| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 205.68% | 222.7% |
| CAGR﹪ | 34.27% | 36.2% |
| Sharpe | 1.18 | 1.29 |
| Prob. Sharpe Ratio | 77.91% | 84.41% |
| Smart Sharpe | 1.1 | 1.2 |
| Sortino | 1.74 | 1.89 |
| Smart Sortino | 1.62 | 1.76 |
| Sortino/√2 | 1.23 | 1.34 |
| Smart Sortino/√2 | 1.14 | 1.24 |
| Omega | 1.23 | 1.23 |
| Max Drawdown | -17.09% | -18.81% |
| Longest DD Days | 278 | 279 |
| Volatility (ann.) | 20.63% | 19.83% |
| R^2 | 0.65 | 0.65 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 2.01 | 1.92 |
| Skew | -0.3 | -0.24 |
| Kurtosis | 5.85 | 3.07 |
| Expected Daily | 0.12% | 0.12% |
| Expected Monthly | 2.41% | 2.52% |
| Expected Yearly | 25.04% | 26.4% |
| Kelly Criterion | 10.29% | 13.32% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.01% | -1.93% |
| Expected Shortfall (cVaR) | -2.01% | -1.93% |
| Max Consecutive Wins | 12 | 12 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.3 | 0.33 |
| Gain/Pain (1M) | 2.33 | 2.61 |
| Payoff Ratio | 1.02 | 1.05 |
| Profit Factor | 1.3 | 1.33 |
| Common Sense Ratio | 1.44 | 1.46 |
| CPC Index | 0.73 | 0.78 |
| Tail Ratio | 1.1 | 1.1 |
| Outlier Win Ratio | 3.45 | 3.53 |
| Outlier Loss Ratio | 3.62 | 3.71 |
| MTD | -0.11% | -0.16% |
| 3M | -9.25% | -11.87% |
| 6M | 3.75% | 2.05% |
| YTD | 2.17% | 0.46% |
| 1Y | 31.35% | 31.43% |
| 3Y (ann.) | 28.78% | 29.68% |
| 5Y (ann.) | 34.27% | 36.2% |
| 10Y (ann.) | 34.27% | 36.2% |
| All-time (ann.) | 34.27% | 36.2% |
| Best Day | 7.3% | 7.05% |
| Worst Day | -10.11% | -6.28% |
| Best Month | 17.35% | 18.04% |
| Worst Month | -7.38% | -8.46% |
| Best Year | 46.8% | 46.25% |
| Worst Year | 2.17% | 0.46% |
| Avg. Drawdown | -2.93% | -2.53% |
| Avg. Drawdown Days | 23 | 21 |
| Recovery Factor | 12.03 | 11.84 |
| Ulcer Index | 0.05 | 0.05 |
| Serenity Index | 5.27 | 4.97 |
| Avg. Up Month | 5.66% | 5.83% |
| Avg. Down Month | -3.49% | -3.26% |
| Win Days | 54.77% | 55.57% |
| Win Month | 67.39% | 65.22% |
| Win Quarter | 68.75% | 68.75% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.84 | - |
| Alpha | 0.04 | - |
| Correlation | 80.57% | - |
| Treynor Ratio | 237.01% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 17.94 | 14.05 | 0.78 | - |
| 2023 | 46.25 | 46.80 | 1.01 | + |
| 2024 | 44.60 | 41.42 | 0.93 | - |
| 2025 | 28.79 | 26.36 | 0.92 | - |
| 2026 | 0.46 | 2.17 | 4.76 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-03 | 2026-05-13 | -17.09 | 71 |
| 2022-08-01 | 2022-12-01 | -12.72 | 122 |
| 2024-04-17 | 2024-08-29 | -12.67 | 134 |
| 2026-01-29 | 2026-03-02 | -12.09 | 32 |
| 2024-11-29 | 2025-09-03 | -10.02 | 278 |
| 2025-10-21 | 2026-01-05 | -9.52 | 76 |
| 2023-08-14 | 2024-03-05 | -8.37 | 204 |
| 2024-10-31 | 2024-11-22 | -7.06 | 22 |
| 2023-04-14 | 2023-06-30 | -6.03 | 77 |
| 2022-12-22 | 2022-12-28 | -3.98 | 6 |