| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 34.12% | 35.27% |
| CAGR﹪ | 21.9% | 22.61% |
| Sharpe | 1.05 | 1.12 |
| Prob. Sharpe Ratio | 71.43% | 74.19% |
| Smart Sharpe | 0.84 | 0.89 |
| Sortino | 1.74 | 1.78 |
| Smart Sortino | 1.39 | 1.42 |
| Sortino/√2 | 1.23 | 1.26 |
| Smart Sortino/√2 | 0.99 | 1.01 |
| Omega | 1.21 | 1.21 |
| Max Drawdown | -8.86% | -8.46% |
| Longest DD Days | 181 | 120 |
| Volatility (ann.) | 13.24% | 12.91% |
| R^2 | 0.31 | 0.31 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 2.47 | 2.67 |
| Skew | 0.75 | 0.73 |
| Kurtosis | 2.81 | 23.72 |
| Expected Daily | 0.08% | 0.08% |
| Expected Monthly | 1.56% | 1.6% |
| Expected Yearly | 10.28% | 10.59% |
| Kelly Criterion | 11.47% | 19.29% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.29% | -1.25% |
| Expected Shortfall (cVaR) | -1.29% | -1.25% |
| Max Consecutive Wins | 6 | 10 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.32 | 0.47 |
| Gain/Pain (1M) | 3.26 | 3.91 |
| Payoff Ratio | 1.43 | 1.22 |
| Profit Factor | 1.32 | 1.47 |
| Common Sense Ratio | 1.98 | 1.68 |
| CPC Index | 0.91 | 1.0 |
| Tail Ratio | 1.5 | 1.14 |
| Outlier Win Ratio | 3.6 | 5.27 |
| Outlier Loss Ratio | 3.77 | 4.58 |
| MTD | 0.09% | 0.67% |
| 3M | 3.18% | 3.46% |
| 6M | 5.44% | 5.51% |
| YTD | 5.61% | 5.33% |
| 1Y | 23.63% | 23.87% |
| 3Y (ann.) | 21.9% | 22.61% |
| 5Y (ann.) | 21.9% | 22.61% |
| 10Y (ann.) | 21.9% | 22.61% |
| All-time (ann.) | 21.9% | 22.61% |
| Best Day | 4.25% | 6.48% |
| Worst Day | -2.71% | -6.32% |
| Best Month | 7.81% | 7.58% |
| Worst Month | -5.19% | -3.67% |
| Best Year | 23.79% | 25.13% |
| Worst Year | 2.59% | 2.63% |
| Avg. Drawdown | -1.22% | -1.36% |
| Avg. Drawdown Days | 12 | 18 |
| Recovery Factor | 3.85 | 4.17 |
| Ulcer Index | 0.03 | 0.03 |
| Serenity Index | 1.22 | 1.15 |
| Avg. Up Month | 2.65% | 2.61% |
| Avg. Down Month | -2.34% | -2.02% |
| Win Days | 47.83% | 55.65% |
| Win Month | 78.95% | 78.95% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.57 | - |
| Alpha | 0.09 | - |
| Correlation | 55.72% | - |
| Treynor Ratio | 47.47% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 2.63 | 2.59 | 0.99 | - |
| 2025 | 25.13 | 23.79 | 0.95 | - |
| 2026 | 5.33 | 5.61 | 1.05 | + |
| 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 |
| 2026-04-21 | 2026-04-30 | -1.16 | 9 |