| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 95.0% | 73.0% |
| Cumulative Return | 56.52% | 57.11% |
| CAGR﹪ | 9.45% | 9.53% |
| Sharpe | 0.22 | 0.34 |
| Prob. Sharpe Ratio | 12.65% | 51.8% |
| Smart Sharpe | 0.13 | 0.19 |
| Sortino | 0.32 | 0.41 |
| Smart Sortino | 0.18 | 0.23 |
| Sortino/√2 | 0.23 | 0.29 |
| Smart Sortino/√2 | 0.13 | 0.17 |
| Omega | 1.08 | 1.08 |
| Max Drawdown | -29.99% | -19.38% |
| Longest DD Days | 253 | 234 |
| Volatility (ann.) | 19.14% | 8.44% |
| R^2 | 0.64 | 0.64 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.32 | 0.49 |
| Skew | 0.9 | -10.17 |
| Kurtosis | 294.83 | 326.08 |
| Expected Daily | 0.04% | 0.04% |
| Expected Monthly | 0.75% | 0.76% |
| Expected Yearly | 7.75% | 7.82% |
| Kelly Criterion | -1.49% | 19.49% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.94% | -0.84% |
| Expected Shortfall (cVaR) | -1.94% | -0.84% |
| Max Consecutive Wins | 9 | 21 |
| Max Consecutive Losses | 9 | 11 |
| Gain/Pain Ratio | 0.21 | 0.53 |
| Gain/Pain (1M) | 2.8 | 1.73 |
| Payoff Ratio | 0.81 | 0.71 |
| Profit Factor | 1.21 | 1.53 |
| Common Sense Ratio | 1.39 | 1.83 |
| CPC Index | 0.53 | 0.72 |
| Tail Ratio | 1.15 | 1.2 |
| Outlier Win Ratio | 3.31 | 10.03 |
| Outlier Loss Ratio | 2.96 | 4.84 |
| MTD | 1.31% | 0.64% |
| 3M | 2.37% | 2.48% |
| 6M | 4.34% | 5.09% |
| YTD | 3.23% | 3.09% |
| 1Y | 24.19% | 22.6% |
| 3Y (ann.) | 11.67% | 12.1% |
| 5Y (ann.) | 9.52% | 9.56% |
| 10Y (ann.) | 9.45% | 9.53% |
| All-time (ann.) | 9.45% | 9.53% |
| Best Day | 25.56% | 7.45% |
| Worst Day | -24.07% | -12.97% |
| Best Month | 6.35% | 6.44% |
| Worst Month | -9.42% | -10.6% |
| Best Year | 26.31% | 26.01% |
| Worst Year | 2.97% | 2.81% |
| Avg. Drawdown | -1.1% | -0.99% |
| Avg. Drawdown Days | 14 | 19 |
| Recovery Factor | 1.88 | 2.95 |
| Ulcer Index | 0.04 | 0.03 |
| Serenity Index | 2.49 | 1.77 |
| Avg. Up Month | 1.78% | 1.76% |
| Avg. Down Month | -2.25% | -2.43% |
| Win Days | 54.63% | 66.56% |
| Win Month | 75.0% | 76.27% |
| Win Quarter | 76.19% | 80.95% |
| Win Year | 100.0% | 100.0% |
| Beta | 1.81 | - |
| Alpha | -0.06 | - |
| Correlation | 80.0% | - |
| Treynor Ratio | 27.31% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.81 | 2.97 | 1.06 | + |
| 2022 | 5.46 | 4.85 | 0.89 | - |
| 2023 | 7.39 | 6.54 | 0.89 | - |
| 2024 | 3.87 | 4.36 | 1.13 | + |
| 2025 | 26.01 | 26.31 | 1.01 | + |
| 2026 | 3.09 | 3.23 | 1.04 | + |
| 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 |