| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 11.39% | 4.64% |
| CAGR﹪ | 15.04% | 6.07% |
| Sharpe | 0.48 | 0.05 |
| Prob. Sharpe Ratio | 40.96% | 26.46% |
| Smart Sharpe | 0.43 | 0.04 |
| Sortino | 0.72 | 0.07 |
| Smart Sortino | 0.64 | 0.06 |
| Sortino/√2 | 0.51 | 0.05 |
| Smart Sortino/√2 | 0.45 | 0.04 |
| Omega | 1.09 | 1.09 |
| Max Drawdown | -17.98% | -17.77% |
| Longest DD Days | 197 | 197 |
| Volatility (ann.) | 18.14% | 19.54% |
| R^2 | 0.45 | 0.45 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.84 | 0.34 |
| Skew | 0.51 | -0.01 |
| Kurtosis | 4.16 | 1.82 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 0.99% | 0.41% |
| Expected Yearly | 5.54% | 2.29% |
| Kelly Criterion | 5.78% | -1.43% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.82% | -1.99% |
| Expected Shortfall (cVaR) | -1.82% | -1.99% |
| Max Consecutive Wins | 8 | 8 |
| Max Consecutive Losses | 10 | 5 |
| Gain/Pain Ratio | 0.16 | 0.07 |
| Gain/Pain (1M) | 0.87 | 0.35 |
| Payoff Ratio | 0.98 | 0.92 |
| Profit Factor | 1.16 | 1.07 |
| Common Sense Ratio | 1.22 | 1.07 |
| CPC Index | 0.6 | 0.51 |
| Tail Ratio | 1.06 | 1.0 |
| Outlier Win Ratio | 3.5 | 3.16 |
| Outlier Loss Ratio | 3.42 | 3.36 |
| MTD | -0.09% | 0.93% |
| 3M | 7.58% | 5.92% |
| 6M | 1.68% | -0.71% |
| YTD | 4.01% | 2.12% |
| 1Y | 11.39% | 4.64% |
| 3Y (ann.) | 15.04% | 6.07% |
| 5Y (ann.) | 15.04% | 6.07% |
| 10Y (ann.) | 15.04% | 6.07% |
| All-time (ann.) | 15.04% | 6.07% |
| 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 | 4.01% | 2.12% |
| Avg. Drawdown | -4.88% | -8.47% |
| Avg. Drawdown Days | 42 | 87 |
| Recovery Factor | 0.63 | 0.26 |
| Ulcer Index | 0.09 | 0.09 |
| Serenity Index | 0.04 | -0.02 |
| Avg. Up Month | 3.44% | 3.16% |
| Avg. Down Month | -6.89% | -6.67% |
| Win Days | 53.48% | 51.28% |
| Win Month | 72.73% | 72.73% |
| Win Quarter | 75.0% | 75.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.62 | - |
| Alpha | 0.11 | - |
| Correlation | 67.23% | - |
| Treynor Ratio | 7.04% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 2.47 | 7.10 | 2.87 | + |
| 2026 | 2.12 | 4.01 | 1.89 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-08-18 | 2026-03-03 | -17.98 | 197 |
| 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 |