| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 95.0% | 99.0% |
| Cumulative Return | 42.31% | 43.16% |
| CAGR﹪ | 7.53% | 7.67% |
| Sharpe | 0.44 | 0.81 |
| Prob. Sharpe Ratio | 40.3% | 97.23% |
| Smart Sharpe | 0.35 | 0.65 |
| Sortino | 0.69 | 1.81 |
| Smart Sortino | 0.55 | 1.44 |
| Sortino/√2 | 0.49 | 1.28 |
| Smart Sortino/√2 | 0.39 | 1.02 |
| Omega | 1.15 | 1.15 |
| Max Drawdown | -13.87% | -9.83% |
| Longest DD Days | 735 | 734 |
| Volatility (ann.) | 12.85% | 6.46% |
| R^2 | 0.08 | 0.08 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.54 | 0.78 |
| Skew | 1.27 | 8.76 |
| Kurtosis | 146.6 | 142.65 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 0.93% | 0.95% |
| Expected Yearly | 6.06% | 6.16% |
| Kelly Criterion | 1.97% | 21.96% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.62% |
| Expected Shortfall (cVaR) | -1.28% | -0.62% |
| Max Consecutive Wins | 8 | 18 |
| Max Consecutive Losses | 7 | 10 |
| Gain/Pain Ratio | 0.36 | 0.66 |
| Gain/Pain (1M) | 2.53 | 2.82 |
| Payoff Ratio | 0.87 | 0.94 |
| Profit Factor | 1.36 | 1.66 |
| Common Sense Ratio | 1.42 | 1.81 |
| CPC Index | 0.64 | 0.97 |
| Tail Ratio | 1.04 | 1.09 |
| Outlier Win Ratio | 3.21 | 5.52 |
| Outlier Loss Ratio | 2.52 | 4.14 |
| MTD | 0.28% | 0.77% |
| 3M | 3.29% | 3.32% |
| 6M | 7.76% | 8.07% |
| YTD | 3.85% | 4.31% |
| 1Y | 16.88% | 17.43% |
| 3Y (ann.) | 16.53% | 16.05% |
| 5Y (ann.) | 7.53% | 7.67% |
| 10Y (ann.) | 7.53% | 7.67% |
| All-time (ann.) | 7.53% | 7.67% |
| Best Day | 12.35% | 7.34% |
| Worst Day | -12.19% | -1.12% |
| 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 | -0.68% | -0.36% |
| Avg. Drawdown Days | 18 | 21 |
| Recovery Factor | 3.05 | 4.39 |
| Ulcer Index | 0.03 | 0.03 |
| Serenity Index | 1.87 | 1.05 |
| Avg. Up Month | 1.81% | 1.77% |
| Avg. Down Month | -2.02% | -1.54% |
| Win Days | 54.29% | 62.2% |
| Win Month | 76.32% | 76.32% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 83.33% | 83.33% |
| Beta | 0.57 | - |
| Alpha | 0.06 | - |
| Correlation | 28.85% | - |
| Treynor Ratio | 61.54% | - |
| 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 | 4.31 | 3.85 | 0.89 | - |
| 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 |
| 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 |
| 2025-03-11 | 2025-03-17 | -0.82 | 6 |