| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 7.99% | 8.68% |
| CAGR﹪ | 12.73% | 13.86% |
| Sharpe | 0.4 | 0.45 |
| Prob. Sharpe Ratio | 40.3% | 40.82% |
| Smart Sharpe | 0.4 | 0.45 |
| Sortino | 0.61 | 0.72 |
| Smart Sortino | 0.61 | 0.72 |
| Sortino/√2 | 0.43 | 0.51 |
| Smart Sortino/√2 | 0.43 | 0.51 |
| Omega | 1.07 | 1.07 |
| Max Drawdown | -7.32% | -7.27% |
| Longest DD Days | 75 | 74 |
| Volatility (ann.) | 16.88% | 17.87% |
| R^2 | 0.78 | 0.78 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 1.74 | 1.91 |
| Skew | 0.56 | 1.17 |
| Kurtosis | 4.73 | 7.82 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 0.86% | 0.93% |
| Expected Yearly | 3.92% | 4.25% |
| Kelly Criterion | 7.26% | 6.51% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.7% | -1.79% |
| Expected Shortfall (cVaR) | -1.7% | -1.79% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 8 | 6 |
| Gain/Pain Ratio | 0.15 | 0.17 |
| Gain/Pain (1M) | 0.76 | 0.9 |
| Payoff Ratio | 1.09 | 1.25 |
| Profit Factor | 1.15 | 1.17 |
| Common Sense Ratio | 1.57 | 1.6 |
| CPC Index | 0.65 | 0.7 |
| Tail Ratio | 1.37 | 1.37 |
| Outlier Win Ratio | 3.36 | 3.09 |
| Outlier Loss Ratio | 3.0 | 3.43 |
| MTD | 1.0% | 1.18% |
| 3M | 1.2% | 1.39% |
| 6M | 9.5% | 9.82% |
| YTD | 5.85% | 6.24% |
| 1Y | 7.99% | 8.68% |
| 3Y (ann.) | 12.73% | 13.86% |
| 5Y (ann.) | 12.73% | 13.86% |
| 10Y (ann.) | 12.73% | 13.86% |
| All-time (ann.) | 12.73% | 13.86% |
| Best Day | 5.5% | 6.67% |
| Worst Day | -4.02% | -3.87% |
| Best Month | 8.11% | 8.27% |
| Worst Month | -5.93% | -5.21% |
| Best Year | 5.85% | 6.24% |
| Worst Year | 2.02% | 2.29% |
| Avg. Drawdown | -3.52% | -2.84% |
| Avg. Drawdown Days | 23 | 18 |
| Recovery Factor | 1.09 | 1.19 |
| Ulcer Index | 0.03 | 0.03 |
| Serenity Index | 0.06 | 0.1 |
| Avg. Up Month | 4.03% | 3.98% |
| Avg. Down Month | -2.91% | -2.71% |
| Win Days | 51.63% | 48.1% |
| Win Month | 55.56% | 55.56% |
| Win Quarter | 75.0% | 75.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.84 | - |
| Alpha | 0.01 | - |
| Correlation | 88.51% | - |
| Treynor Ratio | 1.18% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 2.29 | 2.02 | 0.88 | - |
| 2026 | 6.24 | 5.85 | 0.94 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-09-23 | 2025-10-20 | -7.32 | 27 |
| 2025-10-21 | 2025-11-20 | -6.67 | 30 |
| 2026-02-25 | 2026-05-11 | -6.20 | 75 |
| 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 | 2026-02-24 | -0.86 | 6 |
| 2026-01-26 | 2026-01-29 | -0.81 | 3 |