| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 93.0% | 99.0% |
| Cumulative Return | 24.3% | 25.15% |
| CAGR﹪ | 10.06% | 10.39% |
| Sharpe | 0.28 | 0.34 |
| Prob. Sharpe Ratio | 31.46% | 41.03% |
| Smart Sharpe | 0.25 | 0.31 |
| Sortino | 0.4 | 0.5 |
| Smart Sortino | 0.36 | 0.45 |
| Sortino/√2 | 0.28 | 0.35 |
| Smart Sortino/√2 | 0.26 | 0.32 |
| Omega | 1.05 | 1.05 |
| Max Drawdown | -11.82% | -11.23% |
| Longest DD Days | 235 | 224 |
| Volatility (ann.) | 13.16% | 10.82% |
| R^2 | 0.6 | 0.6 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.85 | 0.93 |
| Skew | 0.08 | 0.44 |
| Kurtosis | 18.79 | 3.11 |
| Expected Daily | 0.04% | 0.04% |
| Expected Monthly | 0.78% | 0.8% |
| Expected Yearly | 7.52% | 7.76% |
| Kelly Criterion | 3.09% | 8.22% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.32% | -1.08% |
| Expected Shortfall (cVaR) | -1.32% | -1.08% |
| Max Consecutive Wins | 8 | 10 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.16 | 0.18 |
| Gain/Pain (1M) | 1.1 | 1.07 |
| Payoff Ratio | 0.94 | 0.97 |
| Profit Factor | 1.16 | 1.18 |
| Common Sense Ratio | 1.21 | 1.15 |
| CPC Index | 0.58 | 0.63 |
| Tail Ratio | 1.04 | 0.97 |
| Outlier Win Ratio | 3.66 | 3.98 |
| Outlier Loss Ratio | 2.85 | 3.32 |
| MTD | 0.47% | 0.16% |
| 3M | -5.96% | -5.93% |
| 6M | 3.06% | 2.79% |
| YTD | -2.07% | -2.18% |
| 1Y | 12.39% | 12.02% |
| 3Y (ann.) | 10.06% | 10.39% |
| 5Y (ann.) | 10.06% | 10.39% |
| 10Y (ann.) | 10.06% | 10.39% |
| All-time (ann.) | 10.06% | 10.39% |
| Best Day | 7.02% | 4.2% |
| Worst Day | -7.18% | -2.27% |
| Best Month | 6.82% | 6.96% |
| Worst Month | -4.28% | -3.71% |
| Best Year | 19.16% | 18.24% |
| Worst Year | -2.07% | -2.18% |
| Avg. Drawdown | -1.68% | -1.66% |
| Avg. Drawdown Days | 21 | 22 |
| Recovery Factor | 2.06 | 2.24 |
| Ulcer Index | 0.04 | 0.04 |
| Serenity Index | 0.45 | 0.46 |
| Avg. Up Month | 3.02% | 2.94% |
| Avg. Down Month | -1.98% | -2.05% |
| Win Days | 53.01% | 54.75% |
| Win Month | 53.57% | 60.71% |
| Win Quarter | 70.0% | 80.0% |
| Win Year | 66.67% | 66.67% |
| Beta | 0.95 | - |
| Alpha | 0.01 | - |
| Correlation | 77.73% | - |
| Treynor Ratio | 18.29% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 8.21 | 6.51 | 0.79 | - |
| 2025 | 18.24 | 19.16 | 1.05 | + |
| 2026 | -2.18 | -2.07 | 0.95 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-05-20 | 2025-01-10 | -11.82 | 235 |
| 2025-03-21 | 2025-07-18 | -9.22 | 119 |
| 2026-02-26 | 2026-05-22 | -7.62 | 85 |
| 2025-09-10 | 2025-12-10 | -4.82 | 91 |
| 2024-02-16 | 2024-03-01 | -3.00 | 14 |
| 2026-02-02 | 2026-02-25 | -2.78 | 23 |
| 2025-02-21 | 2025-03-18 | -2.51 | 25 |
| 2025-07-24 | 2025-08-07 | -1.88 | 14 |
| 2025-08-20 | 2025-09-08 | -1.20 | 19 |
| 2024-03-13 | 2024-03-26 | -0.96 | 13 |