| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 7.51% | 7.83% |
| CAGR﹪ | 12.41% | 12.94% |
| Sharpe | 0.36 | 0.39 |
| Prob. Sharpe Ratio | 38.18% | 39.1% |
| Smart Sharpe | 0.33 | 0.36 |
| Sortino | 0.52 | 0.58 |
| Smart Sortino | 0.47 | 0.53 |
| Sortino/√2 | 0.37 | 0.41 |
| Smart Sortino/√2 | 0.33 | 0.37 |
| Omega | 1.06 | 1.06 |
| Max Drawdown | -16.41% | -16.31% |
| Longest DD Days | 207 | 207 |
| Volatility (ann.) | 18.54% | 18.28% |
| R^2 | 0.76 | 0.76 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.76 | 0.79 |
| Skew | 0.1 | 0.43 |
| Kurtosis | 2.72 | 3.15 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 0.81% | 0.84% |
| Expected Yearly | 3.69% | 3.84% |
| Kelly Criterion | 3.59% | 7.01% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.87% | -1.84% |
| Expected Shortfall (cVaR) | -1.87% | -1.84% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | 0.13 | 0.14 |
| Gain/Pain (1M) | 0.62 | 0.71 |
| Payoff Ratio | 0.94 | 0.93 |
| Profit Factor | 1.13 | 1.14 |
| Common Sense Ratio | 1.22 | 1.35 |
| CPC Index | 0.57 | 0.59 |
| Tail Ratio | 1.08 | 1.18 |
| Outlier Win Ratio | 3.15 | 3.3 |
| Outlier Loss Ratio | 3.45 | 3.45 |
| MTD | 1.0% | 0.61% |
| 3M | 6.33% | 6.77% |
| 6M | 3.05% | 3.22% |
| YTD | 3.51% | 3.87% |
| 1Y | 7.51% | 7.83% |
| 3Y (ann.) | 12.41% | 12.94% |
| 5Y (ann.) | 12.41% | 12.94% |
| 10Y (ann.) | 12.41% | 12.94% |
| All-time (ann.) | 12.41% | 12.94% |
| Best Day | 5.27% | 5.42% |
| Worst Day | -3.94% | -3.34% |
| Best Month | 6.46% | 5.92% |
| Worst Month | -7.45% | -6.75% |
| Best Year | 3.86% | 3.87% |
| Worst Year | 3.51% | 3.81% |
| Avg. Drawdown | -5.92% | -5.73% |
| Avg. Drawdown Days | 70 | 70 |
| Recovery Factor | 0.46 | 0.48 |
| Ulcer Index | 0.08 | 0.07 |
| Serenity Index | 0.01 | 0.01 |
| Avg. Up Month | 3.61% | 3.45% |
| Avg. Down Month | -4.48% | -4.09% |
| Win Days | 53.29% | 55.19% |
| Win Month | 66.67% | 66.67% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.88 | - |
| Alpha | 0.01 | - |
| Correlation | 87.2% | - |
| Treynor Ratio | 0.58% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.81 | 3.86 | 1.02 | + |
| 2026 | 3.87 | 3.51 | 0.91 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-08-18 | 2026-03-13 | -16.41 | 207 |
| 2025-08-13 | 2025-08-14 | -0.92 | 1 |
| 2025-08-05 | 2025-08-06 | -0.44 | 1 |