| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 20.63% | 19.9% |
| CAGR﹪ | 12.19% | 11.78% |
| Sharpe | 0.43 | 0.44 |
| Prob. Sharpe Ratio | 43.16% | 47.47% |
| Smart Sharpe | 0.33 | 0.34 |
| Sortino | 0.69 | 0.73 |
| Smart Sortino | 0.53 | 0.56 |
| Sortino/√2 | 0.49 | 0.52 |
| Smart Sortino/√2 | 0.37 | 0.4 |
| Omega | 1.08 | 1.08 |
| Max Drawdown | -14.39% | -13.66% |
| Longest DD Days | 315 | 315 |
| Volatility (ann.) | 12.28% | 10.83% |
| R^2 | 0.86 | 0.86 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.85 | 0.86 |
| Skew | 1.16 | 1.52 |
| Kurtosis | 5.74 | 8.08 |
| Expected Daily | 0.04% | 0.04% |
| Expected Monthly | 0.9% | 0.87% |
| Expected Yearly | 9.83% | 9.5% |
| Kelly Criterion | 8.98% | 8.9% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.22% | -1.08% |
| Expected Shortfall (cVaR) | -1.22% | -1.08% |
| Max Consecutive Wins | 9 | 9 |
| Max Consecutive Losses | 10 | 10 |
| Gain/Pain Ratio | 0.19 | 0.22 |
| Gain/Pain (1M) | 0.72 | 0.78 |
| Payoff Ratio | 1.14 | 1.19 |
| Profit Factor | 1.19 | 1.22 |
| Common Sense Ratio | 1.39 | 1.5 |
| CPC Index | 0.7 | 0.73 |
| Tail Ratio | 1.17 | 1.24 |
| Outlier Win Ratio | 3.42 | 3.95 |
| Outlier Loss Ratio | 2.7 | 3.43 |
| MTD | 2.59% | 1.19% |
| 3M | 0.3% | -0.26% |
| 6M | 12.56% | 12.31% |
| YTD | 19.75% | 22.0% |
| 1Y | 31.97% | 31.99% |
| 3Y (ann.) | 12.19% | 11.78% |
| 5Y (ann.) | 12.19% | 11.78% |
| 10Y (ann.) | 12.19% | 11.78% |
| All-time (ann.) | 12.19% | 11.78% |
| Best Day | 4.91% | 4.32% |
| Worst Day | -1.8% | -2.13% |
| Best Month | 11.99% | 8.93% |
| Worst Month | -7.1% | -6.34% |
| Best Year | 19.75% | 22.0% |
| Worst Year | 0.73% | -1.72% |
| Avg. Drawdown | -3.36% | -2.51% |
| Avg. Drawdown Days | 54 | 41 |
| Recovery Factor | 1.43 | 1.46 |
| Ulcer Index | 0.07 | 0.06 |
| Serenity Index | 0.14 | 0.14 |
| Avg. Up Month | 3.67% | 3.38% |
| Avg. Down Month | -3.9% | -3.42% |
| Win Days | 51.58% | 50.48% |
| Win Month | 66.67% | 61.9% |
| Win Quarter | 71.43% | 71.43% |
| Win Year | 100.0% | 50.0% |
| Beta | 1.05 | - |
| Alpha | -0.0 | - |
| Correlation | 92.95% | - |
| Treynor Ratio | 12.93% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | -1.72 | 0.73 | -0.42 | + |
| 2025 | 22.00 | 19.75 | 0.90 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-04-23 | 2025-03-04 | -14.39 | 315 |
| 2025-03-19 | 2025-06-04 | -7.29 | 77 |
| 2025-08-20 | 2025-12-05 | -7.25 | 107 |
| 2025-06-06 | 2025-06-11 | -1.11 | 5 |
| 2025-03-11 | 2025-03-17 | -1.06 | 6 |
| 2025-06-23 | 2025-06-25 | -0.65 | 2 |
| 2025-06-16 | 2025-06-19 | -0.57 | 3 |
| 2025-07-04 | 2025-07-15 | -0.53 | 11 |
| 2025-07-29 | 2025-08-07 | -0.49 | 9 |
| 2025-07-22 | 2025-07-24 | -0.29 | 2 |