| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 23.43% | 23.3% |
| CAGR﹪ | 23.79% | 23.65% |
| Sharpe | 3.02 | 5.59 |
| Prob. Sharpe Ratio | 99.93% | 100.0% |
| Smart Sharpe | 2.19 | 4.05 |
| Sortino | 4.74 | 10.07 |
| Smart Sortino | 3.43 | 7.29 |
| Sortino/√2 | 3.35 | 7.12 |
| Smart Sortino/√2 | 2.43 | 5.15 |
| Omega | 1.72 | 1.72 |
| Max Drawdown | -1.44% | -1.04% |
| Longest DD Days | 28 | 28 |
| Volatility (ann.) | 4.82% | 2.57% |
| R^2 | 0.11 | 0.11 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 16.48 | 22.76 |
| Skew | -0.25 | -0.11 |
| Kurtosis | 0.93 | 15.4 |
| Expected Daily | 0.08% | 0.08% |
| Expected Monthly | 1.77% | 1.76% |
| Expected Yearly | 11.1% | 11.04% |
| Kelly Criterion | 47.77% | 66.92% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.42% | -0.18% |
| Expected Shortfall (cVaR) | -0.42% | -0.18% |
| Max Consecutive Wins | 12 | 27 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 1.18 | 4.21 |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | 1.36 | 1.63 |
| Profit Factor | 2.18 | 5.21 |
| Common Sense Ratio | 2.8 | 16.22 |
| CPC Index | 2.07 | 6.74 |
| Tail Ratio | 1.28 | 3.11 |
| Outlier Win Ratio | 2.6 | 4.42 |
| Outlier Loss Ratio | 2.08 | 5.16 |
| MTD | 1.37% | 1.37% |
| 3M | 5.35% | 4.71% |
| 6M | 8.98% | 8.8% |
| YTD | 5.73% | 5.72% |
| 1Y | 23.43% | 23.3% |
| 3Y (ann.) | 23.79% | 23.65% |
| 5Y (ann.) | 23.79% | 23.65% |
| 10Y (ann.) | 23.79% | 23.65% |
| All-time (ann.) | 23.79% | 23.65% |
| Best Day | 0.93% | 1.12% |
| Worst Day | -0.9% | -1.04% |
| Best Month | 4.58% | 4.57% |
| Worst Month | 0.36% | 0.74% |
| Best Year | 16.74% | 16.63% |
| Worst Year | 5.73% | 5.72% |
| Avg. Drawdown | -0.32% | -0.16% |
| Avg. Drawdown Days | 3 | 4 |
| Recovery Factor | 16.23 | 22.41 |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 33.04 | 40.21 |
| Avg. Up Month | 1.77% | 1.76% |
| Avg. Down Month | - | - |
| Win Days | 69.92% | 79.52% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.61 | - |
| Alpha | 0.08 | - |
| Correlation | 32.77% | - |
| Treynor Ratio | 26.72% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 16.63 | 16.74 | 1.01 | + |
| 2026 | 5.72 | 5.73 | 1.00 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-12-04 | 2025-12-29 | -1.44 | 25 |
| 2025-09-16 | 2025-10-14 | -1.08 | 28 |
| 2025-06-23 | 2025-06-27 | -0.63 | 4 |
| 2026-01-16 | 2026-01-19 | -0.59 | 3 |
| 2026-03-11 | 2026-03-13 | -0.59 | 2 |
| 2026-02-18 | 2026-02-19 | -0.55 | 1 |
| 2025-11-11 | 2025-11-13 | -0.55 | 2 |
| 2026-03-17 | 2026-03-20 | -0.54 | 3 |
| 2026-01-29 | 2026-02-03 | -0.52 | 5 |
| 2026-04-08 | 2026-04-09 | -0.51 | 1 |