| Metric | SCJ | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 44.18% | 80.29% |
| CAGR﹪ | 18.36% | 31.2% |
| Sharpe | 1.07 | 1.47 |
| Prob. Sharpe Ratio | 94.25% | 98.37% |
| Smart Sharpe | 1.04 | 1.43 |
| Sortino | 1.59 | 2.21 |
| Smart Sortino | 1.54 | 2.14 |
| Sortino/√2 | 1.13 | 1.56 |
| Smart Sortino/√2 | 1.09 | 1.51 |
| Omega | 1.2 | 1.29 |
| 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.) | 17.14% | 19.76% |
| R^2 | 0.33 | 0.33 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 1.31 | 1.84 |
| Skew | 0.08 | -0.27 |
| Kurtosis | 3.37 | 3.61 |
| Ulcer Performance Index | 9.49 | 19.35 |
| Risk-Adjusted Return | 18.36% | 31.2% |
| Risk-Return Ratio | 0.07 | 0.09 |
| Avg. Return | 0.07% | 0.12% |
| Avg. Win | 0.9% | 1.07% |
| Avg. Loss | -0.93% | -0.97% |
| Win/Loss Ratio | 0.97 | 1.1 |
| Profit Ratio | 0.9 | 1.03 |
| Expected Daily | 0.07% | 0.11% |
| Expected Monthly | 1.36% | 2.21% |
| Expected Yearly | 12.97% | 21.71% |
| Kelly Criterion | 5.71% | 9.85% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.7% | -1.93% |
| Expected Shortfall (cVaR) | -2.42% | -3.28% |
| Max Consecutive Wins | 12 | 7 |
| Max Consecutive Losses | 9 | 7 |
| Gain/Pain Ratio | 0.2 | 0.29 |
| Gain/Pain (1M) | 1.7 | 3.3 |
| Payoff Ratio | 0.97 | 1.1 |
| Profit Factor | 1.2 | 1.29 |
| Common Sense Ratio | 1.27 | 1.56 |
| CPC Index | 0.62 | 0.75 |
| Tail Ratio | 1.06 | 1.21 |
| Outlier Win Ratio | 3.19 | 3.76 |
| Outlier Loss Ratio | 3.64 | 3.97 |
| MTD | 2.84% | 1.71% |
| 3M | 3.61% | 6.34% |
| 6M | 2.54% | 11.8% |
| YTD | 16.75% | 26.47% |
| 1Y | 20.52% | 39.04% |
| 3Y (ann.) | 18.36% | 31.2% |
| 5Y (ann.) | 18.36% | 31.2% |
| 10Y (ann.) | 18.36% | 31.2% |
| All-time (ann.) | 18.36% | 31.2% |
| Best Day | 6.1% | 5.53% |
| Worst Day | -5.22% | -7.1% |
| Best Month | 9.97% | 11.6% |
| Worst Month | -9.47% | -7.87% |
| Best Year | 24.42% | 26.47% |
| Worst Year | -0.74% | 13.69% |
| Avg. Drawdown | -2.43% | -2.86% |
| Avg. Drawdown Days | 21 | 16 |
| Recovery Factor | 2.84 | 3.73 |
| Ulcer Index | 0.05 | 0.04 |
| Serenity Index | 0.94 | 1.98 |
| Avg. Up Month | 3.29% | 4.53% |
| Avg. Down Month | -4.11% | -3.24% |
| Win Days | 53.56% | 52.83% |
| Win Month | 74.07% | 70.37% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 66.67% | 100.0% |
| Beta | - | 0.66 |
| Alpha | - | 0.17 |
| Correlation | - | 57.41% |
| Treynor Ratio | - | 121.28% |
| Year | SCJ | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | -0.74 | 13.69 | -18.43 | + |
| 2025 | 24.42 | 25.39 | 1.04 | + |
| 2026 | 16.75 | 26.47 | 1.58 | + |
| 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 | -9.77 | 65 |
| 2026-07-07 | 2026-08-03 | -6.40 | 28 |
| 2024-12-10 | 2025-01-28 | -5.73 | 50 |
| 2026-06-02 | 2026-06-16 | -5.28 | 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 |
| 2026-06-22 | 2026-06-29 | -3.99 | 8 |