| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 278.41% | 304.17% |
| CAGR﹪ | 46.28% | 49.06% |
| Sharpe | 1.57 | 1.79 |
| Prob. Sharpe Ratio | 91.58% | 97.12% |
| Smart Sharpe | 1.41 | 1.61 |
| Sortino | 2.31 | 2.7 |
| Smart Sortino | 2.07 | 2.42 |
| Sortino/√2 | 1.64 | 1.91 |
| Smart Sortino/√2 | 1.47 | 1.71 |
| Omega | 1.32 | 1.32 |
| Max Drawdown | -12.87% | -12.46% |
| Longest DD Days | 278 | 279 |
| Volatility (ann.) | 21.13% | 19.44% |
| R^2 | 0.71 | 0.71 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 3.6 | 3.94 |
| Skew | -0.88 | -0.15 |
| Kurtosis | 10.74 | 3.06 |
| Expected Daily | 0.15% | 0.16% |
| Expected Monthly | 3.14% | 3.3% |
| Expected Yearly | 30.49% | 32.22% |
| Kelly Criterion | 14.04% | 16.76% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.03% | -1.85% |
| Expected Shortfall (cVaR) | -2.03% | -1.85% |
| Max Consecutive Wins | 11 | 12 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.4 | 0.45 |
| Gain/Pain (1M) | 4.95 | 5.38 |
| Payoff Ratio | 1.03 | 1.08 |
| Profit Factor | 1.4 | 1.45 |
| Common Sense Ratio | 1.95 | 1.65 |
| CPC Index | 0.81 | 0.89 |
| Tail Ratio | 1.4 | 1.14 |
| Outlier Win Ratio | 3.34 | 3.54 |
| Outlier Loss Ratio | 3.72 | 4.05 |
| MTD | -0.72% | 0.21% |
| 3M | 17.88% | 19.29% |
| 6M | 33.64% | 35.13% |
| YTD | 16.12% | 18.3% |
| 1Y | 53.35% | 57.14% |
| 3Y (ann.) | 34.0% | 36.36% |
| 5Y (ann.) | 46.28% | 49.06% |
| 10Y (ann.) | 46.28% | 49.06% |
| All-time (ann.) | 46.28% | 49.06% |
| Best Day | 5.4% | 7.05% |
| Worst Day | -12.71% | -6.28% |
| Best Month | 20.57% | 18.04% |
| Worst Month | -6.2% | -7.6% |
| Best Year | 45.34% | 46.25% |
| Worst Year | 16.12% | 18.3% |
| Avg. Drawdown | -2.47% | -2.02% |
| Avg. Drawdown Days | 20 | 17 |
| Recovery Factor | 21.63 | 24.42 |
| Ulcer Index | 0.05 | 0.05 |
| Serenity Index | 8.98 | 9.32 |
| Avg. Up Month | 5.92% | 5.82% |
| Avg. Down Month | -2.63% | -2.78% |
| Win Days | 56.41% | 56.84% |
| Win Month | 69.77% | 74.42% |
| Win Quarter | 73.33% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.91 | - |
| Alpha | 0.02 | - |
| Correlation | 84.02% | - |
| Treynor Ratio | 297.17% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 25.44 | 23.47 | 0.92 | - |
| 2023 | 46.25 | 43.56 | 0.94 | - |
| 2024 | 44.60 | 45.34 | 1.02 | + |
| 2025 | 28.79 | 26.50 | 0.92 | - |
| 2026 | 18.30 | 16.12 | 0.88 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-04-18 | 2024-09-11 | -12.87 | 146 |
| 2026-02-02 | 2026-03-16 | -12.71 | 42 |
| 2024-11-29 | 2025-09-03 | -10.56 | 278 |
| 2025-10-21 | 2025-12-24 | -9.76 | 64 |
| 2023-08-14 | 2024-03-05 | -9.30 | 204 |
| 2024-10-31 | 2024-11-22 | -6.75 | 22 |
| 2023-04-14 | 2023-07-03 | -6.69 | 80 |
| 2022-10-13 | 2022-11-24 | -6.60 | 42 |
| 2022-09-19 | 2022-10-04 | -5.44 | 15 |
| 2022-12-22 | 2023-01-03 | -3.46 | 12 |