| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 89.0% | 100.0% |
| Cumulative Return | 19.76% | 19.51% |
| CAGR﹪ | 21.5% | 21.22% |
| Sharpe | 1.24 | 0.83 |
| Prob. Sharpe Ratio | 77.41% | 55.18% |
| Smart Sharpe | 1.21 | 0.81 |
| Sortino | 1.94 | 1.22 |
| Smart Sortino | 1.89 | 1.19 |
| Sortino/√2 | 1.37 | 0.86 |
| Smart Sortino/√2 | 1.34 | 0.84 |
| Omega | 1.23 | 1.23 |
| Max Drawdown | -5.75% | -12.61% |
| Longest DD Days | 109 | 182 |
| Volatility (ann.) | 10.59% | 16.41% |
| R^2 | 0.75 | 0.75 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 3.74 | 1.68 |
| Skew | 0.27 | -0.08 |
| Kurtosis | 0.91 | 1.29 |
| Expected Daily | 0.08% | 0.08% |
| Expected Monthly | 1.51% | 1.5% |
| Expected Yearly | 9.44% | 9.32% |
| Kelly Criterion | 14.47% | 6.75% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.02% | -1.62% |
| Expected Shortfall (cVaR) | -1.02% | -1.62% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 7 | 5 |
| Gain/Pain Ratio | 0.36 | 0.24 |
| Gain/Pain (1M) | 4.42 | 2.0 |
| Payoff Ratio | 1.07 | 0.97 |
| Profit Factor | 1.36 | 1.24 |
| Common Sense Ratio | 1.77 | 1.19 |
| CPC Index | 0.82 | 0.65 |
| Tail Ratio | 1.3 | 0.96 |
| Outlier Win Ratio | 4.82 | 3.02 |
| Outlier Loss Ratio | 3.7 | 2.73 |
| MTD | 1.17% | 1.71% |
| 3M | 4.48% | 6.78% |
| 6M | 6.32% | 4.03% |
| YTD | 2.71% | 4.56% |
| 1Y | 19.76% | 19.51% |
| 3Y (ann.) | 21.5% | 21.22% |
| 5Y (ann.) | 21.5% | 21.22% |
| 10Y (ann.) | 21.5% | 21.22% |
| All-time (ann.) | 21.5% | 21.22% |
| Best Day | 2.4% | 3.31% |
| Worst Day | -1.96% | -3.3% |
| Best Month | 4.61% | 6.11% |
| Worst Month | -1.95% | -4.88% |
| Best Year | 16.6% | 14.3% |
| Worst Year | 2.71% | 4.56% |
| Avg. Drawdown | -1.49% | -2.44% |
| Avg. Drawdown Days | 16 | 24 |
| Recovery Factor | 3.44 | 1.55 |
| Ulcer Index | 0.02 | 0.05 |
| Serenity Index | 0.96 | 0.29 |
| Avg. Up Month | 2.53% | 3.17% |
| Avg. Down Month | -1.44% | -3.3% |
| Win Days | 55.77% | 54.08% |
| Win Month | 75.0% | 75.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.56 | - |
| Alpha | 0.08 | - |
| Correlation | 86.76% | - |
| Treynor Ratio | 22.79% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 14.30 | 16.60 | 1.16 | + |
| 2026 | 4.56 | 2.71 | 0.60 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-08-18 | 2025-12-05 | -5.75 | 109 |
| 2025-04-29 | 2025-07-01 | -4.27 | 63 |
| 2025-07-02 | 2025-07-18 | -2.40 | 16 |
| 2025-12-17 | 2025-12-30 | -2.03 | 13 |
| 2025-04-09 | 2025-04-10 | -1.96 | 1 |
| 2026-02-02 | 2026-02-20 | -1.67 | 18 |
| 2025-07-24 | 2025-08-07 | -1.45 | 14 |
| 2026-01-05 | 2026-01-19 | -1.19 | 14 |
| 2026-03-10 | 2026-03-11 | -0.66 | 1 |
| 2025-04-15 | 2025-04-16 | -0.58 | 1 |