| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 91.0% | 97.0% |
| Cumulative Return | 0.92% | 0.99% |
| CAGR﹪ | 8.12% | 8.69% |
| Sharpe | 0.21 | 0.42 |
| Prob. Sharpe Ratio | 73.4% | 74.01% |
| Smart Sharpe | 0.2 | 0.39 |
| Sortino | 0.28 | 0.53 |
| Smart Sortino | 0.27 | 0.5 |
| Sortino/√2 | 0.2 | 0.37 |
| Smart Sortino/√2 | 0.19 | 0.35 |
| Omega | 1.04 | 1.04 |
| Max Drawdown | -0.81% | -0.81% |
| Longest DD Days | 4 | 6 |
| Volatility (ann.) | 2.36% | 2.37% |
| R^2 | 0.83 | 0.83 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 10.02 | 10.69 |
| Skew | -0.99 | -1.67 |
| Kurtosis | 3.22 | 4.98 |
| Expected Daily | 0.03% | 0.03% |
| Expected Monthly | 0.31% | 0.33% |
| Expected Yearly | 0.92% | 0.99% |
| Kelly Criterion | 26.56% | 30.83% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.22% | -0.21% |
| Expected Shortfall (cVaR) | -0.22% | -0.21% |
| Max Consecutive Wins | 5 | 5 |
| Max Consecutive Losses | 3 | 3 |
| Gain/Pain Ratio | 0.76 | 0.79 |
| Gain/Pain (1M) | 2.15 | 2.01 |
| Payoff Ratio | 0.89 | 0.87 |
| Profit Factor | 1.76 | 1.79 |
| Common Sense Ratio | 1.97 | 2.15 |
| CPC Index | 1.02 | 1.06 |
| Tail Ratio | 1.12 | 1.2 |
| Outlier Win Ratio | 2.84 | 2.72 |
| Outlier Loss Ratio | 3.47 | 3.38 |
| MTD | -0.43% | -0.49% |
| 3M | 0.92% | 0.99% |
| 6M | 0.92% | 0.99% |
| YTD | 0.92% | 0.99% |
| 1Y | 0.92% | 0.99% |
| 3Y (ann.) | 8.12% | 8.69% |
| 5Y (ann.) | 8.12% | 8.69% |
| 10Y (ann.) | 8.12% | 8.69% |
| All-time (ann.) | 8.12% | 8.69% |
| Best Day | 0.35% | 0.24% |
| Worst Day | -0.46% | -0.52% |
| Best Month | 1.31% | 1.42% |
| Worst Month | -0.43% | -0.49% |
| Best Year | 0.92% | 0.99% |
| Worst Year | 0.92% | 0.99% |
| Avg. Drawdown | -0.17% | -0.17% |
| Avg. Drawdown Days | 3 | 3 |
| Recovery Factor | 1.14 | 1.21 |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | -9.58 | -9.7 |
| Avg. Up Month | 0.68% | 0.74% |
| Avg. Down Month | -0.43% | -0.49% |
| Win Days | 65.52% | 67.74% |
| Win Month | 66.67% | 66.67% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.91 | - |
| Alpha | 0.0 | - |
| Correlation | 91.02% | - |
| Treynor Ratio | -6.69% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.99 | 0.92 | 0.94 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-12-08 | 2025-12-12 | -0.81 | 4 |
| 2025-11-11 | 2025-11-13 | -0.12 | 2 |
| 2025-12-03 | 2025-12-04 | -0.08 | 1 |
| 2025-11-18 | 2025-11-21 | -0.07 | 3 |
| 2025-11-25 | 2025-11-27 | -0.07 | 2 |
| 2025-11-07 | 2025-11-10 | -0.04 | 3 |
| 2025-11-14 | 2025-11-17 | -0.03 | 3 |