| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 12.76% | 15.57% |
| CAGR﹪ | 14.58% | 17.83% |
| Sharpe | 0.44 | 0.6 |
| Prob. Sharpe Ratio | 37.44% | 43.79% |
| Smart Sharpe | 0.4 | 0.55 |
| Sortino | 0.64 | 0.88 |
| Smart Sortino | 0.58 | 0.81 |
| Sortino/√2 | 0.45 | 0.62 |
| Smart Sortino/√2 | 0.41 | 0.57 |
| Omega | 1.08 | 1.08 |
| Max Drawdown | -14.76% | -14.8% |
| Longest DD Days | 157 | 155 |
| Volatility (ann.) | 20.55% | 19.45% |
| R^2 | 0.57 | 0.57 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.99 | 1.2 |
| Skew | 0.06 | 0.3 |
| Kurtosis | 1.72 | 2.15 |
| Expected Daily | 0.05% | 0.07% |
| Expected Monthly | 1.1% | 1.32% |
| Expected Yearly | 6.19% | 7.5% |
| Kelly Criterion | 2.13% | 9.28% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.07% | -1.94% |
| Expected Shortfall (cVaR) | -2.07% | -1.94% |
| Max Consecutive Wins | 6 | 9 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | 0.14 | 0.17 |
| Gain/Pain (1M) | 1.09 | 1.33 |
| Payoff Ratio | 0.99 | 0.95 |
| Profit Factor | 1.14 | 1.17 |
| Common Sense Ratio | 1.15 | 1.03 |
| CPC Index | 0.58 | 0.62 |
| Tail Ratio | 1.01 | 0.87 |
| Outlier Win Ratio | 3.05 | 3.35 |
| Outlier Loss Ratio | 3.07 | 3.12 |
| MTD | -0.48% | -0.87% |
| 3M | 15.02% | 14.98% |
| 6M | 2.27% | 3.63% |
| YTD | 3.61% | 4.19% |
| 1Y | 12.76% | 15.57% |
| 3Y (ann.) | 14.58% | 17.83% |
| 5Y (ann.) | 14.58% | 17.83% |
| 10Y (ann.) | 14.58% | 17.83% |
| All-time (ann.) | 14.58% | 17.83% |
| Best Day | 5.47% | 5.77% |
| Worst Day | -4.47% | -3.34% |
| Best Month | 6.51% | 6.37% |
| Worst Month | -5.1% | -5.06% |
| Best Year | 8.83% | 10.93% |
| Worst Year | 3.61% | 4.19% |
| Avg. Drawdown | -3.23% | -3.85% |
| Avg. Drawdown Days | 23 | 28 |
| Recovery Factor | 0.86 | 1.05 |
| Ulcer Index | 0.06 | 0.06 |
| Serenity Index | 0.12 | 0.16 |
| Avg. Up Month | 4.42% | 4.42% |
| Avg. Down Month | -3.29% | -3.15% |
| Win Days | 51.42% | 55.91% |
| Win Month | 54.55% | 63.64% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.8 | - |
| Alpha | 0.01 | - |
| Correlation | 75.76% | - |
| Treynor Ratio | 7.2% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 10.93 | 8.83 | 0.81 | - |
| 2026 | 4.19 | 3.61 | 0.86 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-08-15 | 2026-01-19 | -14.76 | 157 |
| 2025-04-28 | 2025-07-18 | -9.03 | 81 |
| 2025-04-04 | 2025-04-17 | -6.76 | 13 |
| 2025-07-22 | 2025-08-06 | -3.21 | 15 |
| 2026-01-29 | 2026-02-16 | -2.69 | 18 |
| 2025-04-23 | 2025-04-25 | -1.71 | 2 |
| 2025-08-13 | 2025-08-14 | -0.89 | 1 |
| 2025-04-18 | 2025-04-21 | -0.87 | 3 |
| 2026-02-19 | 2026-02-19 | -0.77 | 0 |
| 2025-08-11 | 2025-08-12 | -0.49 | 1 |