| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 94.0% | 88.0% |
| Cumulative Return | 1.46% | 1.54% |
| CAGR﹪ | 6.12% | 6.47% |
| Sharpe | 0.02 | 0.04 |
| Prob. Sharpe Ratio | 34.07% | 34.39% |
| Smart Sharpe | 0.02 | 0.04 |
| Sortino | 0.04 | 0.06 |
| Smart Sortino | 0.04 | 0.06 |
| Sortino/√2 | 0.03 | 0.04 |
| Smart Sortino/√2 | 0.03 | 0.04 |
| Omega | 1.0 | 1.0 |
| Max Drawdown | -8.97% | -8.98% |
| Longest DD Days | 64 | 64 |
| Volatility (ann.) | 21.3% | 21.4% |
| R^2 | 0.57 | 0.57 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.68 | 0.72 |
| Skew | 0.58 | 0.12 |
| Kurtosis | 3.58 | 3.27 |
| Expected Daily | 0.02% | 0.02% |
| Expected Monthly | 0.36% | 0.38% |
| Expected Yearly | 1.46% | 1.54% |
| Kelly Criterion | 3.54% | 3.49% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.18% | -2.19% |
| Expected Shortfall (cVaR) | -2.18% | -2.19% |
| Max Consecutive Wins | 6 | 3 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.06 | 0.07 |
| Gain/Pain (1M) | 0.35 | 0.37 |
| Payoff Ratio | 1.04 | 1.11 |
| Profit Factor | 1.06 | 1.07 |
| Common Sense Ratio | 1.13 | 1.31 |
| CPC Index | 0.56 | 0.58 |
| Tail Ratio | 1.06 | 1.23 |
| Outlier Win Ratio | 3.47 | 3.76 |
| Outlier Loss Ratio | 3.41 | 3.52 |
| MTD | -0.0% | 0.5% |
| 3M | 1.46% | 1.54% |
| 6M | 1.46% | 1.54% |
| YTD | 1.46% | 1.54% |
| 1Y | 1.46% | 1.54% |
| 3Y (ann.) | 6.12% | 6.47% |
| 5Y (ann.) | 6.12% | 6.47% |
| 10Y (ann.) | 6.12% | 6.47% |
| All-time (ann.) | 6.12% | 6.47% |
| Best Day | 5.5% | 5.03% |
| Worst Day | -4.02% | -4.04% |
| Best Month | 8.11% | 7.71% |
| Worst Month | -5.42% | -4.98% |
| Best Year | 1.46% | 1.54% |
| Worst Year | 1.46% | 1.54% |
| Avg. Drawdown | -3.62% | -4.06% |
| Avg. Drawdown Days | 20 | 27 |
| Recovery Factor | 0.16 | 0.17 |
| Ulcer Index | 0.04 | 0.05 |
| Serenity Index | -0.22 | -0.2 |
| Avg. Up Month | 8.11% | 7.71% |
| Avg. Down Month | -3.1% | -3.13% |
| Win Days | 50.75% | 49.21% |
| Win Month | 25.0% | 50.0% |
| Win Quarter | 50.0% | 50.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.75 | - |
| Alpha | 0.02 | - |
| Correlation | 75.83% | - |
| Treynor Ratio | -7.34% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 1.54 | 1.46 | 0.95 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-09-18 | 2025-11-21 | -8.97 | 64 |
| 2025-11-26 | 2025-12-05 | -2.76 | 9 |
| 2025-12-12 | 2025-12-15 | -1.82 | 3 |
| 2025-12-08 | 2025-12-11 | -0.91 | 3 |