| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | 3.59% | 4.02% |
| CAGR﹪ | 4.62% | 5.17% |
| Sharpe | -0.04 | 0.0 |
| Prob. Sharpe Ratio | 24.97% | 25.36% |
| Smart Sharpe | -0.04 | 0.0 |
| Sortino | -0.06 | 0.0 |
| Smart Sortino | -0.06 | 0.0 |
| Sortino/√2 | -0.04 | 0.0 |
| Smart Sortino/√2 | -0.04 | 0.0 |
| Omega | 0.99 | 0.99 |
| Max Drawdown | -11.86% | -11.71% |
| Longest DD Days | 189 | 189 |
| Volatility (ann.) | 17.52% | 18.8% |
| R^2 | 0.67 | 0.67 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.39 | 0.44 |
| Skew | -0.11 | 0.28 |
| Kurtosis | 1.2 | 3.92 |
| Expected Daily | 0.02% | 0.02% |
| Expected Monthly | 0.35% | 0.39% |
| Expected Yearly | 1.78% | 1.99% |
| Kelly Criterion | 4.19% | 0.75% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.79% | -1.92% |
| Expected Shortfall (cVaR) | -1.79% | -1.92% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 8 | 16 |
| Gain/Pain Ratio | 0.06 | 0.07 |
| Gain/Pain (1M) | 0.33 | 0.36 |
| Payoff Ratio | 1.13 | 1.25 |
| Profit Factor | 1.06 | 1.07 |
| Common Sense Ratio | 1.11 | 1.14 |
| CPC Index | 0.59 | 0.6 |
| Tail Ratio | 1.05 | 1.07 |
| Outlier Win Ratio | 3.27 | 2.84 |
| Outlier Loss Ratio | 3.13 | 3.56 |
| MTD | -6.47% | -6.44% |
| 3M | -5.11% | -4.38% |
| 6M | -4.85% | -4.34% |
| YTD | -3.88% | -4.22% |
| 1Y | 3.59% | 4.02% |
| 3Y (ann.) | 4.62% | 5.17% |
| 5Y (ann.) | 4.62% | 5.17% |
| 10Y (ann.) | 4.62% | 5.17% |
| All-time (ann.) | 4.62% | 5.17% |
| Best Day | 2.99% | 6.05% |
| Worst Day | -4.66% | -3.97% |
| Best Month | 7.52% | 7.59% |
| Worst Month | -6.47% | -6.44% |
| Best Year | 7.77% | 8.6% |
| Worst Year | -3.88% | -4.22% |
| Avg. Drawdown | -5.39% | -4.38% |
| Avg. Drawdown Days | 43 | 37 |
| Recovery Factor | 0.3 | 0.34 |
| Ulcer Index | 0.06 | 0.06 |
| Serenity Index | -0.05 | -0.05 |
| Avg. Up Month | 3.12% | 3.32% |
| Avg. Down Month | -3.61% | -3.78% |
| Win Days | 49.2% | 44.9% |
| Win Month | 60.0% | 60.0% |
| Win Quarter | 50.0% | 50.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.76 | - |
| Alpha | 0.01 | - |
| Correlation | 81.76% | - |
| Treynor Ratio | -4.48% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 8.60 | 7.77 | 0.90 | - |
| 2026 | -4.22 | -3.88 | 0.92 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-20 | 2026-04-14 | -11.86 | 25 |
| 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 |