| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 94.0% | 99.0% |
| Cumulative Return | 18.76% | 22.05% |
| CAGR﹪ | 13.01% | 15.23% |
| Sharpe | 0.34 | 0.42 |
| Prob. Sharpe Ratio | 27.94% | 31.71% |
| Smart Sharpe | 0.31 | 0.39 |
| Sortino | 0.52 | 0.66 |
| Smart Sortino | 0.49 | 0.61 |
| Sortino/√2 | 0.37 | 0.47 |
| Smart Sortino/√2 | 0.34 | 0.43 |
| Omega | 1.06 | 1.06 |
| Max Drawdown | -21.51% | -20.62% |
| Longest DD Days | 430 | 422 |
| Volatility (ann.) | 23.08% | 22.68% |
| R^2 | 0.52 | 0.52 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.61 | 0.74 |
| Skew | 0.84 | 0.93 |
| Kurtosis | 4.07 | 5.35 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 0.96% | 1.11% |
| Expected Yearly | 5.9% | 6.87% |
| Kelly Criterion | 4.3% | 5.4% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.33% | -2.28% |
| Expected Shortfall (cVaR) | -2.33% | -2.28% |
| Max Consecutive Wins | 6 | 8 |
| Max Consecutive Losses | 5 | 14 |
| Gain/Pain Ratio | 0.12 | 0.14 |
| Gain/Pain (1M) | 0.78 | 0.9 |
| Payoff Ratio | 1.03 | 1.06 |
| Profit Factor | 1.12 | 1.14 |
| Common Sense Ratio | 1.21 | 1.26 |
| CPC Index | 0.59 | 0.62 |
| Tail Ratio | 1.08 | 1.11 |
| Outlier Win Ratio | 3.97 | 3.89 |
| Outlier Loss Ratio | 2.87 | 3.13 |
| MTD | -1.2% | -1.4% |
| 3M | -2.12% | -1.43% |
| 6M | 7.46% | 8.45% |
| YTD | -0.0% | 0.61% |
| 1Y | -0.6% | 0.98% |
| 3Y (ann.) | 13.01% | 15.23% |
| 5Y (ann.) | 13.01% | 15.23% |
| 10Y (ann.) | 13.01% | 15.23% |
| All-time (ann.) | 13.01% | 15.23% |
| Best Day | 8.43% | 9.2% |
| Worst Day | -4.2% | -4.1% |
| Best Month | 14.42% | 13.91% |
| Worst Month | -7.55% | -7.26% |
| Best Year | 16.19% | 17.84% |
| Worst Year | -0.0% | 0.61% |
| Avg. Drawdown | -5.03% | -4.1% |
| Avg. Drawdown Days | 60 | 54 |
| Recovery Factor | 0.87 | 1.07 |
| Ulcer Index | 0.12 | 0.11 |
| Serenity Index | 0.08 | 0.1 |
| Avg. Up Month | 5.31% | 5.46% |
| Avg. Down Month | -3.42% | -3.41% |
| Win Days | 51.33% | 51.4% |
| Win Month | 50.0% | 55.56% |
| Win Quarter | 57.14% | 57.14% |
| Win Year | 66.67% | 100.0% |
| Beta | 0.73 | - |
| Alpha | 0.03 | - |
| Correlation | 72.19% | - |
| Treynor Ratio | 16.01% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 17.84 | 16.19 | 0.91 | - |
| 2025 | 2.94 | 2.22 | 0.76 | - |
| 2026 | 0.61 | -0.00 | -0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-02-18 | 2026-04-24 | -21.51 | 430 |
| 2024-12-03 | 2024-12-20 | -6.57 | 17 |
| 2025-01-03 | 2025-01-15 | -4.17 | 12 |
| 2025-01-31 | 2025-02-06 | -2.41 | 6 |
| 2025-01-20 | 2025-01-30 | -2.25 | 10 |
| 2025-02-14 | 2025-02-17 | -1.87 | 3 |
| 2024-12-24 | 2024-12-25 | -1.32 | 1 |
| 2025-02-07 | 2025-02-10 | -0.17 | 3 |