| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 93.0% | 100.0% |
| Cumulative Return | 28.33% | 28.31% |
| CAGR﹪ | 24.4% | 24.39% |
| Sharpe | 1.52 | 1.68 |
| Prob. Sharpe Ratio | 88.16% | 93.71% |
| Smart Sharpe | 1.5 | 1.66 |
| Sortino | 2.44 | 2.94 |
| Smart Sortino | 2.41 | 2.91 |
| Sortino/√2 | 1.73 | 2.08 |
| Smart Sortino/√2 | 1.71 | 2.06 |
| Omega | 1.31 | 1.31 |
| Max Drawdown | -6.9% | -6.83% |
| Longest DD Days | 94 | 93 |
| Volatility (ann.) | 10.28% | 9.2% |
| R^2 | 0.69 | 0.69 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 3.54 | 3.57 |
| Skew | 0.72 | 1.44 |
| Kurtosis | 4.94 | 9.51 |
| Expected Daily | 0.09% | 0.09% |
| Expected Monthly | 1.8% | 1.8% |
| Expected Yearly | 13.28% | 13.28% |
| Kelly Criterion | 17.48% | 19.03% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.98% | -0.86% |
| Expected Shortfall (cVaR) | -0.98% | -0.86% |
| Max Consecutive Wins | 8 | 8 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | 0.47 | 0.55 |
| Gain/Pain (1M) | 3.95 | 3.96 |
| Payoff Ratio | 1.16 | 1.27 |
| Profit Factor | 1.47 | 1.55 |
| Common Sense Ratio | 1.43 | 1.95 |
| CPC Index | 0.95 | 1.08 |
| Tail Ratio | 0.97 | 1.26 |
| Outlier Win Ratio | 3.24 | 3.38 |
| Outlier Loss Ratio | 2.88 | 3.77 |
| MTD | 1.89% | 2.04% |
| 3M | 2.95% | 3.01% |
| 6M | 3.61% | 3.58% |
| YTD | 1.41% | 1.93% |
| 1Y | 25.53% | 25.02% |
| 3Y (ann.) | 24.4% | 24.39% |
| 5Y (ann.) | 24.4% | 24.39% |
| 10Y (ann.) | 24.4% | 24.39% |
| All-time (ann.) | 24.4% | 24.39% |
| 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 | 1.41% | 1.93% |
| Avg. Drawdown | -1.37% | -1.54% |
| Avg. Drawdown Days | 15 | 19 |
| Recovery Factor | 4.11 | 4.15 |
| Ulcer Index | 0.03 | 0.03 |
| Serenity Index | 1.02 | 0.97 |
| Avg. Up Month | 3.2% | 3.21% |
| Avg. Down Month | -2.16% | -2.07% |
| Win Days | 55.64% | 54.7% |
| Win Month | 78.57% | 71.43% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.93 | - |
| Alpha | 0.02 | - |
| Correlation | 83.01% | - |
| Treynor Ratio | 22.98% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 25.88 | 26.54 | 1.03 | + |
| 2026 | 1.93 | 1.41 | 0.73 | - |
| 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 |
| 2026-02-25 | 2026-02-27 | -0.69 | 2 |