 | 2025-12-05 | -2.76 | 9 |
| 2026-02-04 | 2026-02-12 | -1.88 | 8 |
| 2025-12-08 | 2025-12-11 | -0.91 | 3 |
| 2026-02-18 | 2026-02-21 | -0.86 | 3 |
| 2026-01-24 | 2026-01-29 | -0.81 | 5 |
| 2026-02-22 | 2026-02-23 | -0.19 | 1 |