| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 25.86% | 25.73% |
| CAGR﹪ | 22.3% | 22.19% |
| Sharpe | 2.86 | 5.44 |
| Prob. Sharpe Ratio | 99.95% | 100.0% |
| Smart Sharpe | 2.04 | 3.89 |
| Sortino | 4.43 | 9.82 |
| Smart Sortino | 3.17 | 7.02 |
| Sortino/√2 | 3.13 | 6.94 |
| Smart Sortino/√2 | 2.24 | 4.97 |
| Omega | 1.68 | 1.68 |
| Max Drawdown | -1.44% | -1.04% |
| Longest DD Days | 28 | 28 |
| Volatility (ann.) | 4.69% | 2.43% |
| R^2 | 0.1 | 0.1 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 15.45 | 21.35 |
| Skew | -0.26 | -0.04 |
| Kurtosis | 1.05 | 16.81 |
| Expected Daily | 0.08% | 0.08% |
| Expected Monthly | 1.66% | 1.65% |
| Expected Yearly | 12.19% | 12.13% |
| Kelly Criterion | 46.65% | 67.53% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.41% | -0.17% |
| Expected Shortfall (cVaR) | -0.41% | -0.17% |
| Max Consecutive Wins | 12 | 27 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 1.15 | 4.3 |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | 1.24 | 1.56 |
| Profit Factor | 2.15 | 5.3 |
| Common Sense Ratio | 2.71 | 16.0 |
| CPC Index | 1.88 | 6.63 |
| Tail Ratio | 1.26 | 3.02 |
| Outlier Win Ratio | 2.71 | 4.7 |
| Outlier Loss Ratio | 2.08 | 5.33 |
| MTD | 0.66% | 0.65% |
| 3M | 3.79% | 3.78% |
| 6M | 9.42% | 9.15% |
| YTD | 7.81% | 7.8% |
| 1Y | 21.68% | 21.19% |
| 3Y (ann.) | 22.3% | 22.19% |
| 5Y (ann.) | 22.3% | 22.19% |
| 10Y (ann.) | 22.3% | 22.19% |
| All-time (ann.) | 22.3% | 22.19% |
| Best Day | 0.93% | 1.12% |
| Worst Day | -0.9% | -1.04% |
| Best Month | 4.58% | 4.57% |
| Worst Month | 0.36% | 0.65% |
| Best Year | 16.74% | 16.63% |
| Worst Year | 7.81% | 7.8% |
| Avg. Drawdown | -0.31% | -0.14% |
| Avg. Drawdown Days | 3 | 4 |
| Recovery Factor | 17.91 | 24.76 |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 40.06 | 50.29 |
| Avg. Up Month | 1.66% | 1.65% |
| Avg. Down Month | - | - |
| Win Days | 70.42% | 80.21% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.62 | - |
| Alpha | 0.08 | - |
| Correlation | 32.14% | - |
| Treynor Ratio | 30.42% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 16.63 | 16.74 | 1.01 | + |
| 2026 | 7.80 | 7.81 | 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 |
| 2026-06-22 | 2026-06-26 | -0.62 | 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 |
| 2026-06-02 | 2026-06-03 | -0.53 | 1 |