| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 188.44% | 192.74% |
| CAGR﹪ | 32.55% | 33.08% |
| Sharpe | 1.09 | 1.16 |
| Prob. Sharpe Ratio | 70.27% | 76.76% |
| Smart Sharpe | 0.98 | 1.05 |
| Sortino | 1.56 | 1.69 |
| Smart Sortino | 1.41 | 1.53 |
| Sortino/√2 | 1.1 | 1.2 |
| Smart Sortino/√2 | 1.0 | 1.08 |
| Omega | 1.21 | 1.21 |
| Max Drawdown | -28.59% | -29.24% |
| Longest DD Days | 278 | 180 |
| Volatility (ann.) | 21.79% | 20.42% |
| R^2 | 0.77 | 0.77 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 1.14 | 1.13 |
| Skew | -0.73 | -0.27 |
| Kurtosis | 9.1 | 5.47 |
| Expected Daily | 0.11% | 0.11% |
| Expected Monthly | 2.33% | 2.36% |
| Expected Yearly | 23.6% | 23.96% |
| Kelly Criterion | 9.7% | 12.29% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.14% | -1.99% |
| Expected Shortfall (cVaR) | -2.14% | -1.99% |
| Max Consecutive Wins | 11 | 11 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.28 | 0.3 |
| Gain/Pain (1M) | 2.11 | 2.12 |
| Payoff Ratio | 0.98 | 0.99 |
| Profit Factor | 1.28 | 1.3 |
| Common Sense Ratio | 1.66 | 1.31 |
| CPC Index | 0.69 | 0.73 |
| Tail Ratio | 1.3 | 1.01 |
| Outlier Win Ratio | 3.49 | 3.81 |
| Outlier Loss Ratio | 3.64 | 3.91 |
| MTD | -5.77% | -6.06% |
| 3M | -24.47% | -24.67% |
| 6M | -10.59% | -11.12% |
| YTD | -11.49% | -11.24% |
| 1Y | 15.67% | 14.58% |
| 3Y (ann.) | 19.16% | 20.03% |
| 5Y (ann.) | 32.55% | 33.08% |
| 10Y (ann.) | 32.55% | 33.08% |
| All-time (ann.) | 32.55% | 33.08% |
| Best Day | 6.25% | 7.16% |
| Worst Day | -12.71% | -9.23% |
| Best Month | 20.57% | 16.41% |
| Worst Month | -7.96% | -8.38% |
| Best Year | 45.34% | 46.23% |
| Worst Year | -11.49% | -11.24% |
| Avg. Drawdown | -2.77% | -2.52% |
| Avg. Drawdown Days | 22 | 18 |
| Recovery Factor | 6.59 | 6.59 |
| Ulcer Index | 0.06 | 0.06 |
| Serenity Index | 3.16 | 3.07 |
| Avg. Up Month | 5.74% | 5.63% |
| Avg. Down Month | -3.6% | -3.71% |
| Win Days | 55.29% | 56.47% |
| Win Month | 65.22% | 67.39% |
| Win Quarter | 68.75% | 68.75% |
| Win Year | 80.0% | 80.0% |
| Beta | 0.94 | - |
| Alpha | 0.02 | - |
| Correlation | 87.61% | - |
| Treynor Ratio | 194.05% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 23.44 | 23.47 | 1.00 | + |
| 2023 | 46.23 | 43.56 | 0.94 | - |
| 2024 | 43.05 | 45.34 | 1.05 | + |
| 2025 | 27.74 | 26.50 | 0.96 | - |
| 2026 | -11.24 | -11.49 | 1.02 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-02 | 2026-06-19 | -28.59 | 137 |
| 2024-04-18 | 2024-09-11 | -12.87 | 146 |
| 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 |