| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 99.0% |
| Cumulative Return | 22.51% | 21.65% |
| CAGR﹪ | 11.32% | 10.91% |
| Sharpe | 0.39 | 0.38 |
| Prob. Sharpe Ratio | 41.73% | 42.99% |
| Smart Sharpe | 0.3 | 0.29 |
| Sortino | 0.62 | 0.6 |
| Smart Sortino | 0.48 | 0.47 |
| Sortino/√2 | 0.44 | 0.43 |
| Smart Sortino/√2 | 0.34 | 0.33 |
| Omega | 1.07 | 1.07 |
| Max Drawdown | -14.39% | -14.41% |
| Longest DD Days | 315 | 316 |
| Volatility (ann.) | 11.79% | 11.05% |
| R^2 | 0.88 | 0.88 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.79 | 0.76 |
| Skew | 1.15 | 1.27 |
| Kurtosis | 6.08 | 7.12 |
| Expected Daily | 0.04% | 0.04% |
| Expected Monthly | 0.85% | 0.82% |
| Expected Yearly | 7.0% | 6.75% |
| Kelly Criterion | 7.97% | 8.81% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.18% | -1.1% |
| Expected Shortfall (cVaR) | -1.18% | -1.1% |
| Max Consecutive Wins | 9 | 9 |
| Max Consecutive Losses | 10 | 10 |
| Gain/Pain Ratio | 0.18 | 0.2 |
| Gain/Pain (1M) | 0.76 | 0.72 |
| Payoff Ratio | 1.1 | 1.15 |
| Profit Factor | 1.18 | 1.2 |
| Common Sense Ratio | 1.34 | 1.36 |
| CPC Index | 0.68 | 0.7 |
| Tail Ratio | 1.13 | 1.14 |
| Outlier Win Ratio | 3.53 | 3.88 |
| Outlier Loss Ratio | 2.94 | 3.32 |
| MTD | 0.15% | 0.2% |
| 3M | 1.86% | 2.18% |
| 6M | 2.19% | 2.45% |
| YTD | 1.67% | 1.97% |
| 1Y | 17.29% | 17.82% |
| 3Y (ann.) | 11.32% | 10.91% |
| 5Y (ann.) | 11.32% | 10.91% |
| 10Y (ann.) | 11.32% | 10.91% |
| All-time (ann.) | 11.32% | 10.91% |
| 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 | 0.73% | -0.36% |
| Avg. Drawdown | -2.71% | -2.26% |
| Avg. Drawdown Days | 45 | 39 |
| Recovery Factor | 1.56 | 1.5 |
| Ulcer Index | 0.06 | 0.06 |
| Serenity Index | 0.17 | 0.15 |
| Avg. Up Month | 3.17% | 3.12% |
| Avg. Down Month | -3.51% | -3.52% |
| Win Days | 51.69% | 51.27% |
| Win Month | 66.67% | 66.67% |
| Win Quarter | 75.0% | 75.0% |
| Win Year | 100.0% | 66.67% |
| Beta | 1.0 | - |
| Alpha | 0.0 | - |
| Correlation | 93.92% | - |
| Treynor Ratio | 15.48% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | -0.36 | 0.73 | -2.01 | + |
| 2025 | 19.73 | 19.62 | 0.99 | - |
| 2026 | 1.97 | 1.67 | 0.85 | - |
| 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 |
| 2026-02-20 | 2026-03-11 | -1.15 | 19 |
| 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 |