| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 31.49% | 32.2% |
| CAGR﹪ | 45.8% | 46.88% |
| Sharpe | 1.68 | 1.72 |
| Prob. Sharpe Ratio | 77.86% | 78.95% |
| Smart Sharpe | 1.62 | 1.66 |
| Sortino | 2.57 | 2.65 |
| Smart Sortino | 2.47 | 2.55 |
| Sortino/√2 | 1.82 | 1.87 |
| Smart Sortino/√2 | 1.75 | 1.8 |
| Omega | 1.33 | 1.33 |
| Max Drawdown | -10.49% | -9.63% |
| Longest DD Days | 129 | 117 |
| Volatility (ann.) | 19.65% | 19.63% |
| R^2 | 0.81 | 0.81 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 4.37 | 4.87 |
| Skew | -0.18 | -0.11 |
| Kurtosis | 1.46 | 1.2 |
| Expected Daily | 0.15% | 0.15% |
| Expected Monthly | 2.78% | 2.83% |
| Expected Yearly | 14.67% | 14.98% |
| Kelly Criterion | 13.77% | 16.14% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.88% | -1.87% |
| Expected Shortfall (cVaR) | -1.88% | -1.87% |
| Max Consecutive Wins | 6 | 9 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.41 | 0.42 |
| Gain/Pain (1M) | 4.84 | 4.63 |
| Payoff Ratio | 1.17 | 1.11 |
| Profit Factor | 1.41 | 1.42 |
| Common Sense Ratio | 1.79 | 1.73 |
| CPC Index | 0.88 | 0.89 |
| Tail Ratio | 1.27 | 1.21 |
| Outlier Win Ratio | 3.27 | 3.41 |
| Outlier Loss Ratio | 4.22 | 4.06 |
| MTD | 5.47% | 5.48% |
| 3M | 10.39% | 11.4% |
| 6M | 37.67% | 37.68% |
| YTD | 5.47% | 5.48% |
| 1Y | 31.49% | 32.2% |
| 3Y (ann.) | 45.8% | 46.88% |
| 5Y (ann.) | 45.8% | 46.88% |
| 10Y (ann.) | 45.8% | 46.88% |
| All-time (ann.) | 45.8% | 46.88% |
| Best Day | 3.38% | 3.54% |
| Worst Day | -4.19% | -4.12% |
| Best Month | 13.55% | 13.41% |
| Worst Month | -3.95% | -3.91% |
| Best Year | 24.67% | 25.33% |
| Worst Year | 5.47% | 5.48% |
| Avg. Drawdown | -2.51% | -2.75% |
| Avg. Drawdown Days | 23 | 23 |
| Recovery Factor | 3.0 | 3.34 |
| Ulcer Index | 0.05 | 0.04 |
| Serenity Index | 0.83 | 0.88 |
| Avg. Up Month | 5.78% | 6.0% |
| Avg. Down Month | -2.04% | -2.09% |
| Win Days | 53.59% | 55.8% |
| Win Month | 70.0% | 60.0% |
| Win Quarter | 75.0% | 75.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.9 | - |
| Alpha | 0.03 | - |
| Correlation | 89.9% | - |
| Treynor Ratio | 27.21% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 25.33 | 24.67 | 0.97 | - |
| 2026 | 5.48 | 5.47 | 1.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 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 |
| 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 |
| 2025-10-09 | 2025-10-10 | -0.23 | 1 |
| 2026-01-13 | 2026-01-13 | -0.15 | 0 |
| 2025-10-15 | 2025-10-16 | -0.13 | 1 |