| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | 1.79% | 1.83% |
| CAGR﹪ | 1.98% | 2.03% |
| Sharpe | -0.2 | -0.17 |
| Prob. Sharpe Ratio | 19.31% | 19.27% |
| Smart Sharpe | -0.2 | -0.17 |
| Sortino | -0.28 | -0.24 |
| Smart Sortino | -0.28 | -0.24 |
| Sortino/√2 | -0.2 | -0.17 |
| Smart Sortino/√2 | -0.2 | -0.17 |
| Omega | 0.97 | 0.97 |
| Max Drawdown | -15.08% | -14.66% |
| Longest DD Days | 189 | 189 |
| Volatility (ann.) | 17.0% | 18.35% |
| R^2 | 0.68 | 0.68 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.13 | 0.14 |
| Skew | -0.1 | 0.27 |
| Kurtosis | 1.27 | 3.73 |
| Expected Daily | 0.01% | 0.01% |
| Expected Monthly | 0.16% | 0.17% |
| Expected Yearly | 0.89% | 0.91% |
| Kelly Criterion | 4.01% | -0.88% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.75% | -1.89% |
| Expected Shortfall (cVaR) | -1.75% | -1.89% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 8 | 16 |
| Gain/Pain Ratio | 0.03 | 0.04 |
| Gain/Pain (1M) | 0.19 | 0.2 |
| Payoff Ratio | 1.1 | 1.23 |
| Profit Factor | 1.03 | 1.04 |
| Common Sense Ratio | 1.07 | 1.1 |
| CPC Index | 0.56 | 0.57 |
| Tail Ratio | 1.03 | 1.06 |
| Outlier Win Ratio | 3.46 | 2.85 |
| Outlier Loss Ratio | 3.12 | 3.53 |
| MTD | -3.77% | -3.76% |
| 3M | -4.93% | -4.62% |
| 6M | -4.4% | -4.05% |
| YTD | -5.55% | -6.23% |
| 1Y | 1.79% | 1.83% |
| 3Y (ann.) | 1.98% | 2.03% |
| 5Y (ann.) | 1.98% | 2.03% |
| 10Y (ann.) | 1.98% | 2.03% |
| All-time (ann.) | 1.98% | 2.03% |
| Best Day | 2.99% | 6.05% |
| Worst Day | -4.66% | -3.97% |
| Best Month | 7.52% | 7.59% |
| Worst Month | -4.5% | -4.83% |
| Best Year | 7.77% | 8.6% |
| Worst Year | -5.55% | -6.23% |
| Avg. Drawdown | -5.93% | -4.86% |
| Avg. Drawdown Days | 51 | 44 |
| Recovery Factor | 0.12 | 0.13 |
| Ulcer Index | 0.07 | 0.07 |
| Serenity Index | -0.06 | -0.07 |
| Avg. Up Month | 3.12% | 3.32% |
| Avg. Down Month | -3.25% | -3.45% |
| Win Days | 49.77% | 44.3% |
| Win Month | 54.55% | 54.55% |
| Win Quarter | 50.0% | 50.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.76 | - |
| Alpha | 0.01 | - |
| Correlation | 82.19% | - |
| Treynor Ratio | -6.84% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 8.60 | 7.77 | 0.90 | - |
| 2026 | -6.23 | -5.55 | 0.89 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-20 | 2026-05-29 | -15.08 | 70 |
| 2025-09-11 | 2026-03-19 | -11.46 | 189 |
| 2025-07-30 | 2025-08-29 | -3.08 | 30 |
| 2025-07-07 | 2025-07-11 | -2.79 | 4 |
| 2025-07-14 | 2025-07-21 | -1.79 | 7 |
| 2025-07-24 | 2025-07-28 | -1.38 | 4 |