| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 8.59% | 6.1% |
| CAGR﹪ | 11.14% | 7.87% |
| Sharpe | 0.67 | 13.76 |
| Prob. Sharpe Ratio | 72.39% | - |
| Smart Sharpe | 0.58 | 12.08 |
| Sortino | 1.0 | 76.37 |
| Smart Sortino | 0.87 | 67.03 |
| Sortino/√2 | 0.7 | 54.0 |
| Smart Sortino/√2 | 0.62 | 47.4 |
| Omega | 1.12 | 1.12 |
| Max Drawdown | -17.98% | -0.4% |
| Longest DD Days | 197 | 63 |
| Volatility (ann.) | 18.23% | 0.55% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.62 | 19.68 |
| Skew | 0.49 | 0.94 |
| Kurtosis | 4.04 | -0.11 |
| Expected Daily | 0.04% | 0.03% |
| Expected Monthly | 0.75% | 0.54% |
| Expected Yearly | 4.21% | 3.0% |
| Kelly Criterion | 24.93% | 83.84% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.84% | -0.03% |
| Expected Shortfall (cVaR) | -1.84% | -0.03% |
| Max Consecutive Wins | 8 | 125 |
| Max Consecutive Losses | 10 | 21 |
| Gain/Pain Ratio | 0.12 | 14.77 |
| Gain/Pain (1M) | 0.69 | 14.77 |
| Payoff Ratio | 1.68 | 1.94 |
| Profit Factor | 1.12 | 15.77 |
| Common Sense Ratio | 1.17 | 78.16 |
| CPC Index | 1.0 | 27.29 |
| Tail Ratio | 1.04 | 4.96 |
| Outlier Win Ratio | 1.56 | 35.84 |
| Outlier Loss Ratio | 1.53 | 72.1 |
| MTD | -0.09% | 0.19% |
| 3M | 7.58% | 3.96% |
| 6M | 1.68% | 5.27% |
| YTD | 4.01% | 3.66% |
| 1Y | 8.59% | 6.1% |
| 3Y (ann.) | 11.14% | 7.87% |
| 5Y (ann.) | 11.14% | 7.87% |
| 10Y (ann.) | 11.14% | 7.87% |
| All-time (ann.) | 11.14% | 7.87% |
| Best Day | 6.26% | 0.09% |
| Worst Day | -3.8% | -0.02% |
| Best Month | 6.07% | 1.81% |
| Worst Month | -9.03% | -0.4% |
| Best Year | 4.41% | 3.66% |
| Worst Year | 4.01% | 2.35% |
| Avg. Drawdown | -4.54% | -0.4% |
| Avg. Drawdown Days | 37 | 63 |
| Recovery Factor | 0.48 | 15.24 |
| Ulcer Index | 0.09 | 0.0 |
| Serenity Index | 0.07 | 8.63 |
| Avg. Up Month | 2.9% | 0.76% |
| Avg. Down Month | - | - |
| Win Days | 52.91% | 89.34% |
| Win Month | 72.73% | 90.91% |
| Win Quarter | 75.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.51 | - |
| Alpha | 0.08 | - |
| Correlation | 1.52% | - |
| Treynor Ratio | 16.93% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 2.35 | 4.41 | 1.87 | + |
| 2026 | 3.66 | 4.01 | 1.10 | + |
| 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 |
| 2025-05-23 | 2025-05-28 | -2.51 | 5 |
| 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 |