| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 89.0% |
| Cumulative Return | 28.33% | 27.21% |
| CAGR﹪ | 27.24% | 26.16% |
| Sharpe | 0.73 | 0.69 |
| Prob. Sharpe Ratio | 45.57% | 44.15% |
| Smart Sharpe | 0.68 | 0.65 |
| Sortino | 1.0 | 1.0 |
| Smart Sortino | 0.93 | 0.94 |
| Sortino/√2 | 0.71 | 0.71 |
| Smart Sortino/√2 | 0.66 | 0.66 |
| Omega | 1.14 | 1.14 |
| Max Drawdown | -18.76% | -18.81% |
| Longest DD Days | 129 | 116 |
| Volatility (ann.) | 24.22% | 24.19% |
| R^2 | 0.69 | 0.69 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 1.45 | 1.39 |
| Skew | -0.84 | -0.18 |
| Kurtosis | 5.41 | 3.46 |
| Expected Daily | 0.08% | 0.08% |
| Expected Monthly | 1.8% | 1.73% |
| Expected Yearly | 13.28% | 12.79% |
| Kelly Criterion | 7.25% | 8.17% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.41% | -2.41% |
| Expected Shortfall (cVaR) | -2.41% | -2.41% |
| Max Consecutive Wins | 7 | 12 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.2 | 0.2 |
| Gain/Pain (1M) | 1.19 | 1.32 |
| Payoff Ratio | 0.99 | 1.07 |
| Profit Factor | 1.2 | 1.2 |
| Common Sense Ratio | 1.17 | 1.47 |
| CPC Index | 0.64 | 0.67 |
| Tail Ratio | 0.98 | 1.23 |
| Outlier Win Ratio | 3.39 | 3.73 |
| Outlier Loss Ratio | 4.12 | 3.88 |
| MTD | 1.1% | 0.16% |
| 3M | -7.16% | -6.59% |
| 6M | 7.92% | 7.01% |
| YTD | 2.94% | 0.78% |
| 1Y | 29.54% | 27.92% |
| 3Y (ann.) | 27.24% | 26.16% |
| 5Y (ann.) | 27.24% | 26.16% |
| 10Y (ann.) | 27.24% | 26.16% |
| All-time (ann.) | 27.24% | 26.16% |
| Best Day | 5.08% | 7.05% |
| Worst Day | -9.1% | -6.28% |
| Best Month | 17.77% | 14.03% |
| Worst Month | -9.07% | -8.46% |
| Best Year | 24.67% | 26.23% |
| Worst Year | 2.94% | 0.78% |
| Avg. Drawdown | -4.34% | -4.45% |
| Avg. Drawdown Days | 26 | 24 |
| Recovery Factor | 1.51 | 1.45 |
| Ulcer Index | 0.07 | 0.07 |
| Serenity Index | 0.38 | 0.38 |
| Avg. Up Month | 5.85% | 5.35% |
| Avg. Down Month | -4.82% | -4.27% |
| Win Days | 53.95% | 52.51% |
| Win Month | 64.29% | 64.29% |
| Win Quarter | 60.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.83 | - |
| Alpha | 0.05 | - |
| Correlation | 83.01% | - |
| Treynor Ratio | 25.68% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 26.23 | 24.67 | 0.94 | - |
| 2026 | 0.78 | 2.94 | 3.79 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-05-06 | -18.76 | 65 |
| 2026-01-29 | 2026-02-28 | -11.26 | 30 |
| 2025-10-21 | 2026-01-05 | -10.49 | 76 |
| 2025-04-25 | 2025-09-01 | -7.44 | 129 |
| 2025-09-11 | 2025-09-23 | -2.50 | 12 |
| 2025-09-30 | 2025-10-03 | -2.17 | 3 |
| 2026-01-14 | 2026-01-19 | -1.30 | 5 |
| 2025-09-24 | 2025-09-29 | -0.84 | 5 |
| 2026-01-08 | 2026-01-12 | -0.81 | 4 |
| 2025-09-04 | 2025-09-05 | -0.35 | 1 |