| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 21.18% | 21.18% |
| CAGR﹪ | 19.42% | 19.43% |
| Sharpe | 2.35 | 5.73 |
| Prob. Sharpe Ratio | 99.68% | 100.0% |
| Smart Sharpe | 1.66 | 4.05 |
| Sortino | 3.64 | 10.58 |
| Smart Sortino | 2.57 | 7.47 |
| Sortino/√2 | 2.57 | 7.48 |
| Smart Sortino/√2 | 1.82 | 5.28 |
| Omega | 1.54 | 1.54 |
| Max Drawdown | -1.61% | -1.22% |
| Longest DD Days | 28 | 22 |
| Volatility (ann.) | 4.72% | 1.92% |
| R^2 | 0.14 | 0.14 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 12.08 | 15.93 |
| Skew | -0.13 | -0.03 |
| Kurtosis | 1.14 | 6.94 |
| Expected Daily | 0.07% | 0.07% |
| Expected Monthly | 1.38% | 1.38% |
| Expected Yearly | 10.08% | 10.08% |
| Kelly Criterion | 39.8% | 65.87% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.42% | -0.13% |
| Expected Shortfall (cVaR) | -0.42% | -0.13% |
| Max Consecutive Wins | 13 | 41 |
| Max Consecutive Losses | 3 | 4 |
| Gain/Pain Ratio | 0.97 | 4.47 |
| Gain/Pain (1M) | 49.92 | 47.46 |
| Payoff Ratio | 1.0 | 1.34 |
| Profit Factor | 1.97 | 5.47 |
| Common Sense Ratio | 2.66 | 14.01 |
| CPC Index | 1.38 | 5.9 |
| Tail Ratio | 1.35 | 2.56 |
| Outlier Win Ratio | 2.88 | 5.5 |
| Outlier Loss Ratio | 1.7 | 5.17 |
| MTD | -0.31% | -0.41% |
| 3M | 2.87% | 2.89% |
| 6M | 8.09% | 8.03% |
| YTD | 7.21% | 7.15% |
| 1Y | 19.76% | 19.05% |
| 3Y (ann.) | 19.42% | 19.43% |
| 5Y (ann.) | 19.42% | 19.43% |
| 10Y (ann.) | 19.42% | 19.43% |
| All-time (ann.) | 19.42% | 19.43% |
| Best Day | 0.87% | 0.66% |
| Worst Day | -1.09% | -0.65% |
| Best Month | 2.83% | 2.82% |
| Worst Month | -0.31% | -0.41% |
| Best Year | 13.03% | 13.09% |
| Worst Year | 7.21% | 7.15% |
| Avg. Drawdown | -0.33% | -0.12% |
| Avg. Drawdown Days | 3 | 3 |
| Recovery Factor | 13.18 | 17.37 |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 27.13 | 40.17 |
| Avg. Up Month | 1.65% | 1.61% |
| Avg. Down Month | -0.31% | -0.41% |
| Win Days | 69.89% | 80.44% |
| Win Month | 85.71% | 92.86% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.91 | - |
| Alpha | 0.02 | - |
| Correlation | 37.06% | - |
| Treynor Ratio | 15.53% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 13.09 | 13.03 | 1.00 | - |
| 2026 | 7.15 | 7.21 | 1.01 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-15 | 2026-06-26 | -1.61 | 11 |
| 2026-01-12 | 2026-02-09 | -1.05 | 28 |
| 2025-09-19 | 2025-09-25 | -0.68 | 6 |
| 2025-12-23 | 2025-12-26 | -0.64 | 3 |
| 2025-10-08 | 2025-10-09 | -0.61 | 1 |
| 2026-04-08 | 2026-04-10 | -0.59 | 2 |
| 2026-05-14 | 2026-05-18 | -0.58 | 4 |
| 2025-10-02 | 2025-10-06 | -0.57 | 4 |
| 2026-05-06 | 2026-05-08 | -0.57 | 2 |
| 2025-06-19 | 2025-06-26 | -0.54 | 7 |