| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 94.0% | 99.0% |
| Cumulative Return | 5.99% | 5.95% |
| CAGR﹪ | 16.51% | 16.4% |
| Sharpe | 2.36 | 3.03 |
| Prob. Sharpe Ratio | 97.07% | 99.64% |
| Smart Sharpe | 2.29 | 2.95 |
| Sortino | 4.0 | 5.33 |
| Smart Sortino | 3.89 | 5.19 |
| Sortino/√2 | 2.83 | 3.77 |
| Smart Sortino/√2 | 2.75 | 3.67 |
| Omega | 1.54 | 1.54 |
| Max Drawdown | -1.76% | -1.39% |
| Longest DD Days | 22 | 22 |
| Volatility (ann.) | 3.85% | 2.96% |
| R^2 | 0.55 | 0.55 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 9.39 | 11.79 |
| Skew | 0.35 | 0.48 |
| Kurtosis | 1.64 | 2.87 |
| Expected Daily | 0.06% | 0.06% |
| Expected Monthly | 0.97% | 0.97% |
| Expected Yearly | 2.95% | 2.93% |
| Kelly Criterion | 37.12% | 42.61% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.34% | -0.24% |
| Expected Shortfall (cVaR) | -0.34% | -0.24% |
| Max Consecutive Wins | 5 | 7 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 1.14 | 1.6 |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | 1.41 | 1.42 |
| Profit Factor | 2.14 | 2.6 |
| Common Sense Ratio | 3.21 | 4.64 |
| CPC Index | 1.9 | 2.45 |
| Tail Ratio | 1.5 | 1.78 |
| Outlier Win Ratio | 3.82 | 4.53 |
| Outlier Loss Ratio | 2.82 | 3.89 |
| MTD | 1.21% | 1.09% |
| 3M | 4.92% | 4.8% |
| 6M | 5.99% | 5.95% |
| YTD | 3.68% | 3.86% |
| 1Y | 5.99% | 5.95% |
| 3Y (ann.) | 16.51% | 16.4% |
| 5Y (ann.) | 16.51% | 16.4% |
| 10Y (ann.) | 16.51% | 16.4% |
| All-time (ann.) | 16.51% | 16.4% |
| Best Day | 0.79% | 0.79% |
| Worst Day | -0.65% | -0.52% |
| Best Month | 1.31% | 1.58% |
| Worst Month | 0.05% | 0.06% |
| Best Year | 3.68% | 3.86% |
| Worst Year | 2.23% | 2.01% |
| Avg. Drawdown | -0.26% | -0.19% |
| Avg. Drawdown Days | 4 | 4 |
| Recovery Factor | 3.41 | 4.28 |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | -0.75 | -0.86 |
| Avg. Up Month | 0.98% | 0.97% |
| Avg. Down Month | - | - |
| Win Days | 63.22% | 66.3% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.97 | - |
| Alpha | 0.01 | - |
| Correlation | 74.34% | - |
| Treynor Ratio | -1.04% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 2.01 | 2.23 | 1.11 | + |
| 2026 | 3.86 | 3.68 | 0.95 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-12-08 | 2025-12-30 | -1.76 | 22 |
| 2026-01-06 | 2026-01-13 | -0.48 | 7 |
| 2026-02-17 | 2026-02-25 | -0.45 | 8 |
| 2026-02-26 | 2026-02-27 | -0.29 | 1 |
| 2026-03-16 | 2026-03-18 | -0.24 | 2 |
| 2026-03-05 | 2026-03-13 | -0.22 | 8 |
| 2026-03-03 | 2026-03-04 | -0.20 | 1 |
| 2026-02-05 | 2026-02-12 | -0.18 | 7 |
| 2026-01-16 | 2026-01-20 | -0.17 | 4 |
| 2025-11-11 | 2025-11-13 | -0.12 | 2 |