| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 23.79% | 25.16% |
| CAGR﹪ | 25.33% | 26.8% |
| Sharpe | 1.09 | 1.17 |
| Prob. Sharpe Ratio | 66.33% | 69.1% |
| Smart Sharpe | 0.88 | 0.95 |
| Sortino | 1.81 | 1.87 |
| Smart Sortino | 1.47 | 1.52 |
| Sortino/√2 | 1.28 | 1.32 |
| Smart Sortino/√2 | 1.04 | 1.07 |
| Omega | 1.2 | 1.2 |
| Max Drawdown | -8.86% | -8.46% |
| Longest DD Days | 86 | 83 |
| Volatility (ann.) | 15.31% | 15.17% |
| R^2 | 0.29 | 0.29 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 2.86 | 3.17 |
| Skew | 0.68 | 0.63 |
| Kurtosis | 1.59 | 18.29 |
| Expected Daily | 0.09% | 0.09% |
| Expected Monthly | 1.66% | 1.74% |
| Expected Yearly | 11.26% | 11.87% |
| Kelly Criterion | 14.16% | 15.96% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.49% | -1.47% |
| Expected Shortfall (cVaR) | -1.49% | -1.47% |
| Max Consecutive Wins | 6 | 9 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.3 | 0.42 |
| Gain/Pain (1M) | 2.5 | 3.01 |
| Payoff Ratio | 1.48 | 1.34 |
| Profit Factor | 1.3 | 1.42 |
| Common Sense Ratio | 1.9 | 1.63 |
| CPC Index | 0.94 | 0.99 |
| Tail Ratio | 1.46 | 1.15 |
| Outlier Win Ratio | 3.13 | 4.04 |
| Outlier Loss Ratio | 2.99 | 3.83 |
| MTD | 0.9% | 1.09% |
| 3M | 0.12% | 0.93% |
| 6M | 15.0% | 15.79% |
| YTD | 20.67% | 21.96% |
| 1Y | 23.79% | 25.16% |
| 3Y (ann.) | 25.33% | 26.8% |
| 5Y (ann.) | 25.33% | 26.8% |
| 10Y (ann.) | 25.33% | 26.8% |
| All-time (ann.) | 25.33% | 26.8% |
| 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 | 20.67% | 21.96% |
| Worst Year | 2.59% | 2.63% |
| Avg. Drawdown | -1.6% | -2.08% |
| Avg. Drawdown Days | 11 | 20 |
| Recovery Factor | 2.69 | 2.97 |
| Ulcer Index | 0.04 | 0.04 |
| Serenity Index | 0.63 | 0.6 |
| Avg. Up Month | 3.12% | 3.11% |
| Avg. Down Month | -2.98% | -2.62% |
| Win Days | 48.74% | 51.87% |
| Win Month | 76.92% | 76.92% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.54 | - |
| Alpha | 0.1 | - |
| Correlation | 53.97% | - |
| Treynor Ratio | 30.83% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 2.63 | 2.59 | 0.99 | - |
| 2025 | 21.96 | 20.67 | 0.94 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-08-20 | 2025-11-07 | -8.86 | 79 |
| 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 |