| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 99.0% |
| Cumulative Return | 7.45% | 8.04% |
| CAGR﹪ | 9.57% | 10.33% |
| Sharpe | 0.21 | 0.25 |
| Prob. Sharpe Ratio | 30.34% | 31.5% |
| Smart Sharpe | 0.21 | 0.24 |
| Sortino | 0.31 | 0.35 |
| Smart Sortino | 0.3 | 0.34 |
| Sortino/√2 | 0.22 | 0.25 |
| Smart Sortino/√2 | 0.21 | 0.24 |
| Omega | 1.04 | 1.04 |
| Max Drawdown | -16.59% | -16.26% |
| Longest DD Days | 183 | 183 |
| Volatility (ann.) | 21.18% | 20.95% |
| R^2 | 0.93 | 0.93 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.58 | 0.64 |
| Skew | 0.08 | 0.02 |
| Kurtosis | 1.14 | 1.4 |
| Expected Daily | 0.04% | 0.04% |
| Expected Monthly | 0.72% | 0.78% |
| Expected Yearly | 3.66% | 3.94% |
| Kelly Criterion | 4.35% | 4.12% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.15% | -2.12% |
| Expected Shortfall (cVaR) | -2.15% | -2.12% |
| Max Consecutive Wins | 8 | 8 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.09 | 0.1 |
| Gain/Pain (1M) | 0.64 | 0.78 |
| Payoff Ratio | 1.0 | 1.0 |
| Profit Factor | 1.09 | 1.1 |
| Common Sense Ratio | 1.2 | 1.1 |
| CPC Index | 0.57 | 0.57 |
| Tail Ratio | 1.1 | 1.0 |
| Outlier Win Ratio | 3.67 | 3.69 |
| Outlier Loss Ratio | 3.12 | 3.23 |
| MTD | -1.73% | 0.05% |
| 3M | 12.27% | 12.52% |
| 6M | -4.0% | -3.65% |
| YTD | 1.9% | 2.03% |
| 1Y | 7.45% | 8.04% |
| 3Y (ann.) | 9.57% | 10.33% |
| 5Y (ann.) | 9.57% | 10.33% |
| 10Y (ann.) | 9.57% | 10.33% |
| All-time (ann.) | 9.57% | 10.33% |
| Best Day | 4.27% | 4.38% |
| Worst Day | -4.2% | -4.32% |
| Best Month | 6.77% | 6.87% |
| Worst Month | -6.42% | -6.51% |
| Best Year | 5.44% | 5.89% |
| Worst Year | 1.9% | 2.03% |
| Avg. Drawdown | -7.53% | -7.29% |
| Avg. Drawdown Days | 67 | 66 |
| Recovery Factor | 0.45 | 0.49 |
| Ulcer Index | 0.08 | 0.07 |
| Serenity Index | 0.01 | 0.01 |
| Avg. Up Month | 3.77% | 3.53% |
| Avg. Down Month | -4.25% | -4.21% |
| Win Days | 52.28% | 52.02% |
| Win Month | 60.0% | 70.0% |
| Win Quarter | 75.0% | 75.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.98 | - |
| Alpha | -0.0 | - |
| Correlation | 96.59% | - |
| Treynor Ratio | 0.46% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 5.89 | 5.44 | 0.92 | - |
| 2026 | 2.03 | 1.90 | 0.94 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-08-18 | 2026-02-17 | -16.59 | 183 |
| 2025-05-14 | 2025-07-22 | -8.70 | 69 |
| 2025-07-24 | 2025-08-07 | -3.99 | 14 |
| 2025-08-12 | 2025-08-15 | -0.85 | 3 |