| Metric | SCJ | IBKR |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 43.8% | 49.64% |
| CAGR﹪ | 27.32% | 30.73% |
| Sharpe | 1.22 | 1.25 |
| Prob. Sharpe Ratio | 93.44% | 93.85% |
| Smart Sharpe | 1.2 | 1.16 |
| Sortino | 1.86 | 1.94 |
| Smart Sortino | 1.83 | 1.79 |
| Sortino/√2 | 1.32 | 1.37 |
| Smart Sortino/√2 | 1.29 | 1.26 |
| Omega | 1.29 | 1.27 |
| Max Drawdown | -12.3% | -10.09% |
| Max DD Date | 2025-04-07 | 2025-04-07 |
| Max DD Period Start | 2025-03-26 | 2025-03-24 |
| Max DD Period End | 2025-04-21 | 2025-07-16 |
| Longest DD Days | 109 | 115 |
| Volatility (ann.) | 17.46% | 19.49% |
| R^2 | 0.37 | 0.37 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 2.22 | 3.04 |
| Skew | 0.22 | 0.15 |
| Kurtosis | 3.85 | 0.95 |
| Ulcer Performance Index | 13.03 | 13.77 |
| Risk-Adjusted Return | 27.32% | 30.73% |
| Risk-Return Ratio | 0.09 | 0.09 |
| Avg. Return | 0.1% | 0.11% |
| Avg. Win | 0.94% | 1.13% |
| Avg. Loss | -0.91% | -0.99% |
| Win/Loss Ratio | 1.02 | 1.14 |
| Profit Ratio | 0.97 | 1.07 |
| Expected Daily | 0.1% | 0.11% |
| Expected Monthly | 1.93% | 2.14% |
| Expected Yearly | 19.92% | 22.33% |
| Kelly Criterion | 7.7% | 10.34% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.71% | -1.91% |
| Expected Shortfall (cVaR) | -2.34% | -2.92% |
| Max Consecutive Wins | 5 | 11 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.29 | 0.27 |
| Gain/Pain (1M) | 2.81 | 2.27 |
| Payoff Ratio | 1.02 | 1.14 |
| Profit Factor | 1.29 | 1.27 |
| Common Sense Ratio | 1.37 | 1.6 |
| CPC Index | 0.7 | 0.76 |
| Tail Ratio | 1.07 | 1.25 |
| Outlier Win Ratio | 3.15 | 3.6 |
| Outlier Loss Ratio | 3.64 | 3.51 |
| 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.) | 27.32% | 30.73% |
| 5Y (ann.) | 27.32% | 30.73% |
| 10Y (ann.) | 27.32% | 30.73% |
| All-time (ann.) | 27.32% | 30.73% |
| Best Day | 6.1% | 4.19% |
| Worst Day | -5.18% | -3.82% |
| Best Month | 10.26% | 11.51% |
| Worst Month | -9.21% | -7.6% |
| Best Year | 20.22% | 22.46% |
| Worst Year | 19.62% | 22.19% |
| Avg. Drawdown | -2.03% | -2.78% |
| Avg. Drawdown Days | 13 | 15 |
| Recovery Factor | 3.14 | 4.28 |
| Ulcer Index | 0.03 | 0.04 |
| Serenity Index | 1.44 | 1.81 |
| Avg. Up Month | 3.41% | 4.78% |
| Avg. Down Month | -3.44% | -3.94% |
| Win Days | 53.32% | 52.24% |
| Win Month | 78.95% | 68.42% |
| Win Quarter | 85.71% | 71.43% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.68 |
| Alpha | - | 0.11 |
| Correlation | - | 61.15% |
| Treynor Ratio | - | 72.7% |
| Year | SCJ | IBKR | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 20.22 | 22.19 | 1.10 | + |
| 2026 | 19.62 | 22.46 | 1.14 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-03-24 | 2025-07-16 | -10.09 | 115 |
| 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 |
| 2026-06-02 | 2026-06-16 | -5.21 | 15 |
| 2025-08-13 | 2025-09-10 | -4.67 | 29 |
| 2025-10-28 | 2025-11-11 | -4.17 | 15 |
| 2026-06-22 | 2026-06-29 | -3.97 | 8 |
| 2025-09-24 | 2025-10-24 | -3.69 | 31 |
| 2026-05-15 | 2026-05-29 | -3.62 | 15 |