| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 93.0% | 80.0% |
| Cumulative Return | 8.63% | 8.68% |
| CAGR﹪ | 13.71% | 13.81% |
| Sharpe | 0.31 | 0.32 |
| Prob. Sharpe Ratio | 37.44% | 37.81% |
| Smart Sharpe | 0.31 | 0.32 |
| Sortino | 0.47 | 0.48 |
| Smart Sortino | 0.47 | 0.48 |
| Sortino/√2 | 0.33 | 0.34 |
| Smart Sortino/√2 | 0.33 | 0.34 |
| Omega | 1.06 | 1.06 |
| Max Drawdown | -7.74% | -7.34% |
| Longest DD Days | 77 | 53 |
| Volatility (ann.) | 15.35% | 15.25% |
| R^2 | 0.53 | 0.53 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 1.77 | 1.88 |
| Skew | 0.57 | 0.32 |
| Kurtosis | 5.87 | 6.62 |
| Expected Daily | 0.04% | 0.04% |
| Expected Monthly | 0.92% | 0.93% |
| Expected Yearly | 4.22% | 4.25% |
| Kelly Criterion | 7.2% | 10.46% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.55% | -1.53% |
| Expected Shortfall (cVaR) | -1.55% | -1.53% |
| Max Consecutive Wins | 9 | 7 |
| Max Consecutive Losses | 6 | 4 |
| Gain/Pain Ratio | 0.14 | 0.17 |
| Gain/Pain (1M) | 0.87 | 0.9 |
| Payoff Ratio | 1.02 | 1.13 |
| Profit Factor | 1.14 | 1.17 |
| Common Sense Ratio | 1.53 | 1.45 |
| CPC Index | 0.62 | 0.69 |
| Tail Ratio | 1.34 | 1.24 |
| Outlier Win Ratio | 3.56 | 4.51 |
| Outlier Loss Ratio | 3.01 | 3.11 |
| MTD | 1.59% | 1.26% |
| 3M | 1.29% | 0.88% |
| 6M | 9.09% | 9.66% |
| YTD | 6.47% | 6.45% |
| 1Y | 8.63% | 8.68% |
| 3Y (ann.) | 13.71% | 13.81% |
| 5Y (ann.) | 13.71% | 13.81% |
| 10Y (ann.) | 13.71% | 13.81% |
| All-time (ann.) | 13.71% | 13.81% |
| Best Day | 5.5% | 5.03% |
| Worst Day | -4.02% | -4.04% |
| Best Month | 8.11% | 7.71% |
| Worst Month | -5.2% | -5.31% |
| Best Year | 6.47% | 6.45% |
| Worst Year | 2.02% | 2.1% |
| Avg. Drawdown | -3.38% | -2.84% |
| Avg. Drawdown Days | 20 | 16 |
| Recovery Factor | 1.11 | 1.18 |
| Ulcer Index | 0.03 | 0.03 |
| Serenity Index | 0.08 | 0.09 |
| Avg. Up Month | 3.99% | 3.93% |
| Avg. Down Month | -2.73% | -2.65% |
| Win Days | 53.23% | 52.5% |
| Win Month | 55.56% | 55.56% |
| Win Quarter | 75.0% | 75.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.74 | - |
| Alpha | 0.03 | - |
| Correlation | 73.02% | - |
| Treynor Ratio | 2.21% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 2.10 | 2.02 | 0.97 | - |
| 2026 | 6.45 | 6.47 | 1.00 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-10-19 | 2025-11-20 | -7.74 | 32 |
| 2025-09-23 | 2025-10-18 | -7.32 | 25 |
| 2026-02-24 | 2026-05-12 | -7.04 | 77 |
| 2025-12-12 | 2026-01-23 | -4.25 | 42 |
| 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 |