| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 96.0% | 89.0% |
| Cumulative Return | 37.52% | 34.94% |
| CAGR﹪ | 63.35% | 58.65% |
| Sharpe | 1.52 | 1.41 |
| Prob. Sharpe Ratio | 70.43% | 67.78% |
| Smart Sharpe | 1.38 | 1.28 |
| Sortino | 2.13 | 2.07 |
| Smart Sortino | 1.94 | 1.88 |
| Sortino/√2 | 1.51 | 1.46 |
| Smart Sortino/√2 | 1.37 | 1.33 |
| Omega | 1.32 | 1.32 |
| Max Drawdown | -13.23% | -14.06% |
| Longest DD Days | 76 | 76 |
| Volatility (ann.) | 26.56% | 26.88% |
| R^2 | 0.67 | 0.67 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 4.79 | 4.17 |
| Skew | -0.94 | -0.28 |
| Kurtosis | 5.59 | 3.32 |
| Expected Daily | 0.17% | 0.16% |
| Expected Monthly | 3.6% | 3.39% |
| Expected Yearly | 17.27% | 16.16% |
| Kelly Criterion | 12.29% | 16.36% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.56% | -2.61% |
| Expected Shortfall (cVaR) | -2.56% | -2.61% |
| Max Consecutive Wins | 5 | 12 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.39 | 0.37 |
| Gain/Pain (1M) | 2.57 | 2.53 |
| Payoff Ratio | 0.96 | 1.02 |
| Profit Factor | 1.39 | 1.37 |
| Common Sense Ratio | 1.39 | 1.41 |
| CPC Index | 0.76 | 0.81 |
| Tail Ratio | 1.0 | 1.03 |
| Outlier Win Ratio | 3.79 | 4.06 |
| Outlier Loss Ratio | 4.14 | 3.81 |
| MTD | -12.55% | -11.76% |
| 3M | 5.03% | 4.27% |
| 6M | 15.7% | 14.21% |
| YTD | 5.98% | 4.16% |
| 1Y | 37.52% | 34.94% |
| 3Y (ann.) | 63.35% | 58.65% |
| 5Y (ann.) | 63.35% | 58.65% |
| 10Y (ann.) | 63.35% | 58.65% |
| All-time (ann.) | 63.35% | 58.65% |
| Best Day | 5.23% | 7.05% |
| Worst Day | -8.94% | -6.28% |
| Best Month | 16.05% | 14.03% |
| Worst Month | -12.55% | -11.76% |
| Best Year | 29.76% | 29.55% |
| Worst Year | 5.98% | 4.16% |
| Avg. Drawdown | -2.71% | -3.36% |
| Avg. Drawdown Days | 10 | 12 |
| Recovery Factor | 2.84 | 2.49 |
| Ulcer Index | 0.04 | 0.04 |
| Serenity Index | 1.38 | 1.52 |
| Avg. Up Month | 6.87% | 6.49% |
| Avg. Down Month | -6.47% | -6.35% |
| Win Days | 57.14% | 57.67% |
| Win Month | 77.78% | 77.78% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.81 | - |
| Alpha | 0.11 | - |
| Correlation | 81.98% | - |
| Treynor Ratio | 37.68% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 29.55 | 29.76 | 1.01 | + |
| 2026 | 4.16 | 5.98 | 1.44 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-03-24 | -13.23 | 22 |
| 2026-01-29 | 2026-02-28 | -12.20 | 30 |
| 2025-10-21 | 2026-01-05 | -10.72 | 76 |
| 2025-09-12 | 2025-09-22 | -1.95 | 10 |
| 2026-01-13 | 2026-01-20 | -1.93 | 7 |
| 2025-08-11 | 2025-08-22 | -1.54 | 11 |
| 2025-09-30 | 2025-10-03 | -1.49 | 3 |
| 2025-09-24 | 2025-09-29 | -1.24 | 5 |
| 2026-01-21 | 2026-01-22 | -1.19 | 1 |
| 2026-01-08 | 2026-01-12 | -0.73 | 4 |