| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 94.0% | 97.0% |
| Cumulative Return | 55.92% | 68.1% |
| CAGR﹪ | 9.39% | 11.06% |
| Sharpe | 0.21 | 0.41 |
| Prob. Sharpe Ratio | 12.14% | 45.71% |
| Smart Sharpe | 0.14 | 0.27 |
| Sortino | 0.3 | 0.48 |
| Smart Sortino | 0.2 | 0.32 |
| Sortino/√2 | 0.22 | 0.34 |
| Smart Sortino/√2 | 0.14 | 0.23 |
| Omega | 1.07 | 1.07 |
| Max Drawdown | -29.99% | -26.02% |
| Longest DD Days | 253 | 238 |
| Volatility (ann.) | 19.04% | 10.65% |
| R^2 | 0.4 | 0.4 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.31 | 0.43 |
| Skew | 0.9 | -10.3 |
| Kurtosis | 297.26 | 239.68 |
| Expected Daily | 0.04% | 0.04% |
| Expected Monthly | 0.73% | 0.86% |
| Expected Yearly | 7.68% | 9.04% |
| Kelly Criterion | -1.75% | 21.21% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.93% | -1.06% |
| Expected Shortfall (cVaR) | -1.93% | -1.06% |
| Max Consecutive Wins | 9 | 21 |
| Max Consecutive Losses | 9 | 12 |
| Gain/Pain Ratio | 0.21 | 0.53 |
| Gain/Pain (1M) | 2.78 | 1.74 |
| Payoff Ratio | 0.81 | 0.75 |
| Profit Factor | 1.21 | 1.53 |
| Common Sense Ratio | 1.41 | 1.87 |
| CPC Index | 0.53 | 0.76 |
| Tail Ratio | 1.17 | 1.22 |
| Outlier Win Ratio | 3.57 | 8.24 |
| Outlier Loss Ratio | 3.09 | 5.84 |
| MTD | 1.42% | 1.2% |
| 3M | 3.47% | 5.04% |
| 6M | 4.46% | 7.17% |
| YTD | 3.33% | 4.42% |
| 1Y | 23.85% | 27.63% |
| 3Y (ann.) | 11.66% | 14.35% |
| 5Y (ann.) | 9.44% | 11.1% |
| 10Y (ann.) | 9.39% | 11.06% |
| All-time (ann.) | 9.39% | 11.06% |
| Best Day | 25.56% | 7.63% |
| Worst Day | -24.07% | -13.4% |
| Best Month | 6.35% | 9.57% |
| Worst Month | -9.42% | -11.48% |
| Best Year | 26.31% | 29.26% |
| Worst Year | 2.47% | 3.63% |
| Avg. Drawdown | -1.08% | -0.72% |
| Avg. Drawdown Days | 14 | 13 |
| Recovery Factor | 1.86 | 2.62 |
| Ulcer Index | 0.04 | 0.03 |
| Serenity Index | 2.3 | 1.84 |
| Avg. Up Month | 1.65% | 1.78% |
| Avg. Down Month | -2.25% | -2.57% |
| Win Days | 54.45% | 66.22% |
| Win Month | 75.0% | 78.69% |
| Win Quarter | 76.19% | 80.95% |
| Win Year | 100.0% | 100.0% |
| Beta | 1.12 | - |
| Alpha | -0.02 | - |
| Correlation | 62.87% | - |
| Treynor Ratio | 43.53% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.63 | 2.47 | 0.68 | - |
| 2022 | 5.44 | 4.85 | 0.89 | - |
| 2023 | 7.86 | 6.54 | 0.83 | - |
| 2024 | 5.68 | 4.36 | 0.77 | - |
| 2025 | 29.26 | 26.31 | 0.90 | - |
| 2026 | 4.42 | 3.33 | 0.75 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-05 | 2022-09-15 | -29.99 | 253 |
| 2024-08-20 | 2025-01-09 | -8.87 | 142 |
| 2022-09-19 | 2022-11-18 | -6.94 | 60 |
| 2023-08-11 | 2024-03-05 | -4.78 | 207 |
| 2025-12-05 | 2026-02-24 | -4.52 | 81 |
| 2021-10-21 | 2022-01-03 | -3.77 | 74 |
| 2024-05-21 | 2024-08-13 | -3.14 | 84 |
| 2025-03-27 | 2025-04-24 | -2.36 | 28 |
| 2025-09-09 | 2025-10-29 | -2.30 | 50 |
| 2025-05-15 | 2025-05-21 | -1.73 | 6 |