| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 11.16% | 11.25% |
| CAGR﹪ | 9.58% | 9.66% |
| Sharpe | 0.22 | 0.23 |
| Prob. Sharpe Ratio | 25.22% | 24.97% |
| Smart Sharpe | 0.22 | 0.22 |
| Sortino | 0.3 | 0.32 |
| Smart Sortino | 0.29 | 0.31 |
| Sortino/√2 | 0.21 | 0.22 |
| Smart Sortino/√2 | 0.21 | 0.22 |
| Omega | 1.04 | 1.04 |
| Max Drawdown | -29.79% | -29.36% |
| Longest DD Days | 129 | 117 |
| Volatility (ann.) | 26.09% | 26.85% |
| R^2 | 0.78 | 0.78 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.32 | 0.33 |
| Skew | -0.69 | -0.34 |
| Kurtosis | 3.72 | 4.53 |
| Expected Daily | 0.04% | 0.04% |
| Expected Monthly | 0.71% | 0.71% |
| Expected Yearly | 5.43% | 5.48% |
| Kelly Criterion | 2.27% | 2.96% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.65% | -2.73% |
| Expected Shortfall (cVaR) | -2.65% | -2.73% |
| Max Consecutive Wins | 6 | 9 |
| Max Consecutive Losses | 8 | 8 |
| Gain/Pain Ratio | 0.09 | 0.09 |
| Gain/Pain (1M) | 0.43 | 0.44 |
| Payoff Ratio | 0.98 | 1.02 |
| Profit Factor | 1.09 | 1.09 |
| Common Sense Ratio | 1.14 | 1.08 |
| CPC Index | 0.55 | 0.57 |
| Tail Ratio | 1.05 | 0.99 |
| Outlier Win Ratio | 3.28 | 3.19 |
| Outlier Loss Ratio | 3.56 | 3.57 |
| MTD | -5.97% | -6.37% |
| 3M | -24.76% | -24.93% |
| 6M | -11.28% | -11.09% |
| YTD | -10.84% | -11.23% |
| 1Y | 14.51% | 14.96% |
| 3Y (ann.) | 9.58% | 9.66% |
| 5Y (ann.) | 9.58% | 9.66% |
| 10Y (ann.) | 9.58% | 9.66% |
| All-time (ann.) | 9.58% | 9.66% |
| Best Day | 5.08% | 6.75% |
| Worst Day | -9.1% | -9.36% |
| Best Month | 17.77% | 16.24% |
| Worst Month | -8.89% | -8.12% |
| Best Year | 24.67% | 25.33% |
| Worst Year | -10.84% | -11.23% |
| Avg. Drawdown | -5.19% | -4.75% |
| Avg. Drawdown Days | 29 | 25 |
| Recovery Factor | 0.37 | 0.38 |
| Ulcer Index | 0.1 | 0.09 |
| Serenity Index | 0.04 | 0.04 |
| Avg. Up Month | 6.9% | 6.95% |
| Avg. Down Month | -4.89% | -4.87% |
| Win Days | 51.72% | 51.03% |
| Win Month | 53.33% | 46.67% |
| Win Quarter | 60.0% | 60.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.86 | - |
| Alpha | 0.02 | - |
| Correlation | 88.3% | - |
| Treynor Ratio | 4.85% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 25.33 | 24.67 | 0.97 | - |
| 2026 | -11.23 | -10.84 | 0.96 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-03 | 2026-06-19 | -29.79 | 108 |
| 2026-01-29 | 2026-03-02 | -11.26 | 32 |
| 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 |