| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 28.07% | 28.22% |
| CAGR﹪ | 22.72% | 22.84% |
| Sharpe | 1.3 | 1.9 |
| Prob. Sharpe Ratio | 80.76% | 97.58% |
| Smart Sharpe | 1.07 | 1.57 |
| Sortino | 2.01 | 3.26 |
| Smart Sortino | 1.66 | 2.69 |
| Sortino/√2 | 1.42 | 2.3 |
| Smart Sortino/√2 | 1.17 | 1.9 |
| Omega | 1.24 | 1.24 |
| Max Drawdown | -7.57% | -6.33% |
| Longest DD Days | 92 | 87 |
| Volatility (ann.) | 11.14% | 7.48% |
| R^2 | 0.21 | 0.21 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 3.0 | 3.61 |
| Skew | 0.06 | 0.9 |
| Kurtosis | 1.37 | 5.66 |
| Expected Daily | 0.08% | 0.08% |
| Expected Monthly | 1.56% | 1.57% |
| Expected Yearly | 8.6% | 8.64% |
| Kelly Criterion | 8.91% | 20.48% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.07% | -0.69% |
| Expected Shortfall (cVaR) | -1.07% | -0.69% |
| Max Consecutive Wins | 6 | 10 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | 0.38 | 0.68 |
| Gain/Pain (1M) | 4.68 | 6.13 |
| Payoff Ratio | 1.14 | 1.26 |
| Profit Factor | 1.38 | 1.68 |
| Common Sense Ratio | 2.14 | 2.55 |
| CPC Index | 0.81 | 1.18 |
| Tail Ratio | 1.55 | 1.52 |
| Outlier Win Ratio | 2.65 | 4.09 |
| Outlier Loss Ratio | 2.66 | 4.61 |
| MTD | 0.14% | 0.27% |
| 3M | 2.66% | 2.43% |
| 6M | 3.43% | 2.81% |
| YTD | 2.21% | 2.45% |
| 1Y | 18.04% | 18.57% |
| 3Y (ann.) | 22.72% | 22.84% |
| 5Y (ann.) | 22.72% | 22.84% |
| 10Y (ann.) | 22.72% | 22.84% |
| All-time (ann.) | 22.72% | 22.84% |
| Best Day | 2.64% | 2.93% |
| Worst Day | -2.54% | -1.78% |
| Best Month | 6.65% | 5.84% |
| Worst Month | -2.95% | -2.45% |
| Best Year | 23.81% | 24.1% |
| Worst Year | 1.2% | 0.85% |
| Avg. Drawdown | -1.22% | -0.98% |
| Avg. Drawdown Days | 15 | 16 |
| Recovery Factor | 3.71 | 4.46 |
| Ulcer Index | 0.03 | 0.02 |
| Serenity Index | 1.07 | 1.16 |
| Avg. Up Month | 2.57% | 2.44% |
| Avg. Down Month | -1.67% | -1.38% |
| Win Days | 51.56% | 55.63% |
| Win Month | 75.0% | 81.25% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.68 | - |
| Alpha | 0.07 | - |
| Correlation | 45.76% | - |
| Treynor Ratio | 30.93% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 0.85 | 1.20 | 1.42 | + |
| 2025 | 24.10 | 23.81 | 0.99 | - |
| 2026 | 2.45 | 2.21 | 0.90 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-03-20 | 2025-06-20 | -7.57 | 92 |
| 2025-09-08 | 2025-12-05 | -5.91 | 88 |
| 2025-01-03 | 2025-02-12 | -2.01 | 40 |
| 2025-08-20 | 2025-09-03 | -1.93 | 14 |
| 2025-07-04 | 2025-07-15 | -1.65 | 11 |
| 2025-12-18 | 2026-02-13 | -1.46 | 57 |
| 2025-07-29 | 2025-08-11 | -1.44 | 13 |
| 2025-02-13 | 2025-02-20 | -1.35 | 7 |
| 2025-03-11 | 2025-03-13 | -0.67 | 2 |
| 2024-12-28 | 2024-12-30 | -0.64 | 2 |