| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 97.0% |
| Cumulative Return | 6.47% | 7.35% |
| CAGR﹪ | 6.76% | 7.68% |
| Sharpe | 0.07 | 0.11 |
| Prob. Sharpe Ratio | 24.42% | 25.91% |
| Smart Sharpe | 0.07 | 0.11 |
| Sortino | 0.1 | 0.16 |
| Smart Sortino | 0.1 | 0.16 |
| Sortino/√2 | 0.07 | 0.11 |
| Smart Sortino/√2 | 0.07 | 0.11 |
| Omega | 1.01 | 1.01 |
| Max Drawdown | -16.59% | -16.26% |
| Longest DD Days | 246 | 203 |
| Volatility (ann.) | 19.57% | 19.26% |
| R^2 | 0.92 | 0.92 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.41 | 0.47 |
| Skew | 0.1 | 0.05 |
| Kurtosis | 1.56 | 1.93 |
| Expected Daily | 0.02% | 0.03% |
| Expected Monthly | 0.52% | 0.59% |
| Expected Yearly | 3.18% | 3.61% |
| Kelly Criterion | 4.53% | 3.78% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.99% | -1.96% |
| Expected Shortfall (cVaR) | -1.99% | -1.96% |
| Max Consecutive Wins | 8 | 8 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.07 | 0.08 |
| Gain/Pain (1M) | 0.55 | 0.68 |
| Payoff Ratio | 1.02 | 1.05 |
| Profit Factor | 1.07 | 1.08 |
| Common Sense Ratio | 1.18 | 1.15 |
| CPC Index | 0.57 | 0.58 |
| Tail Ratio | 1.1 | 1.06 |
| Outlier Win Ratio | 3.77 | 3.94 |
| Outlier Loss Ratio | 3.35 | 3.48 |
| MTD | -1.14% | -1.11% |
| 3M | 0.44% | 0.9% |
| 6M | 2.69% | 2.96% |
| YTD | 0.97% | 1.38% |
| 1Y | 6.47% | 7.35% |
| 3Y (ann.) | 6.76% | 7.68% |
| 5Y (ann.) | 6.76% | 7.68% |
| 10Y (ann.) | 6.76% | 7.68% |
| All-time (ann.) | 6.76% | 7.68% |
| 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 | 0.97% | 1.38% |
| Avg. Drawdown | -7.53% | -7.02% |
| Avg. Drawdown Days | 83 | 66 |
| Recovery Factor | 0.39 | 0.45 |
| Ulcer Index | 0.07 | 0.07 |
| Serenity Index | -0.01 | 0.01 |
| Avg. Up Month | 3.77% | 3.53% |
| Avg. Down Month | -3.48% | -3.44% |
| Win Days | 51.81% | 50.83% |
| Win Month | 50.0% | 66.67% |
| Win Quarter | 60.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.97 | - |
| Alpha | -0.01 | - |
| Correlation | 95.95% | - |
| Treynor Ratio | -0.55% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 5.89 | 5.44 | 0.92 | - |
| 2026 | 1.38 | 0.97 | 0.70 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-08-18 | 2026-04-21 | -16.59 | 246 |
| 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 |