| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 97.0% | 90.0% |
| Cumulative Return | 31.8% | 38.51% |
| CAGR﹪ | 22.09% | 26.55% |
| Sharpe | 0.94 | 3.91 |
| Prob. Sharpe Ratio | 66.74% | 100.0% |
| Smart Sharpe | 0.75 | 3.11 |
| Sortino | 1.55 | 7.87 |
| Smart Sortino | 1.23 | 6.27 |
| Sortino/√2 | 1.09 | 5.57 |
| Smart Sortino/√2 | 0.87 | 4.43 |
| Omega | 1.18 | 1.18 |
| Max Drawdown | -8.86% | -3.98% |
| Longest DD Days | 181 | 86 |
| Volatility (ann.) | 13.15% | 3.79% |
| R^2 | 0.13 | 0.13 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 2.49 | 6.67 |
| Skew | 0.77 | 1.21 |
| Kurtosis | 2.88 | 6.56 |
| Expected Daily | 0.07% | 0.09% |
| Expected Monthly | 1.55% | 1.83% |
| Expected Yearly | 9.64% | 11.47% |
| Kelly Criterion | 8.02% | 49.01% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.29% | -0.31% |
| Expected Shortfall (cVaR) | -1.29% | -0.31% |
| Max Consecutive Wins | 6 | 29 |
| Max Consecutive Losses | 6 | 13 |
| Gain/Pain Ratio | 0.3 | 2.27 |
| Gain/Pain (1M) | 3.07 | 15.36 |
| Payoff Ratio | 1.29 | 1.37 |
| Profit Factor | 1.3 | 3.27 |
| Common Sense Ratio | 1.95 | 7.46 |
| CPC Index | 0.81 | 3.16 |
| Tail Ratio | 1.5 | 2.28 |
| Outlier Win Ratio | 2.61 | 10.28 |
| Outlier Loss Ratio | 2.2 | 7.85 |
| MTD | 0.41% | 0.34% |
| 3M | 4.57% | 4.54% |
| 6M | 10.87% | 10.11% |
| YTD | 4.43% | 4.92% |
| 1Y | 22.06% | 23.32% |
| 3Y (ann.) | 22.09% | 26.55% |
| 5Y (ann.) | 22.09% | 26.55% |
| 10Y (ann.) | 22.09% | 26.55% |
| All-time (ann.) | 22.09% | 26.55% |
| Best Day | 4.25% | 1.58% |
| Worst Day | -2.71% | -0.79% |
| Best Month | 7.81% | 5.68% |
| Worst Month | -5.19% | -1.85% |
| Best Year | 23.79% | 25.22% |
| Worst Year | 1.95% | 4.92% |
| Avg. Drawdown | -1.32% | -0.54% |
| Avg. Drawdown Days | 12 | 13 |
| Recovery Factor | 3.59 | 9.68 |
| Ulcer Index | 0.03 | 0.01 |
| Serenity Index | 1.09 | 3.3 |
| Avg. Up Month | 2.92% | 2.67% |
| Avg. Down Month | -2.75% | -0.95% |
| Win Days | 48.24% | 70.55% |
| Win Month | 77.78% | 83.33% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 1.24 | - |
| Alpha | -0.08 | - |
| Correlation | 35.85% | - |
| Treynor Ratio | 19.92% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 5.44 | 1.95 | 0.36 | - |
| 2025 | 25.22 | 23.79 | 0.94 | - |
| 2026 | 4.92 | 4.43 | 0.90 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-08-20 | 2026-02-17 | -8.86 | 181 |
| 2025-03-19 | 2025-06-13 | -7.97 | 86 |
| 2024-12-24 | 2025-02-14 | -5.97 | 52 |
| 2024-12-12 | 2024-12-20 | -2.88 | 8 |
| 2025-02-17 | 2025-02-21 | -2.71 | 4 |
| 2025-07-07 | 2025-07-15 | -1.74 | 8 |
| 2025-07-18 | 2025-07-21 | -1.67 | 3 |
| 2024-11-29 | 2024-12-03 | -1.61 | 4 |
| 2025-06-23 | 2025-06-26 | -1.31 | 3 |
| 2024-12-04 | 2024-12-06 | -1.10 | 2 |