| Metric | SCJ | IBKR |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 58.31% | 87.09% |
| CAGR﹪ | 22.18% | 31.4% |
| Sharpe | 1.0 | 1.27 |
| Prob. Sharpe Ratio | 93.49% | 97.1% |
| Smart Sharpe | 0.96 | 1.23 |
| Sortino | 1.48 | 1.89 |
| Smart Sortino | 1.43 | 1.83 |
| Sortino/√2 | 1.05 | 1.34 |
| Smart Sortino/√2 | 1.01 | 1.29 |
| Omega | 1.24 | 1.3 |
| Max Drawdown | -12.43% | -16.72% |
| Max DD Date | 2025-04-07 | 2024-08-05 |
| Max DD Period Start | 2025-03-20 | 2024-07-18 |
| Max DD Period End | 2025-04-21 | 2024-09-26 |
| Longest DD Days | 173 | 127 |
| Volatility (ann.) | 16.93% | 19.45% |
| R^2 | 0.33 | 0.33 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 1.78 | 1.88 |
| Skew | 0.08 | -0.25 |
| Kurtosis | 3.34 | 3.66 |
| Ulcer Performance Index | 14.41 | 22.5 |
| Risk-Adjusted Return | 22.18% | 31.4% |
| Risk-Return Ratio | 0.08 | 0.09 |
| Avg. Return | 0.09% | 0.11% |
| Avg. Win | 0.91% | 1.06% |
| Avg. Loss | -0.9% | -0.95% |
| Win/Loss Ratio | 1.01 | 1.12 |
| Profit Ratio | 0.92 | 1.05 |
| Expected Daily | 0.08% | 0.11% |
| Expected Monthly | 1.65% | 2.26% |
| Expected Yearly | 16.55% | 23.22% |
| Kelly Criterion | 7.72% | 10.17% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.67% | -1.9% |
| Expected Shortfall (cVaR) | -2.35% | -3.26% |
| Max Consecutive Wins | 12 | 11 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.24 | 0.3 |
| Gain/Pain (1M) | 2.27 | 3.25 |
| Payoff Ratio | 1.01 | 1.12 |
| Profit Factor | 1.24 | 1.3 |
| Common Sense Ratio | 1.36 | 1.62 |
| CPC Index | 0.67 | 0.76 |
| Tail Ratio | 1.09 | 1.25 |
| Outlier Win Ratio | 3.18 | 3.78 |
| Outlier Loss Ratio | 3.63 | 3.98 |
| MTD | -0.32% | -4.37% |
| 3M | 4.54% | 2.01% |
| 6M | 14.75% | 12.52% |
| YTD | 19.62% | 22.46% |
| 1Y | 20.28% | 32.63% |
| 3Y (ann.) | 22.18% | 31.4% |
| 5Y (ann.) | 22.18% | 31.4% |
| 10Y (ann.) | 22.18% | 31.4% |
| All-time (ann.) | 22.18% | 31.4% |
| Best Day | 6.1% | 5.56% |
| Worst Day | -5.18% | -7.1% |
| Best Month | 10.26% | 12.01% |
| Worst Month | -9.21% | -7.6% |
| Best Year | 29.58% | 30.59% |
| Worst Year | 2.14% | 16.98% |
| Avg. Drawdown | -2.35% | -2.99% |
| Avg. Drawdown Days | 16 | 17 |
| Recovery Factor | 3.96 | 4.01 |
| Ulcer Index | 0.04 | 0.04 |
| Serenity Index | 1.44 | 2.31 |
| Avg. Up Month | 3.26% | 4.71% |
| Avg. Down Month | -3.08% | -3.19% |
| Win Days | 53.57% | 52.6% |
| Win Month | 78.57% | 67.86% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.66 |
| Alpha | - | 0.15 |
| Correlation | - | 57.46% |
| Treynor Ratio | - | 131.88% |
| Year | SCJ | IBKR | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 2.14 | 16.98 | 7.95 | + |
| 2025 | 29.58 | 30.59 | 1.03 | + |
| 2026 | 19.62 | 22.46 | 1.14 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-07-18 | 2024-09-26 | -16.72 | 71 |
| 2025-03-18 | 2025-07-22 | -11.77 | 127 |
| 2026-03-02 | 2026-05-05 | -9.51 | 65 |
| 2026-08-10 | 2026-09-24 | -7.37 | 46 |
| 2026-07-07 | 2026-08-03 | -6.18 | 28 |
| 2024-12-10 | 2025-01-27 | -5.61 | 49 |
| 2026-06-02 | 2026-06-16 | -5.21 | 15 |
| 2024-11-12 | 2024-11-21 | -4.97 | 10 |
| 2025-08-13 | 2025-09-10 | -4.67 | 29 |
| 2025-10-28 | 2025-11-11 | -4.17 | 15 |