| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 92.0% | 100.0% |
| Cumulative Return | 31.8% | 31.81% |
| CAGR﹪ | 24.15% | 24.15% |
| Sharpe | 1.55 | 1.73 |
| Prob. Sharpe Ratio | 90.8% | 95.8% |
| Smart Sharpe | 1.54 | 1.72 |
| Sortino | 2.5 | 3.04 |
| Smart Sortino | 2.49 | 3.03 |
| Sortino/√2 | 1.77 | 2.15 |
| Smart Sortino/√2 | 1.76 | 2.14 |
| Omega | 1.32 | 1.32 |
| Max Drawdown | -6.9% | -6.83% |
| Longest DD Days | 94 | 93 |
| Volatility (ann.) | 9.85% | 8.78% |
| R^2 | 0.67 | 0.67 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 3.5 | 3.54 |
| Skew | 0.75 | 1.49 |
| Kurtosis | 5.43 | 10.43 |
| Expected Daily | 0.09% | 0.09% |
| Expected Monthly | 1.74% | 1.74% |
| Expected Yearly | 14.81% | 14.81% |
| Kelly Criterion | 18.84% | 18.69% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.93% | -0.82% |
| Expected Shortfall (cVaR) | -0.93% | -0.82% |
| Max Consecutive Wins | 8 | 8 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | 0.49 | 0.59 |
| Gain/Pain (1M) | 4.36 | 4.38 |
| Payoff Ratio | 1.18 | 1.3 |
| Profit Factor | 1.49 | 1.59 |
| Common Sense Ratio | 1.5 | 2.05 |
| CPC Index | 0.99 | 1.12 |
| Tail Ratio | 1.01 | 1.29 |
| Outlier Win Ratio | 3.37 | 3.46 |
| Outlier Loss Ratio | 2.91 | 4.02 |
| MTD | 1.22% | 1.28% |
| 3M | 5.15% | 5.03% |
| 6M | 7.97% | 8.75% |
| YTD | 4.16% | 4.7% |
| 1Y | 24.13% | 24.1% |
| 3Y (ann.) | 24.15% | 24.15% |
| 5Y (ann.) | 24.15% | 24.15% |
| 10Y (ann.) | 24.15% | 24.15% |
| All-time (ann.) | 24.15% | 24.15% |
| Best Day | 3.97% | 4.25% |
| Worst Day | -1.9% | -1.75% |
| Best Month | 6.2% | 6.66% |
| Worst Month | -3.46% | -3.32% |
| Best Year | 26.54% | 25.88% |
| Worst Year | 4.16% | 4.7% |
| Avg. Drawdown | -1.34% | -1.42% |
| Avg. Drawdown Days | 16 | 19 |
| Recovery Factor | 4.61 | 4.66 |
| Ulcer Index | 0.03 | 0.02 |
| Serenity Index | 1.26 | 1.2 |
| Avg. Up Month | 2.89% | 2.9% |
| Avg. Down Month | -2.16% | -2.07% |
| Win Days | 56.08% | 54.04% |
| Win Month | 81.25% | 75.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.92 | - |
| Alpha | 0.02 | - |
| Correlation | 82.16% | - |
| Treynor Ratio | 26.91% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 25.88 | 26.54 | 1.03 | + |
| 2026 | 4.70 | 4.16 | 0.88 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-09-09 | 2025-12-12 | -6.90 | 94 |
| 2025-03-21 | 2025-06-04 | -6.76 | 75 |
| 2025-01-09 | 2025-02-13 | -4.26 | 35 |
| 2025-12-19 | 2026-02-13 | -2.03 | 56 |
| 2025-02-17 | 2025-02-28 | -1.82 | 11 |
| 2025-08-20 | 2025-09-03 | -1.74 | 14 |
| 2025-06-06 | 2025-06-10 | -1.16 | 4 |
| 2025-03-11 | 2025-03-14 | -1.15 | 3 |
| 2025-06-16 | 2025-06-18 | -0.80 | 2 |
| 2026-03-18 | 2026-04-15 | -0.76 | 28 |