| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 49.86% | 49.4% |
| CAGR﹪ | 73.48% | 72.76% |
| Sharpe | 1.96 | 2.03 |
| Prob. Sharpe Ratio | 78.55% | 82.56% |
| Smart Sharpe | 1.67 | 1.73 |
| Sortino | 2.68 | 3.03 |
| Smart Sortino | 2.28 | 2.58 |
| Sortino/√2 | 1.9 | 2.14 |
| Smart Sortino/√2 | 1.61 | 1.82 |
| Omega | 1.46 | 1.46 |
| Max Drawdown | -12.74% | -10.49% |
| Longest DD Days | 76 | 76 |
| Volatility (ann.) | 26.56% | 25.2% |
| R^2 | 0.87 | 0.87 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 5.77 | 6.93 |
| Skew | -2.35 | -0.89 |
| Kurtosis | 19.14 | 9.38 |
| Expected Daily | 0.22% | 0.22% |
| Expected Monthly | 4.6% | 4.56% |
| Expected Yearly | 22.42% | 22.23% |
| Kelly Criterion | 18.44% | 18.63% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.52% | -2.38% |
| Expected Shortfall (cVaR) | -2.52% | -2.38% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.53 | 0.54 |
| Gain/Pain (1M) | 9.27 | 10.4 |
| Payoff Ratio | 1.21 | 1.21 |
| Profit Factor | 1.53 | 1.54 |
| Common Sense Ratio | 2.15 | 2.3 |
| CPC Index | 1.03 | 1.03 |
| Tail Ratio | 1.41 | 1.5 |
| Outlier Win Ratio | 3.31 | 3.32 |
| Outlier Loss Ratio | 3.17 | 3.32 |
| MTD | -2.15% | 1.57% |
| 3M | 24.18% | 23.81% |
| 6M | 47.71% | 47.41% |
| YTD | 17.86% | 17.84% |
| 1Y | 49.86% | 49.4% |
| 3Y (ann.) | 73.48% | 72.76% |
| 5Y (ann.) | 73.48% | 72.76% |
| 10Y (ann.) | 73.48% | 72.76% |
| All-time (ann.) | 73.48% | 72.76% |
| Best Day | 4.84% | 6.58% |
| Worst Day | -12.74% | -9.86% |
| Best Month | 20.44% | 16.02% |
| Worst Month | -3.77% | -4.08% |
| Best Year | 27.15% | 26.78% |
| Worst Year | 17.86% | 17.84% |
| Avg. Drawdown | -2.85% | -2.58% |
| Avg. Drawdown Days | 14 | 15 |
| Recovery Factor | 3.91 | 4.71 |
| Ulcer Index | 0.04 | 0.04 |
| Serenity Index | 2.14 | 2.74 |
| Avg. Up Month | 7.06% | 6.43% |
| Avg. Down Month | -3.77% | -4.08% |
| Win Days | 55.31% | 55.43% |
| Win Month | 77.78% | 88.89% |
| Win Quarter | 75.0% | 75.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.98 | - |
| Alpha | 0.02 | - |
| Correlation | 93.28% | - |
| Treynor Ratio | 43.59% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 26.78 | 27.15 | 1.01 | + |
| 2026 | 17.84 | 17.86 | 1.00 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-02 | 2026-02-27 | -12.74 | 25 |
| 2025-10-21 | 2026-01-05 | -10.55 | 76 |
| 2025-06-16 | 2025-07-29 | -4.61 | 43 |
| 2025-06-05 | 2025-06-13 | -3.09 | 8 |
| 2025-07-30 | 2025-08-08 | -2.95 | 9 |
| 2025-08-11 | 2025-08-27 | -2.85 | 16 |
| 2025-09-11 | 2025-09-23 | -2.60 | 12 |
| 2025-09-30 | 2025-10-06 | -2.06 | 6 |
| 2026-01-13 | 2026-01-19 | -0.87 | 6 |
| 2026-01-08 | 2026-01-12 | -0.81 | 4 |