| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 93.0% | 100.0% |
| Cumulative Return | 32.4% | 32.27% |
| CAGR﹪ | 21.46% | 21.37% |
| Sharpe | 1.38 | 1.55 |
| Prob. Sharpe Ratio | 89.12% | 94.94% |
| Smart Sharpe | 1.37 | 1.54 |
| Sortino | 2.21 | 2.7 |
| Smart Sortino | 2.2 | 2.68 |
| Sortino/√2 | 1.56 | 1.91 |
| Smart Sortino/√2 | 1.55 | 1.89 |
| Omega | 1.28 | 1.28 |
| Max Drawdown | -6.9% | -6.83% |
| Longest DD Days | 94 | 93 |
| Volatility (ann.) | 9.48% | 8.38% |
| R^2 | 0.67 | 0.67 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 3.11 | 3.13 |
| Skew | 0.77 | 1.56 |
| Kurtosis | 5.81 | 11.5 |
| Expected Daily | 0.08% | 0.08% |
| Expected Monthly | 1.57% | 1.57% |
| Expected Yearly | 15.07% | 15.01% |
| Kelly Criterion | 17.64% | 17.78% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.9% | -0.79% |
| Expected Shortfall (cVaR) | -0.9% | -0.79% |
| Max Consecutive Wins | 8 | 8 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | 0.46 | 0.56 |
| Gain/Pain (1M) | 4.44 | 4.44 |
| Payoff Ratio | 1.17 | 1.29 |
| Profit Factor | 1.46 | 1.56 |
| Common Sense Ratio | 1.49 | 2.06 |
| CPC Index | 0.95 | 1.08 |
| Tail Ratio | 1.02 | 1.32 |
| Outlier Win Ratio | 3.41 | 3.6 |
| Outlier Loss Ratio | 2.91 | 4.08 |
| MTD | 0.38% | 0.05% |
| 3M | 1.52% | 1.3% |
| 6M | 4.55% | 4.49% |
| YTD | 4.63% | 5.07% |
| 1Y | 18.49% | 17.85% |
| 3Y (ann.) | 21.46% | 21.37% |
| 5Y (ann.) | 21.46% | 21.37% |
| 10Y (ann.) | 21.46% | 21.37% |
| All-time (ann.) | 21.46% | 21.37% |
| 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 | 4.63% | 5.07% |
| Avg. Drawdown | -1.31% | -1.31% |
| Avg. Drawdown Days | 17 | 19 |
| Recovery Factor | 4.7 | 4.73 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.38 | 1.3 |
| Avg. Up Month | 2.51% | 2.51% |
| Avg. Down Month | -2.16% | -2.07% |
| Win Days | 55.52% | 53.72% |
| Win Month | 83.33% | 77.78% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.93 | - |
| Alpha | 0.02 | - |
| Correlation | 81.72% | - |
| Treynor Ratio | 27.46% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 25.88 | 26.54 | 1.03 | + |
| 2026 | 5.07 | 4.63 | 0.91 | - |
| 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 |
| 2026-04-23 | 2026-06-17 | -1.64 | 55 |
| 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 |