| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 8.9% | 2.14% |
| CAGR﹪ | 9.86% | 2.37% |
| Sharpe | 0.23 | -0.15 |
| Prob. Sharpe Ratio | 31.79% | 19.59% |
| Smart Sharpe | 0.2 | -0.13 |
| Sortino | 0.34 | -0.21 |
| Smart Sortino | 0.3 | -0.19 |
| Sortino/√2 | 0.24 | -0.15 |
| Smart Sortino/√2 | 0.21 | -0.13 |
| Omega | 1.04 | 1.04 |
| Max Drawdown | -17.98% | -17.77% |
| Longest DD Days | 247 | 247 |
| Volatility (ann.) | 17.3% | 18.42% |
| R^2 | 0.45 | 0.45 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.55 | 0.13 |
| Skew | 0.5 | 0.01 |
| Kurtosis | 4.43 | 2.17 |
| Expected Daily | 0.04% | 0.01% |
| Expected Monthly | 0.71% | 0.18% |
| Expected Yearly | 4.35% | 1.07% |
| Kelly Criterion | 2.34% | -1.78% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.75% | -1.89% |
| Expected Shortfall (cVaR) | -1.75% | -1.89% |
| Max Consecutive Wins | 8 | 8 |
| Max Consecutive Losses | 10 | 5 |
| Gain/Pain Ratio | 0.11 | 0.04 |
| Gain/Pain (1M) | 0.62 | 0.2 |
| Payoff Ratio | 1.0 | 0.95 |
| Profit Factor | 1.11 | 1.04 |
| Common Sense Ratio | 1.13 | 1.02 |
| CPC Index | 0.57 | 0.5 |
| Tail Ratio | 1.02 | 0.99 |
| Outlier Win Ratio | 3.49 | 3.31 |
| Outlier Loss Ratio | 3.62 | 3.49 |
| MTD | -0.45% | -0.67% |
| 3M | -0.86% | -0.46% |
| 6M | 9.36% | 4.76% |
| YTD | 1.68% | -0.32% |
| 1Y | 8.9% | 2.14% |
| 3Y (ann.) | 9.86% | 2.37% |
| 5Y (ann.) | 9.86% | 2.37% |
| 10Y (ann.) | 9.86% | 2.37% |
| All-time (ann.) | 9.86% | 2.37% |
| Best Day | 6.26% | 4.35% |
| Worst Day | -3.8% | -4.1% |
| Best Month | 6.07% | 6.12% |
| Worst Month | -9.03% | -7.41% |
| Best Year | 7.1% | 2.47% |
| Worst Year | 1.68% | -0.32% |
| Avg. Drawdown | -4.88% | -8.47% |
| Avg. Drawdown Days | 50 | 103 |
| Recovery Factor | 0.49 | 0.12 |
| Ulcer Index | 0.08 | 0.09 |
| Serenity Index | 0.02 | -0.05 |
| Avg. Up Month | 3.44% | 3.16% |
| Avg. Down Month | -4.03% | -3.71% |
| Win Days | 51.12% | 50.43% |
| Win Month | 66.67% | 58.33% |
| Win Quarter | 60.0% | 60.0% |
| Win Year | 100.0% | 50.0% |
| Beta | 0.63 | - |
| Alpha | 0.08 | - |
| Correlation | 67.42% | - |
| Treynor Ratio | 3.0% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 2.47 | 7.10 | 2.87 | + |
| 2026 | -0.32 | 1.68 | -5.21 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-08-18 | 2026-04-22 | -17.98 | 247 |
| 2025-07-02 | 2025-07-18 | -4.85 | 16 |
| 2025-06-06 | 2025-07-01 | -4.21 | 25 |
| 2025-07-25 | 2025-08-06 | -2.10 | 12 |
| 2025-07-23 | 2025-07-24 | -0.09 | 1 |
| 2025-08-12 | 2025-08-13 | -0.05 | 1 |