| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 95.0% | 84.0% |
| Cumulative Return | 20.33% | 19.86% |
| CAGR﹪ | 22.57% | 22.04% |
| Sharpe | 0.53 | 0.5 |
| Prob. Sharpe Ratio | 37.18% | 35.59% |
| Smart Sharpe | 0.49 | 0.47 |
| Sortino | 0.73 | 0.73 |
| Smart Sortino | 0.68 | 0.67 |
| Sortino/√2 | 0.52 | 0.52 |
| Smart Sortino/√2 | 0.48 | 0.48 |
| Omega | 1.1 | 1.1 |
| Max Drawdown | -28.26% | -29.75% |
| Longest DD Days | 117 | 116 |
| Volatility (ann.) | 25.69% | 26.74% |
| R^2 | 0.64 | 0.64 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.8 | 0.74 |
| Skew | -0.62 | 0.03 |
| Kurtosis | 4.1 | 2.81 |
| Expected Daily | 0.07% | 0.07% |
| Expected Monthly | 1.55% | 1.52% |
| Expected Yearly | 9.7% | 9.48% |
| Kelly Criterion | 3.52% | 7.02% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.58% | -2.69% |
| Expected Shortfall (cVaR) | -2.58% | -2.69% |
| Max Consecutive Wins | 5 | 12 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.15 | 0.15 |
| Gain/Pain (1M) | 0.86 | 0.93 |
| Payoff Ratio | 0.95 | 1.03 |
| Profit Factor | 1.15 | 1.15 |
| Common Sense Ratio | 1.13 | 1.17 |
| CPC Index | 0.58 | 0.63 |
| Tail Ratio | 0.98 | 1.02 |
| Outlier Win Ratio | 3.67 | 3.99 |
| Outlier Loss Ratio | 3.67 | 3.24 |
| MTD | -2.31% | -1.7% |
| 3M | -11.04% | -11.52% |
| 6M | -7.76% | -7.8% |
| YTD | -7.27% | -7.48% |
| 1Y | 20.33% | 19.86% |
| 3Y (ann.) | 22.57% | 22.04% |
| 5Y (ann.) | 22.57% | 22.04% |
| 10Y (ann.) | 22.57% | 22.04% |
| All-time (ann.) | 22.57% | 22.04% |
| Best Day | 5.23% | 7.05% |
| Worst Day | -8.94% | -6.28% |
| Best Month | 16.05% | 14.03% |
| Worst Month | -9.18% | -8.46% |
| Best Year | 29.76% | 29.55% |
| Worst Year | -7.27% | -7.48% |
| Avg. Drawdown | -3.54% | -4.4% |
| Avg. Drawdown Days | 15 | 18 |
| Recovery Factor | 0.72 | 0.67 |
| Ulcer Index | 0.11 | 0.12 |
| Serenity Index | 0.09 | 0.08 |
| Avg. Up Month | 6.87% | 6.49% |
| Avg. Down Month | -5.23% | -4.89% |
| Win Days | 53.08% | 52.84% |
| Win Month | 58.33% | 58.33% |
| Win Quarter | 75.0% | 75.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.77 | - |
| Alpha | 0.05 | - |
| Correlation | 80.13% | - |
| Treynor Ratio | 17.32% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 29.55 | 29.76 | 1.01 | + |
| 2026 | -7.48 | -7.27 | 0.97 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-06-27 | -28.26 | 117 |
| 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 |