| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 6.35% | 5.86% |
| CAGR﹪ | 6.94% | 6.4% |
| Sharpe | 0.47 | 15.72 |
| Prob. Sharpe Ratio | 67.46% | 100.0% |
| Smart Sharpe | 0.41 | 13.76 |
| Sortino | 0.69 | 67.57 |
| Smart Sortino | 0.6 | 59.15 |
| Sortino/√2 | 0.49 | 47.78 |
| Smart Sortino/√2 | 0.43 | 41.82 |
| Omega | 1.08 | 1.08 |
| Max Drawdown | -17.98% | -0.4% |
| Longest DD Days | 247 | 63 |
| Volatility (ann.) | 17.39% | 0.39% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.39 | 16.0 |
| Skew | 0.47 | 1.23 |
| Kurtosis | 4.32 | 2.91 |
| Expected Daily | 0.03% | 0.02% |
| Expected Monthly | 0.51% | 0.48% |
| Expected Yearly | 3.13% | 2.89% |
| Kelly Criterion | 20.6% | 85.3% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.77% | -0.02% |
| Expected Shortfall (cVaR) | -1.77% | -0.02% |
| Max Consecutive Wins | 8 | 161 |
| Max Consecutive Losses | 10 | 21 |
| Gain/Pain Ratio | 0.08 | 14.21 |
| Gain/Pain (1M) | 0.48 | 14.21 |
| Payoff Ratio | 1.62 | 1.58 |
| Profit Factor | 1.08 | 15.21 |
| Common Sense Ratio | 1.09 | 75.37 |
| CPC Index | 0.89 | 21.93 |
| Tail Ratio | 1.01 | 4.96 |
| Outlier Win Ratio | 1.59 | 44.28 |
| Outlier Loss Ratio | 1.6 | 69.41 |
| MTD | -0.28% | 0.44% |
| 3M | -0.69% | 2.36% |
| 6M | 9.55% | 4.37% |
| YTD | 1.86% | 3.42% |
| 1Y | 6.35% | 5.86% |
| 3Y (ann.) | 6.94% | 6.4% |
| 5Y (ann.) | 6.94% | 6.4% |
| 10Y (ann.) | 6.94% | 6.4% |
| All-time (ann.) | 6.94% | 6.4% |
| Best Day | 6.26% | 0.09% |
| Worst Day | -3.8% | -0.02% |
| Best Month | 6.07% | 1.62% |
| Worst Month | -9.03% | -0.4% |
| Best Year | 4.41% | 3.42% |
| Worst Year | 1.86% | 2.35% |
| Avg. Drawdown | -4.54% | -0.4% |
| Avg. Drawdown Days | 44 | 63 |
| Recovery Factor | 0.35 | 14.65 |
| Ulcer Index | 0.08 | 0.0 |
| Serenity Index | 0.06 | 7.03 |
| Avg. Up Month | 2.9% | 0.61% |
| Avg. Down Month | - | - |
| Win Days | 50.89% | 90.99% |
| Win Month | 66.67% | 91.67% |
| Win Quarter | 60.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 1.2 | - |
| Alpha | 0.01 | - |
| Correlation | 2.69% | - |
| Treynor Ratio | 5.3% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 2.35 | 4.41 | 1.87 | + |
| 2026 | 3.42 | 1.86 | 0.54 | - |
| 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 |
| 2025-05-23 | 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 |