| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 96.0% |
| Cumulative Return | 25.39% | 26.09% |
| CAGR﹪ | 11.38% | 11.68% |
| Sharpe | 0.37 | 0.43 |
| Prob. Sharpe Ratio | 41.99% | 51.27% |
| Smart Sharpe | 0.29 | 0.34 |
| Sortino | 0.58 | 0.72 |
| Smart Sortino | 0.46 | 0.56 |
| Sortino/√2 | 0.41 | 0.51 |
| Smart Sortino/√2 | 0.32 | 0.4 |
| Omega | 1.07 | 1.07 |
| Max Drawdown | -14.39% | -13.66% |
| Longest DD Days | 315 | 315 |
| Volatility (ann.) | 11.05% | 9.67% |
| R^2 | 0.84 | 0.84 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.79 | 0.86 |
| Skew | 1.21 | 1.62 |
| Kurtosis | 7.13 | 10.14 |
| Expected Daily | 0.04% | 0.04% |
| Expected Monthly | 0.87% | 0.9% |
| Expected Yearly | 7.83% | 8.03% |
| Kelly Criterion | 9.62% | 10.23% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.1% | -0.96% |
| Expected Shortfall (cVaR) | -1.1% | -0.96% |
| Max Consecutive Wins | 9 | 9 |
| Max Consecutive Losses | 10 | 10 |
| Gain/Pain Ratio | 0.19 | 0.25 |
| Gain/Pain (1M) | 0.83 | 0.98 |
| Payoff Ratio | 1.15 | 1.23 |
| Profit Factor | 1.19 | 1.25 |
| Common Sense Ratio | 1.28 | 1.44 |
| CPC Index | 0.71 | 0.77 |
| Tail Ratio | 1.08 | 1.16 |
| Outlier Win Ratio | 3.53 | 4.27 |
| Outlier Loss Ratio | 2.98 | 3.78 |
| MTD | -0.33% | 0.17% |
| 3M | 1.91% | 2.5% |
| 6M | 4.81% | 5.58% |
| YTD | 4.07% | 4.63% |
| 1Y | 21.87% | 22.85% |
| 3Y (ann.) | 11.38% | 11.68% |
| 5Y (ann.) | 11.38% | 11.68% |
| 10Y (ann.) | 11.38% | 11.68% |
| All-time (ann.) | 11.38% | 11.68% |
| 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 | 19.62% | 22.63% |
| Worst Year | 0.73% | -1.72% |
| Avg. Drawdown | -2.28% | -1.89% |
| Avg. Drawdown Days | 38 | 34 |
| Recovery Factor | 1.76 | 1.91 |
| Ulcer Index | 0.06 | 0.05 |
| Serenity Index | 0.21 | 0.23 |
| Avg. Up Month | 3.3% | 3.07% |
| Avg. Down Month | -3.51% | -3.03% |
| Win Days | 51.74% | 50.47% |
| Win Month | 65.38% | 65.38% |
| Win Quarter | 77.78% | 77.78% |
| Win Year | 100.0% | 66.67% |
| Beta | 1.05 | - |
| Alpha | -0.01 | - |
| Correlation | 91.88% | - |
| Treynor Ratio | 17.51% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | -1.72 | 0.73 | -0.42 | + |
| 2025 | 22.63 | 19.62 | 0.87 | - |
| 2026 | 4.63 | 4.07 | 0.88 | - |
| 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 | 2025-12-16 | -7.25 | 118 |
| 2025-12-19 | 2026-02-16 | -2.69 | 59 |
| 2026-04-24 | 2026-05-25 | -1.61 | 31 |
| 2026-02-20 | 2026-03-12 | -1.15 | 20 |
| 2026-03-17 | 2026-04-16 | -1.14 | 30 |
| 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 |