| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 97.0% | 89.0% |
| Cumulative Return | 7.1% | 5.34% |
| CAGR﹪ | 11.56% | 8.65% |
| Sharpe | 0.26 | 0.12 |
| Prob. Sharpe Ratio | 34.62% | 30.32% |
| Smart Sharpe | 0.24 | 0.11 |
| Sortino | 0.36 | 0.18 |
| Smart Sortino | 0.34 | 0.17 |
| Sortino/√2 | 0.26 | 0.13 |
| Smart Sortino/√2 | 0.24 | 0.12 |
| Omega | 1.05 | 1.05 |
| Max Drawdown | -16.41% | -17.77% |
| Longest DD Days | 210 | 210 |
| Volatility (ann.) | 17.57% | 18.09% |
| R^2 | 0.42 | 0.42 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.7 | 0.49 |
| Skew | 0.12 | 0.11 |
| Kurtosis | 3.17 | 3.17 |
| Expected Daily | 0.04% | 0.03% |
| Expected Monthly | 0.77% | 0.58% |
| Expected Yearly | 3.49% | 2.64% |
| Kelly Criterion | 7.15% | 3.33% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.78% | -1.84% |
| Expected Shortfall (cVaR) | -1.78% | -1.84% |
| Max Consecutive Wins | 5 | 5 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | 0.12 | 0.1 |
| Gain/Pain (1M) | 0.61 | 0.48 |
| Payoff Ratio | 1.02 | 1.11 |
| Profit Factor | 1.12 | 1.1 |
| Common Sense Ratio | 1.24 | 1.16 |
| CPC Index | 0.6 | 0.6 |
| Tail Ratio | 1.11 | 1.06 |
| Outlier Win Ratio | 3.75 | 3.95 |
| Outlier Loss Ratio | 3.63 | 3.76 |
| MTD | -0.16% | 2.6% |
| 3M | 5.15% | 4.47% |
| 6M | 2.89% | 2.21% |
| YTD | 3.12% | 3.8% |
| 1Y | 7.1% | 5.34% |
| 3Y (ann.) | 11.56% | 8.65% |
| 5Y (ann.) | 11.56% | 8.65% |
| 10Y (ann.) | 11.56% | 8.65% |
| All-time (ann.) | 11.56% | 8.65% |
| Best Day | 5.27% | 4.35% |
| Worst Day | -3.94% | -4.1% |
| Best Month | 6.46% | 6.12% |
| Worst Month | -7.45% | -7.41% |
| Best Year | 3.86% | 3.8% |
| Worst Year | 3.12% | 1.48% |
| Avg. Drawdown | -5.92% | -4.71% |
| Avg. Drawdown Days | 71 | 54 |
| Recovery Factor | 0.43 | 0.3 |
| Ulcer Index | 0.07 | 0.1 |
| Serenity Index | 0.0 | -0.01 |
| Avg. Up Month | 3.48% | 2.81% |
| Avg. Down Month | -6.43% | -6.67% |
| Win Days | 53.22% | 49.04% |
| Win Month | 66.67% | 77.78% |
| Win Quarter | 100.0% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.63 | - |
| Alpha | 0.06 | - |
| Correlation | 64.96% | - |
| Treynor Ratio | 0.16% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 1.48 | 3.86 | 2.61 | + |
| 2026 | 3.80 | 3.12 | 0.82 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-08-18 | 2026-03-16 | -16.41 | 210 |
| 2025-08-13 | 2025-08-14 | -0.92 | 1 |
| 2025-08-05 | 2025-08-06 | -0.44 | 1 |