| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 97.0% | 98.0% |
| Cumulative Return | 193.89% | 205.7% |
| CAGR﹪ | 29.26% | 30.48% |
| Sharpe | 0.92 | 0.82 |
| Prob. Sharpe Ratio | 58.86% | 46.0% |
| Smart Sharpe | 0.88 | 0.79 |
| Sortino | 1.32 | 1.33 |
| Smart Sortino | 1.26 | 1.27 |
| Sortino/√2 | 0.93 | 0.94 |
| Smart Sortino/√2 | 0.89 | 0.9 |
| Omega | 1.19 | 1.19 |
| Max Drawdown | -42.54% | -62.58% |
| Longest DD Days | 379 | 935 |
| Volatility (ann.) | 22.61% | 27.96% |
| R^2 | 0.41 | 0.41 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.69 | 0.49 |
| Skew | -0.38 | 2.0 |
| Kurtosis | 7.77 | 22.08 |
| Expected Daily | 0.1% | 0.1% |
| Expected Monthly | 2.09% | 2.17% |
| Expected Yearly | 19.68% | 20.47% |
| Kelly Criterion | 9.39% | 9.68% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.23% | -2.78% |
| Expected Shortfall (cVaR) | -2.23% | -2.78% |
| Max Consecutive Wins | 15 | 12 |
| Max Consecutive Losses | 8 | 10 |
| Gain/Pain Ratio | 0.25 | 0.25 |
| Gain/Pain (1M) | 1.38 | 1.34 |
| Payoff Ratio | 0.96 | 1.01 |
| Profit Factor | 1.25 | 1.25 |
| Common Sense Ratio | 1.24 | 1.32 |
| CPC Index | 0.67 | 0.69 |
| Tail Ratio | 0.99 | 1.06 |
| Outlier Win Ratio | 4.25 | 3.74 |
| Outlier Loss Ratio | 4.28 | 4.01 |
| MTD | -1.76% | 1.05% |
| 3M | 22.86% | 24.63% |
| 6M | 31.92% | 33.2% |
| YTD | 18.98% | 19.29% |
| 1Y | 56.67% | 59.61% |
| 3Y (ann.) | 35.99% | 37.5% |
| 5Y (ann.) | 29.26% | 30.48% |
| 10Y (ann.) | 29.26% | 30.48% |
| All-time (ann.) | 29.26% | 30.48% |
| Best Day | 9.01% | 18.21% |
| Worst Day | -11.66% | -8.59% |
| Best Month | 18.49% | 34.12% |
| Worst Month | -18.31% | -16.94% |
| Best Year | 43.19% | 46.25% |
| Worst Year | -4.66% | -7.21% |
| Avg. Drawdown | -4.16% | -5.83% |
| Avg. Drawdown Days | 36 | 58 |
| Recovery Factor | 4.56 | 3.29 |
| Ulcer Index | 0.15 | 0.3 |
| Serenity Index | 0.6 | 0.21 |
| Avg. Up Month | 6.13% | 6.84% |
| Avg. Down Month | -5.18% | -5.07% |
| Win Days | 55.73% | 54.61% |
| Win Month | 65.38% | 67.31% |
| Win Quarter | 72.22% | 77.78% |
| Win Year | 66.67% | 83.33% |
| Beta | 0.52 | - |
| Alpha | 0.12 | - |
| Correlation | 64.4% | - |
| Treynor Ratio | 358.82% | - |
| 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 | 28.79 | 26.61 | 0.92 | - |
| 2026 | 19.29 | 18.98 | 0.98 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-03-30 | 2023-04-13 | -42.54 | 379 |
| 2026-01-29 | 2026-02-28 | -13.08 | 30 |
| 2024-04-15 | 2024-08-29 | -12.82 | 136 |
| 2025-10-21 | 2026-01-05 | -10.80 | 76 |
| 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 |