| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 18.84% | 18.85% |
| CAGR﹪ | 23.81% | 23.82% |
| Sharpe | 3.07 | 5.14 |
| Prob. Sharpe Ratio | 99.89% | 100.0% |
| Smart Sharpe | 2.62 | 4.39 |
| Sortino | 5.13 | 10.25 |
| Smart Sortino | 4.38 | 8.75 |
| Sortino/√2 | 3.63 | 7.25 |
| Smart Sortino/√2 | 3.1 | 6.19 |
| Omega | 1.66 | 1.66 |
| Max Drawdown | -1.88% | -1.44% |
| Longest DD Days | 48 | 45 |
| Volatility (ann.) | 4.82% | 2.86% |
| R^2 | 0.33 | 0.33 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 12.67 | 16.57 |
| Skew | 0.09 | 0.66 |
| Kurtosis | 0.32 | 4.16 |
| Expected Daily | 0.09% | 0.09% |
| Expected Monthly | 1.58% | 1.58% |
| Expected Yearly | 9.01% | 9.02% |
| Kelly Criterion | 35.05% | 49.33% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.41% | -0.21% |
| Expected Shortfall (cVaR) | -0.41% | -0.21% |
| Max Consecutive Wins | 12 | 13 |
| Max Consecutive Losses | 5 | 9 |
| Gain/Pain Ratio | 1.1 | 2.76 |
| Gain/Pain (1M) | - | 61.85 |
| Payoff Ratio | 1.33 | 1.69 |
| Profit Factor | 2.1 | 3.76 |
| Common Sense Ratio | 2.8 | 8.41 |
| CPC Index | 1.76 | 4.34 |
| Tail Ratio | 1.33 | 2.23 |
| Outlier Win Ratio | 2.57 | 3.86 |
| Outlier Loss Ratio | 2.05 | 4.52 |
| MTD | 0.28% | 0.27% |
| 3M | 3.25% | 3.25% |
| 6M | 6.35% | 6.34% |
| YTD | 2.57% | 2.48% |
| 1Y | 18.84% | 18.85% |
| 3Y (ann.) | 23.81% | 23.82% |
| 5Y (ann.) | 23.81% | 23.82% |
| 10Y (ann.) | 23.81% | 23.82% |
| All-time (ann.) | 23.81% | 23.82% |
| Best Day | 1.07% | 1.04% |
| Worst Day | -0.71% | -0.56% |
| Best Month | 4.72% | 4.64% |
| Worst Month | 0.12% | -0.28% |
| Best Year | 15.86% | 15.98% |
| Worst Year | 2.57% | 2.48% |
| Avg. Drawdown | -0.42% | -0.2% |
| Avg. Drawdown Days | 5 | 5 |
| Recovery Factor | 10.03 | 13.11 |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 7.92 | 6.62 |
| Avg. Up Month | 1.74% | 1.78% |
| Avg. Down Month | - | - |
| Win Days | 62.94% | 68.16% |
| Win Month | 100.0% | 90.91% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.97 | - |
| Alpha | 0.01 | - |
| Correlation | 57.5% | - |
| Treynor Ratio | 12.24% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 15.98 | 15.86 | 0.99 | - |
| 2026 | 2.48 | 2.57 | 1.04 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-09-12 | 2025-10-30 | -1.88 | 48 |
| 2025-12-19 | 2025-12-30 | -1.07 | 11 |
| 2025-07-08 | 2025-07-11 | -0.84 | 3 |
| 2026-01-13 | 2026-01-20 | -0.66 | 7 |
| 2026-02-04 | 2026-02-13 | -0.66 | 9 |
| 2026-01-21 | 2026-01-26 | -0.58 | 5 |
| 2025-07-28 | 2025-07-29 | -0.58 | 1 |
| 2025-11-26 | 2025-11-27 | -0.57 | 1 |
| 2025-05-21 | 2025-05-27 | -0.56 | 6 |
| 2025-12-16 | 2025-12-17 | -0.53 | 1 |