| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 93.0% | 100.0% |
| Cumulative Return | 31.39% | 32.26% |
| CAGR﹪ | 14.07% | 14.43% |
| Sharpe | 0.54 | 0.66 |
| Prob. Sharpe Ratio | 46.3% | 59.43% |
| Smart Sharpe | 0.48 | 0.59 |
| Sortino | 0.79 | 0.99 |
| Smart Sortino | 0.71 | 0.89 |
| Sortino/√2 | 0.56 | 0.7 |
| Smart Sortino/√2 | 0.5 | 0.63 |
| Omega | 1.11 | 1.11 |
| Max Drawdown | -11.82% | -11.23% |
| Longest DD Days | 235 | 224 |
| Volatility (ann.) | 13.38% | 11.01% |
| R^2 | 0.6 | 0.6 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 1.19 | 1.29 |
| Skew | 0.05 | 0.43 |
| Kurtosis | 19.25 | 3.12 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 1.06% | 1.08% |
| Expected Yearly | 9.53% | 9.77% |
| Kelly Criterion | 4.88% | 11.56% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.33% | -1.09% |
| Expected Shortfall (cVaR) | -1.33% | -1.09% |
| Max Consecutive Wins | 8 | 10 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.22 | 0.25 |
| Gain/Pain (1M) | 1.87 | 1.76 |
| Payoff Ratio | 0.95 | 0.97 |
| Profit Factor | 1.22 | 1.25 |
| Common Sense Ratio | 1.28 | 1.3 |
| CPC Index | 0.62 | 0.69 |
| Tail Ratio | 1.05 | 1.04 |
| Outlier Win Ratio | 3.68 | 4.01 |
| Outlier Loss Ratio | 2.96 | 3.35 |
| MTD | -0.81% | -0.95% |
| 3M | 6.12% | 5.69% |
| 6M | 6.96% | 6.51% |
| YTD | 3.52% | 3.38% |
| 1Y | 14.19% | 13.69% |
| 3Y (ann.) | 14.07% | 14.43% |
| 5Y (ann.) | 14.07% | 14.43% |
| 10Y (ann.) | 14.07% | 14.43% |
| All-time (ann.) | 14.07% | 14.43% |
| 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 | 19.16% | 18.24% |
| Worst Year | 3.52% | 3.38% |
| Avg. Drawdown | -1.5% | -1.49% |
| Avg. Drawdown Days | 19 | 20 |
| Recovery Factor | 2.66 | 2.87 |
| Ulcer Index | 0.04 | 0.04 |
| Serenity Index | 0.67 | 0.68 |
| Avg. Up Month | 3.2% | 3.14% |
| Avg. Down Month | -1.59% | -1.69% |
| Win Days | 53.61% | 56.35% |
| Win Month | 53.85% | 61.54% |
| Win Quarter | 77.78% | 88.89% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.94 | - |
| Alpha | 0.01 | - |
| Correlation | 77.23% | - |
| Treynor Ratio | 25.98% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 8.21 | 6.51 | 0.79 | - |
| 2025 | 18.24 | 19.16 | 1.05 | + |
| 2026 | 3.38 | 3.52 | 1.04 | + |
| 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 | 2025-12-10 | -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 |
| 2026-02-26 | 2026-03-12 | -1.83 | 14 |
| 2025-08-20 | 2025-09-08 | -1.20 | 19 |
| 2024-03-13 | 2024-03-26 | -0.96 | 13 |