| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 134.29% | 139.79% |
| CAGR﹪ | 24.14% | 24.88% |
| Sharpe | 0.79 | 0.68 |
| Prob. Sharpe Ratio | 49.22% | 34.89% |
| Smart Sharpe | 0.79 | 0.68 |
| Sortino | 1.14 | 1.1 |
| Smart Sortino | 1.14 | 1.1 |
| Sortino/√2 | 0.81 | 0.78 |
| Smart Sortino/√2 | 0.81 | 0.78 |
| Omega | 1.15 | 1.15 |
| Max Drawdown | -42.54% | -62.58% |
| Longest DD Days | 379 | 935 |
| Volatility (ann.) | 21.48% | 27.68% |
| R^2 | 0.39 | 0.39 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.57 | 0.4 |
| Skew | 0.04 | 2.23 |
| Kurtosis | 4.43 | 24.57 |
| Expected Daily | 0.08% | 0.09% |
| Expected Monthly | 1.75% | 1.8% |
| Expected Yearly | 18.56% | 19.11% |
| Kelly Criterion | 7.46% | 8.1% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.13% | -2.77% |
| Expected Shortfall (cVaR) | -2.13% | -2.77% |
| Max Consecutive Wins | 15 | 12 |
| Max Consecutive Losses | 8 | 10 |
| Gain/Pain Ratio | 0.22 | 0.21 |
| Gain/Pain (1M) | 1.11 | 1.06 |
| Payoff Ratio | 0.96 | 0.98 |
| Profit Factor | 1.22 | 1.21 |
| Common Sense Ratio | 1.19 | 1.16 |
| CPC Index | 0.64 | 0.65 |
| Tail Ratio | 0.98 | 0.96 |
| Outlier Win Ratio | 4.25 | 3.71 |
| Outlier Loss Ratio | 4.27 | 3.95 |
| MTD | -0.57% | -0.93% |
| 3M | 13.07% | 12.8% |
| 6M | 19.98% | 20.37% |
| YTD | 20.09% | 20.51% |
| 1Y | 16.09% | 16.02% |
| 3Y (ann.) | 34.28% | 36.03% |
| 5Y (ann.) | 24.14% | 24.88% |
| 10Y (ann.) | 24.14% | 24.88% |
| All-time (ann.) | 24.14% | 24.88% |
| Best Day | 9.01% | 18.21% |
| Worst Day | -6.62% | -8.59% |
| Best Month | 17.11% | 34.12% |
| Worst Month | -18.31% | -16.94% |
| Best Year | 43.19% | 46.25% |
| Worst Year | -4.66% | -7.21% |
| Avg. Drawdown | -4.17% | -6.92% |
| Avg. Drawdown Days | 39 | 76 |
| Recovery Factor | 3.16 | 2.23 |
| Ulcer Index | 0.16 | 0.31 |
| Serenity Index | 0.36 | 0.13 |
| Avg. Up Month | 5.9% | 6.75% |
| Avg. Down Month | -4.91% | -4.83% |
| Win Days | 54.74% | 54.41% |
| Win Month | 63.27% | 63.27% |
| Win Quarter | 70.59% | 76.47% |
| Win Year | 60.0% | 80.0% |
| Beta | 0.49 | - |
| Alpha | 0.11 | - |
| Correlation | 62.59% | - |
| Treynor Ratio | 262.04% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.40 | -0.01 | -0.01 | - |
| 2022 | -7.21 | -4.66 | 0.65 | + |
| 2023 | 46.25 | 43.19 | 0.93 | - |
| 2024 | 44.60 | 42.93 | 0.96 | - |
| 2025 | 20.51 | 20.09 | 0.98 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-03-30 | 2023-04-13 | -42.54 | 379 |
| 2024-04-15 | 2024-08-29 | -12.82 | 136 |
| 2025-10-21 | 2025-12-05 | -10.80 | 45 |
| 2024-11-29 | 2025-09-03 | -10.41 | 278 |
| 2023-09-06 | 2024-03-05 | -9.66 | 181 |
| 2023-08-14 | 2023-09-05 | -6.95 | 22 |
| 2024-10-31 | 2024-11-22 | -6.67 | 22 |
| 2022-01-25 | 2022-02-18 | -5.85 | 24 |
| 2023-04-17 | 2023-06-30 | -5.77 | 74 |
| 2024-08-30 | 2024-09-12 | -3.85 | 13 |