| Metric | SCJ | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 41.81% | 73.98% |
| CAGR﹪ | 18.76% | 31.33% |
| Sharpe | 1.1 | 1.49 |
| Prob. Sharpe Ratio | 94.11% | 98.14% |
| Smart Sharpe | 1.06 | 1.44 |
| Sortino | 1.63 | 2.21 |
| Smart Sortino | 1.57 | 2.13 |
| Sortino/√2 | 1.16 | 1.56 |
| Smart Sortino/√2 | 1.11 | 1.51 |
| Omega | 1.21 | 1.3 |
| Max Drawdown | -14.03% | -16.94% |
| Max DD Date | 2025-04-07 | 2024-08-05 |
| Max DD Period Start | 2024-09-27 | 2024-07-18 |
| Max DD Period End | 2025-05-21 | 2024-09-26 |
| Longest DD Days | 237 | 128 |
| Volatility (ann.) | 16.98% | 19.55% |
| R^2 | 0.33 | 0.33 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 1.34 | 1.85 |
| Skew | 0.08 | -0.37 |
| Kurtosis | 3.8 | 3.87 |
| Ulcer Performance Index | 8.8 | 17.63 |
| Risk-Adjusted Return | 18.76% | 31.33% |
| Risk-Return Ratio | 0.07 | 0.09 |
| Avg. Return | 0.07% | 0.12% |
| Avg. Win | 0.89% | 1.05% |
| Avg. Loss | -0.9% | -0.96% |
| Win/Loss Ratio | 0.99 | 1.1 |
| Profit Ratio | 0.91 | 1.01 |
| Expected Daily | 0.07% | 0.11% |
| Expected Monthly | 1.41% | 2.24% |
| Expected Yearly | 12.35% | 20.27% |
| Kelly Criterion | 6.6% | 10.54% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.69% | -1.91% |
| Expected Shortfall (cVaR) | -2.54% | -3.28% |
| Max Consecutive Wins | 12 | 7 |
| Max Consecutive Losses | 9 | 7 |
| Gain/Pain Ratio | 0.21 | 0.3 |
| Gain/Pain (1M) | 1.62 | 3.11 |
| Payoff Ratio | 0.99 | 1.1 |
| Profit Factor | 1.21 | 1.3 |
| Common Sense Ratio | 1.36 | 1.56 |
| CPC Index | 0.64 | 0.76 |
| Tail Ratio | 1.12 | 1.2 |
| Outlier Win Ratio | 3.19 | 3.39 |
| Outlier Loss Ratio | 3.8 | 4.05 |
| MTD | 1.0% | 3.21% |
| 3M | 13.12% | 13.94% |
| 6M | 15.24% | 22.82% |
| YTD | 14.83% | 22.04% |
| 1Y | 28.34% | 53.59% |
| 3Y (ann.) | 18.76% | 31.33% |
| 5Y (ann.) | 18.76% | 31.33% |
| 10Y (ann.) | 18.76% | 31.33% |
| All-time (ann.) | 18.76% | 31.33% |
| Best Day | 6.1% | 5.53% |
| Worst Day | -5.22% | -7.1% |
| Best Month | 9.97% | 11.6% |
| Worst Month | -9.47% | -7.82% |
| Best Year | 24.42% | 25.39% |
| Worst Year | -0.74% | 13.69% |
| Avg. Drawdown | -2.38% | -2.74% |
| Avg. Drawdown Days | 21 | 16 |
| Recovery Factor | 2.7 | 3.5 |
| Ulcer Index | 0.05 | 0.04 |
| Serenity Index | 0.85 | 1.79 |
| Avg. Up Month | 3.38% | 4.61% |
| Avg. Down Month | -4.11% | -3.23% |
| Win Days | 53.52% | 53.12% |
| Win Month | 76.0% | 68.0% |
| Win Quarter | 77.78% | 77.78% |
| Win Year | 66.67% | 100.0% |
| Beta | - | 0.66 |
| Alpha | - | 0.17 |
| Correlation | - | 57.35% |
| Treynor Ratio | - | 112.07% |
| Year | SCJ | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | -0.74 | 13.69 | -18.43 | + |
| 2025 | 24.42 | 25.39 | 1.04 | + |
| 2026 | 14.83 | 22.04 | 1.49 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-07-18 | 2024-09-26 | -16.94 | 71 |
| 2025-03-18 | 2025-07-23 | -11.98 | 128 |
| 2026-03-02 | 2026-05-05 | -9.72 | 65 |
| 2024-12-10 | 2025-01-28 | -5.73 | 50 |
| 2026-06-02 | 2026-06-16 | -5.29 | 15 |
| 2024-11-12 | 2024-11-22 | -5.04 | 11 |
| 2025-08-13 | 2025-09-10 | -4.89 | 29 |
| 2025-10-28 | 2025-11-11 | -4.26 | 15 |
| 2025-09-24 | 2025-10-24 | -3.79 | 31 |
| 2026-05-15 | 2026-05-29 | -3.67 | 15 |