| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 17.68% | 17.04% |
| CAGR﹪ | 17.63% | 16.99% |
| Sharpe | 0.48 | 0.47 |
| Prob. Sharpe Ratio | 35.39% | 35.03% |
| Smart Sharpe | 0.42 | 0.41 |
| Sortino | 0.62 | 0.64 |
| Smart Sortino | 0.55 | 0.56 |
| Sortino/√2 | 0.44 | 0.45 |
| Smart Sortino/√2 | 0.39 | 0.4 |
| Omega | 1.09 | 1.09 |
| Max Drawdown | -24.5% | -24.5% |
| Longest DD Days | 94 | 94 |
| Volatility (ann.) | 27.88% | 26.6% |
| R^2 | 0.89 | 0.89 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.72 | 0.69 |
| Skew | -1.77 | -0.77 |
| Kurtosis | 11.61 | 5.71 |
| Expected Daily | 0.06% | 0.06% |
| Expected Monthly | 1.26% | 1.22% |
| Expected Yearly | 8.48% | 8.18% |
| Kelly Criterion | 5.71% | 5.29% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.81% | -2.68% |
| Expected Shortfall (cVaR) | -2.81% | -2.68% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 8 |
| Gain/Pain Ratio | 0.14 | 0.14 |
| Gain/Pain (1M) | 0.74 | 0.71 |
| Payoff Ratio | 1.04 | 1.05 |
| Profit Factor | 1.14 | 1.14 |
| Common Sense Ratio | 1.31 | 1.12 |
| CPC Index | 0.62 | 0.62 |
| Tail Ratio | 1.15 | 0.98 |
| Outlier Win Ratio | 3.13 | 3.1 |
| Outlier Loss Ratio | 3.97 | 4.17 |
| MTD | -0.98% | -1.54% |
| 3M | -20.81% | -20.32% |
| 6M | -1.3% | -1.45% |
| YTD | -7.45% | -7.69% |
| 1Y | 17.68% | 17.04% |
| 3Y (ann.) | 17.63% | 16.99% |
| 5Y (ann.) | 17.63% | 16.99% |
| 10Y (ann.) | 17.63% | 16.99% |
| All-time (ann.) | 17.63% | 16.99% |
| Best Day | 4.84% | 6.58% |
| Worst Day | -12.74% | -9.86% |
| Best Month | 20.44% | 16.02% |
| Worst Month | -8.25% | -8.58% |
| Best Year | 27.15% | 26.78% |
| Worst Year | -7.45% | -7.69% |
| Avg. Drawdown | -4.12% | -3.95% |
| Avg. Drawdown Days | 18 | 20 |
| Recovery Factor | 0.72 | 0.7 |
| Ulcer Index | 0.09 | 0.09 |
| Serenity Index | 0.13 | 0.12 |
| Avg. Up Month | 7.06% | 6.43% |
| Avg. Down Month | -5.41% | -5.52% |
| Win Days | 51.82% | 51.38% |
| Win Month | 53.85% | 61.54% |
| Win Quarter | 60.0% | 60.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.99 | - |
| Alpha | 0.01 | - |
| Correlation | 94.42% | - |
| Treynor Ratio | 10.79% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 26.78 | 27.15 | 1.01 | + |
| 2026 | -7.69 | -7.45 | 0.97 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-03 | 2026-06-05 | -24.50 | 94 |
| 2026-02-02 | 2026-03-02 | -12.74 | 28 |
| 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 |