| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 94.0% | 99.0% |
| Cumulative Return | 21.19% | 22.42% |
| CAGR﹪ | 11.23% | 11.86% |
| Sharpe | 0.34 | 0.43 |
| Prob. Sharpe Ratio | 35.03% | 45.57% |
| Smart Sharpe | 0.31 | 0.39 |
| Sortino | 0.5 | 0.65 |
| Smart Sortino | 0.45 | 0.59 |
| Sortino/√2 | 0.35 | 0.46 |
| Smart Sortino/√2 | 0.32 | 0.42 |
| Omega | 1.07 | 1.07 |
| Max Drawdown | -11.82% | -11.23% |
| Longest DD Days | 235 | 224 |
| Volatility (ann.) | 13.84% | 11.33% |
| R^2 | 0.6 | 0.6 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.95 | 1.06 |
| Skew | 0.14 | 0.49 |
| Kurtosis | 18.94 | 3.1 |
| Expected Daily | 0.04% | 0.04% |
| Expected Monthly | 0.84% | 0.88% |
| Expected Yearly | 10.08% | 10.64% |
| Kelly Criterion | 2.17% | 10.06% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.39% | -1.13% |
| Expected Shortfall (cVaR) | -1.39% | -1.13% |
| Max Consecutive Wins | 8 | 10 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.17 | 0.2 |
| Gain/Pain (1M) | 1.43 | 1.37 |
| Payoff Ratio | 1.0 | 1.0 |
| Profit Factor | 1.17 | 1.2 |
| Common Sense Ratio | 1.31 | 1.31 |
| CPC Index | 0.6 | 0.66 |
| Tail Ratio | 1.12 | 1.09 |
| Outlier Win Ratio | 3.55 | 3.99 |
| Outlier Loss Ratio | 2.94 | 3.26 |
| MTD | 1.22% | 0.57% |
| 3M | 0.4% | -0.24% |
| 6M | 7.41% | 7.29% |
| YTD | 13.78% | 13.14% |
| 1Y | 22.74% | 22.23% |
| 3Y (ann.) | 11.23% | 11.86% |
| 5Y (ann.) | 11.23% | 11.86% |
| 10Y (ann.) | 11.23% | 11.86% |
| All-time (ann.) | 11.23% | 11.86% |
| Best Day | 7.02% | 4.2% |
| Worst Day | -7.18% | -2.27% |
| Best Month | 6.82% | 6.96% |
| Worst Month | -4.28% | -3.66% |
| Best Year | 13.78% | 13.14% |
| Worst Year | 6.51% | 8.21% |
| Avg. Drawdown | -1.56% | -1.77% |
| Avg. Drawdown Days | 21 | 25 |
| Recovery Factor | 1.79 | 2.0 |
| Ulcer Index | 0.04 | 0.04 |
| Serenity Index | 0.36 | 0.38 |
| Avg. Up Month | 2.73% | 2.8% |
| Avg. Down Month | -1.67% | -1.78% |
| Win Days | 51.16% | 54.92% |
| Win Month | 56.52% | 60.87% |
| Win Quarter | 75.0% | 87.5% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.94 | - |
| Alpha | 0.0 | - |
| Correlation | 77.2% | - |
| Treynor Ratio | 15.04% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 8.21 | 6.51 | 0.79 | - |
| 2025 | 13.14 | 13.78 | 1.05 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-05-20 | 2025-01-10 | -11.82 | 235 |
| 2025-03-21 | 2025-07-18 | -9.22 | 119 |
| 2025-09-10 | 2025-12-04 | -4.82 | 85 |
| 2024-02-16 | 2024-03-01 | -3.00 | 14 |
| 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 |
| 2025-01-22 | 2025-01-29 | -0.89 | 7 |
| 2024-04-02 | 2024-04-10 | -0.85 | 8 |