| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 24.85% | 24.29% |
| CAGR﹪ | 19.03% | 18.61% |
| Sharpe | 0.56 | 0.55 |
| Prob. Sharpe Ratio | 37.73% | 37.43% |
| Smart Sharpe | 0.52 | 0.51 |
| Sortino | 0.88 | 0.89 |
| Smart Sortino | 0.82 | 0.82 |
| Sortino/√2 | 0.62 | 0.63 |
| Smart Sortino/√2 | 0.58 | 0.58 |
| Omega | 1.1 | 1.1 |
| Max Drawdown | -21.51% | -21.0% |
| Longest DD Days | 388 | 380 |
| Volatility (ann.) | 24.21% | 23.79% |
| R^2 | 0.63 | 0.63 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.88 | 0.89 |
| Skew | 0.8 | 1.14 |
| Kurtosis | 3.53 | 5.4 |
| Expected Daily | 0.07% | 0.07% |
| Expected Monthly | 1.4% | 1.37% |
| Expected Yearly | 7.68% | 7.52% |
| Kelly Criterion | 7.29% | 6.77% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.43% | -2.39% |
| Expected Shortfall (cVaR) | -2.43% | -2.39% |
| Max Consecutive Wins | 6 | 8 |
| Max Consecutive Losses | 5 | 14 |
| Gain/Pain Ratio | 0.16 | 0.16 |
| Gain/Pain (1M) | 1.06 | 1.03 |
| Payoff Ratio | 1.08 | 1.14 |
| Profit Factor | 1.16 | 1.16 |
| Common Sense Ratio | 1.22 | 1.3 |
| CPC Index | 0.65 | 0.66 |
| Tail Ratio | 1.06 | 1.12 |
| Outlier Win Ratio | 3.68 | 3.54 |
| Outlier Loss Ratio | 2.76 | 3.09 |
| MTD | 2.54% | 2.09% |
| 3M | 7.17% | 7.22% |
| 6M | 2.63% | 2.57% |
| YTD | 5.12% | 4.87% |
| 1Y | -3.12% | -3.03% |
| 3Y (ann.) | 19.03% | 18.61% |
| 5Y (ann.) | 19.03% | 18.61% |
| 10Y (ann.) | 19.03% | 18.61% |
| All-time (ann.) | 19.03% | 18.61% |
| Best Day | 8.43% | 9.19% |
| Worst Day | -4.2% | -3.52% |
| Best Month | 16.19% | 15.5% |
| Worst Month | -7.55% | -7.54% |
| Best Year | 16.19% | 15.5% |
| Worst Year | 2.22% | 2.61% |
| Avg. Drawdown | -4.7% | -3.66% |
| Avg. Drawdown Days | 48 | 40 |
| Recovery Factor | 1.16 | 1.16 |
| Ulcer Index | 0.12 | 0.11 |
| Serenity Index | 0.12 | 0.12 |
| Avg. Up Month | 5.62% | 5.57% |
| Avg. Down Month | -3.65% | -3.67% |
| Win Days | 51.8% | 50.31% |
| Win Month | 56.25% | 56.25% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.81 | - |
| Alpha | 0.04 | - |
| Correlation | 79.34% | - |
| Treynor Ratio | 22.1% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 15.50 | 16.19 | 1.04 | + |
| 2025 | 2.61 | 2.22 | 0.85 | - |
| 2026 | 4.87 | 5.12 | 1.05 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-02-18 | 2026-03-13 | -21.51 | 388 |
| 2024-12-10 | 2024-12-20 | -5.90 | 10 |
| 2025-01-03 | 2025-01-15 | -4.17 | 12 |
| 2024-12-04 | 2024-12-06 | -2.68 | 2 |
| 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 |