| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 89.0% | 99.0% |
| Cumulative Return | 19.17% | 16.74% |
| CAGR﹪ | 18.14% | 15.85% |
| Sharpe | 1.01 | 0.57 |
| Prob. Sharpe Ratio | 72.25% | 45.81% |
| Smart Sharpe | 0.98 | 0.56 |
| Sortino | 1.55 | 0.83 |
| Smart Sortino | 1.51 | 0.81 |
| Sortino/√2 | 1.1 | 0.59 |
| Smart Sortino/√2 | 1.07 | 0.57 |
| Omega | 1.18 | 1.18 |
| Max Drawdown | -5.75% | -12.61% |
| Longest DD Days | 109 | 182 |
| Volatility (ann.) | 10.12% | 15.57% |
| R^2 | 0.75 | 0.75 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 3.16 | 1.26 |
| Skew | 0.29 | -0.04 |
| Kurtosis | 1.16 | 1.62 |
| Expected Daily | 0.07% | 0.06% |
| Expected Monthly | 1.36% | 1.2% |
| Expected Yearly | 9.16% | 8.05% |
| Kelly Criterion | 13.44% | 5.02% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.98% | -1.55% |
| Expected Shortfall (cVaR) | -0.98% | -1.55% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 7 | 5 |
| Gain/Pain Ratio | 0.32 | 0.19 |
| Gain/Pain (1M) | 3.74 | 1.63 |
| Payoff Ratio | 1.07 | 0.96 |
| Profit Factor | 1.32 | 1.19 |
| Common Sense Ratio | 1.67 | 1.24 |
| CPC Index | 0.78 | 0.61 |
| Tail Ratio | 1.26 | 1.04 |
| Outlier Win Ratio | 4.94 | 3.12 |
| Outlier Loss Ratio | 3.81 | 2.85 |
| MTD | -0.66% | -0.78% |
| 3M | 1.34% | 0.41% |
| 6M | 10.24% | 11.71% |
| YTD | 2.2% | 2.14% |
| 1Y | 12.5% | 7.71% |
| 3Y (ann.) | 18.14% | 15.85% |
| 5Y (ann.) | 18.14% | 15.85% |
| 10Y (ann.) | 18.14% | 15.85% |
| All-time (ann.) | 18.14% | 15.85% |
| 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 | 2.2% | 2.14% |
| Avg. Drawdown | -1.41% | -2.68% |
| Avg. Drawdown Days | 16 | 28 |
| Recovery Factor | 3.33 | 1.33 |
| Ulcer Index | 0.02 | 0.05 |
| Serenity Index | 0.96 | 0.23 |
| Avg. Up Month | 2.55% | 2.99% |
| Avg. Down Month | -1.25% | -2.67% |
| Win Days | 55.27% | 53.38% |
| Win Month | 69.23% | 69.23% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.56 | - |
| Alpha | 0.08 | - |
| Correlation | 86.53% | - |
| Treynor Ratio | 21.65% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 14.30 | 16.60 | 1.16 | + |
| 2026 | 2.14 | 2.20 | 1.03 | + |
| 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 |
| 2026-03-26 | 2026-04-26 | -2.13 | 31 |
| 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 | 2026-03-13 | -0.66 | 3 |