| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 95.0% | 99.0% |
| Cumulative Return | 40.62% | 41.32% |
| CAGR﹪ | 7.05% | 7.15% |
| Sharpe | 0.38 | 0.67 |
| Prob. Sharpe Ratio | 36.48% | 94.62% |
| Smart Sharpe | 0.3 | 0.54 |
| Sortino | 0.58 | 1.46 |
| Smart Sortino | 0.47 | 1.17 |
| Sortino/√2 | 0.41 | 1.03 |
| Smart Sortino/√2 | 0.33 | 0.82 |
| Omega | 1.13 | 1.13 |
| Max Drawdown | -13.87% | -9.83% |
| Longest DD Days | 735 | 734 |
| Volatility (ann.) | 12.59% | 6.38% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.51 | 0.73 |
| Skew | 1.3 | 8.7 |
| Kurtosis | 152.04 | 144.09 |
| Expected Daily | 0.04% | 0.04% |
| Expected Monthly | 0.86% | 0.87% |
| Expected Yearly | 5.85% | 5.93% |
| Kelly Criterion | 2.01% | 20.2% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.62% |
| Expected Shortfall (cVaR) | -1.26% | -0.62% |
| Max Consecutive Wins | 8 | 18 |
| Max Consecutive Losses | 7 | 10 |
| Gain/Pain Ratio | 0.34 | 0.6 |
| Gain/Pain (1M) | 2.23 | 2.39 |
| Payoff Ratio | 0.89 | 0.94 |
| Profit Factor | 1.34 | 1.6 |
| Common Sense Ratio | 1.37 | 1.71 |
| CPC Index | 0.64 | 0.92 |
| Tail Ratio | 1.03 | 1.07 |
| Outlier Win Ratio | 3.19 | 5.4 |
| Outlier Loss Ratio | 2.61 | 4.26 |
| MTD | -1.53% | -1.78% |
| 3M | -0.7% | -0.3% |
| 6M | 3.06% | 3.51% |
| YTD | 2.62% | 2.97% |
| 1Y | 12.15% | 12.59% |
| 3Y (ann.) | 14.91% | 14.43% |
| 5Y (ann.) | 7.14% | 7.25% |
| 10Y (ann.) | 7.05% | 7.15% |
| All-time (ann.) | 7.05% | 7.15% |
| Best Day | 12.35% | 7.34% |
| Worst Day | -12.19% | -1.19% |
| Best Month | 7.85% | 8.26% |
| Worst Month | -4.32% | -4.35% |
| Best Year | 19.59% | 19.48% |
| Worst Year | -2.54% | -1.32% |
| Avg. Drawdown | -0.7% | -0.38% |
| Avg. Drawdown Days | 19 | 20 |
| Recovery Factor | 2.93 | 4.21 |
| Ulcer Index | 0.03 | 0.03 |
| Serenity Index | 1.83 | 1.03 |
| Avg. Up Month | 1.76% | 1.73% |
| Avg. Down Month | -1.96% | -1.57% |
| Win Days | 53.97% | 61.27% |
| Win Month | 75.0% | 75.0% |
| Win Quarter | 73.33% | 73.33% |
| Win Year | 83.33% | 83.33% |
| Beta | 0.58 | - |
| Alpha | 0.05 | - |
| Correlation | 29.41% | - |
| Treynor Ratio | 57.89% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.45 | 2.14 | 0.88 | - |
| 2022 | -1.32 | -2.54 | 1.93 | - |
| 2023 | 1.52 | 3.16 | 2.08 | + |
| 2024 | 11.92 | 11.59 | 0.97 | - |
| 2025 | 19.48 | 19.59 | 1.01 | + |
| 2026 | 2.97 | 2.62 | 0.88 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-06 | 2024-01-11 | -13.87 | 735 |
| 2024-04-23 | 2025-02-13 | -9.80 | 296 |
| 2025-03-21 | 2025-05-12 | -3.71 | 52 |
| 2026-06-04 | 2026-06-22 | -2.11 | 18 |
| 2021-10-21 | 2022-01-03 | -1.54 | 74 |
| 2025-09-10 | 2025-10-17 | -1.54 | 37 |
| 2025-08-20 | 2025-09-08 | -1.13 | 19 |
| 2024-01-15 | 2024-01-17 | -0.95 | 2 |
| 2025-10-21 | 2025-10-31 | -0.94 | 10 |
| 2024-01-18 | 2024-01-24 | -0.86 | 6 |