| Metric | SCJ | IBKR |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 51.88% | 74.72% |
| CAGR﹪ | 18.85% | 25.93% |
| Sharpe | 0.83 | 1.05 |
| Prob. Sharpe Ratio | 90.13% | 94.78% |
| Smart Sharpe | 0.79 | 1.03 |
| Sortino | 1.21 | 1.56 |
| Smart Sortino | 1.16 | 1.52 |
| Sortino/√2 | 0.86 | 1.1 |
| Smart Sortino/√2 | 0.82 | 1.07 |
| Omega | 1.21 | 1.25 |
| 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.) | 17.19% | 19.42% |
| R^2 | 0.33 | 0.33 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 1.52 | 1.55 |
| Skew | -0.02 | -0.23 |
| Kurtosis | 3.66 | 3.47 |
| Ulcer Performance Index | 12.9 | 16.46 |
| Risk-Adjusted Return | 18.85% | 25.93% |
| Risk-Return Ratio | 0.07 | 0.08 |
| Avg. Return | 0.07% | 0.09% |
| Avg. Win | 0.91% | 1.05% |
| Avg. Loss | -0.91% | -0.95% |
| Win/Loss Ratio | 1.01 | 1.11 |
| Profit Ratio | 0.93 | 1.07 |
| Expected Daily | 0.07% | 0.09% |
| Expected Monthly | 1.4% | 1.88% |
| Expected Yearly | 14.95% | 20.44% |
| Kelly Criterion | 6.34% | 8.5% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.71% | -1.91% |
| Expected Shortfall (cVaR) | -2.52% | -3.24% |
| Max Consecutive Wins | 12 | 11 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.21 | 0.25 |
| Gain/Pain (1M) | 1.75 | 2.21 |
| Payoff Ratio | 1.01 | 1.11 |
| Profit Factor | 1.21 | 1.25 |
| Common Sense Ratio | 1.34 | 1.49 |
| CPC Index | 0.64 | 0.72 |
| Tail Ratio | 1.11 | 1.2 |
| Outlier Win Ratio | 3.21 | 3.73 |
| Outlier Loss Ratio | 3.72 | 3.9 |
| MTD | -0.83% | -0.72% |
| 3M | -4.63% | -13.28% |
| 6M | 0.59% | -5.02% |
| YTD | 14.76% | 14.36% |
| 1Y | 17.96% | 26.28% |
| 3Y (ann.) | 18.85% | 25.93% |
| 5Y (ann.) | 18.85% | 25.93% |
| 10Y (ann.) | 18.85% | 25.93% |
| All-time (ann.) | 18.85% | 25.93% |
| 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% | 14.36% |
| Avg. Drawdown | -2.49% | -3.21% |
| Avg. Drawdown Days | 17 | 18 |
| Recovery Factor | 3.65 | 3.61 |
| Ulcer Index | 0.04 | 0.05 |
| Serenity Index | 1.37 | 1.45 |
| Avg. Up Month | 3.26% | 4.71% |
| Avg. Down Month | -3.29% | -2.95% |
| Win Days | 53.05% | 51.97% |
| Win Month | 76.67% | 63.33% |
| Win Quarter | 72.73% | 72.73% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.65 |
| Alpha | - | 0.13 |
| Correlation | - | 57.35% |
| Treynor Ratio | - | 115.31% |
| Year | SCJ | IBKR | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 2.14 | 16.98 | 7.95 | + |
| 2025 | 29.58 | 30.59 | 1.03 | + |
| 2026 | 14.76 | 14.36 | 0.97 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-07-18 | 2024-09-26 | -16.72 | 71 |
| 2026-08-10 | 2026-11-09 | -16.55 | 92 |
| 2025-03-18 | 2025-07-22 | -11.77 | 127 |
| 2026-03-02 | 2026-05-05 | -9.51 | 65 |
| 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 |