| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 99.0% |
| Cumulative Return | 19.52% | 18.69% |
| CAGR﹪ | 10.64% | 10.2% |
| Sharpe | 0.33 | 0.31 |
| Prob. Sharpe Ratio | 38.28% | 38.94% |
| Smart Sharpe | 0.26 | 0.24 |
| Sortino | 0.52 | 0.5 |
| Smart Sortino | 0.41 | 0.39 |
| Sortino/√2 | 0.37 | 0.35 |
| Smart Sortino/√2 | 0.29 | 0.27 |
| Omega | 1.06 | 1.06 |
| Max Drawdown | -14.39% | -14.41% |
| Longest DD Days | 315 | 316 |
| Volatility (ann.) | 12.02% | 11.32% |
| R^2 | 0.89 | 0.89 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.74 | 0.71 |
| Skew | 1.15 | 1.26 |
| Kurtosis | 5.95 | 6.82 |
| Expected Daily | 0.04% | 0.04% |
| Expected Monthly | 0.81% | 0.78% |
| Expected Yearly | 6.12% | 5.88% |
| Kelly Criterion | 7.58% | 8.25% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.2% | -1.13% |
| Expected Shortfall (cVaR) | -1.2% | -1.13% |
| Max Consecutive Wins | 9 | 9 |
| Max Consecutive Losses | 10 | 10 |
| Gain/Pain Ratio | 0.17 | 0.18 |
| Gain/Pain (1M) | 0.67 | 0.63 |
| Payoff Ratio | 1.08 | 1.12 |
| Profit Factor | 1.17 | 1.18 |
| Common Sense Ratio | 1.28 | 1.34 |
| CPC Index | 0.66 | 0.68 |
| Tail Ratio | 1.1 | 1.13 |
| Outlier Win Ratio | 3.55 | 3.86 |
| Outlier Loss Ratio | 2.88 | 3.22 |
| MTD | -0.8% | -0.5% |
| 3M | 3.79% | 4.23% |
| 6M | 3.76% | 4.17% |
| YTD | -0.8% | -0.5% |
| 1Y | 24.36% | 24.71% |
| 3Y (ann.) | 10.64% | 10.2% |
| 5Y (ann.) | 10.64% | 10.2% |
| 10Y (ann.) | 10.64% | 10.2% |
| All-time (ann.) | 10.64% | 10.2% |
| Best Day | 4.91% | 4.61% |
| Worst Day | -1.8% | -2.1% |
| Best Month | 11.99% | 11.3% |
| Worst Month | -7.1% | -6.98% |
| Best Year | 19.62% | 19.73% |
| Worst Year | -0.8% | -0.5% |
| Avg. Drawdown | -3.01% | -2.5% |
| Avg. Drawdown Days | 49 | 41 |
| Recovery Factor | 1.36 | 1.3 |
| Ulcer Index | 0.06 | 0.06 |
| Serenity Index | 0.13 | 0.11 |
| Avg. Up Month | 3.44% | 3.4% |
| Avg. Down Month | -3.51% | -3.54% |
| Win Days | 51.93% | 51.58% |
| Win Month | 63.64% | 63.64% |
| Win Quarter | 62.5% | 62.5% |
| Win Year | 66.67% | 33.33% |
| Beta | 1.0 | - |
| Alpha | 0.0 | - |
| Correlation | 94.19% | - |
| Treynor Ratio | 12.52% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | -0.36 | 0.73 | -2.01 | + |
| 2025 | 19.73 | 19.62 | 0.99 | - |
| 2026 | -0.50 | -0.80 | 1.60 | - |
| 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 | 2026-01-23 | -2.39 | 35 |
| 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 |