| Metric | SCJ | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 41.51% | 53.84% |
| CAGR﹪ | 26.2% | 33.47% |
| Sharpe | 1.42 | 1.58 |
| Prob. Sharpe Ratio | 95.89% | 97.38% |
| Smart Sharpe | 1.31 | 1.46 |
| Sortino | 2.17 | 2.48 |
| Smart Sortino | 2.01 | 2.3 |
| Sortino/√2 | 1.54 | 1.75 |
| Smart Sortino/√2 | 1.42 | 1.62 |
| Omega | 1.27 | 1.3 |
| Max Drawdown | -12.62% | -11.98% |
| Max DD Date | 2025-04-07 | 2025-04-07 |
| Max DD Period Start | 2025-03-20 | 2025-03-18 |
| Max DD Period End | 2025-04-25 | 2025-07-23 |
| Longest DD Days | 123 | 128 |
| Volatility (ann.) | 17.54% | 19.47% |
| R^2 | 0.37 | 0.37 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 2.08 | 2.79 |
| Skew | 0.21 | 0.12 |
| Kurtosis | 3.81 | 1.0 |
| Ulcer Performance Index | 11.58 | 12.48 |
| Risk-Adjusted Return | 26.2% | 33.47% |
| Risk-Return Ratio | 0.09 | 0.1 |
| Avg. Return | 0.1% | 0.12% |
| Avg. Win | 0.93% | 1.13% |
| Avg. Loss | -0.92% | -0.97% |
| Win/Loss Ratio | 1.02 | 1.16 |
| Profit Ratio | 0.99 | 1.1 |
| Expected Daily | 0.09% | 0.11% |
| Expected Monthly | 1.84% | 2.29% |
| Expected Yearly | 18.96% | 24.03% |
| Kelly Criterion | 7.16% | 11.03% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.72% | -1.9% |
| Expected Shortfall (cVaR) | -2.39% | -2.94% |
| Max Consecutive Wins | 5 | 7 |
| Max Consecutive Losses | 9 | 7 |
| Gain/Pain Ratio | 0.27 | 0.3 |
| Gain/Pain (1M) | 3.0 | 3.38 |
| Payoff Ratio | 1.02 | 1.16 |
| Profit Factor | 1.27 | 1.3 |
| Common Sense Ratio | 1.39 | 1.59 |
| CPC Index | 0.69 | 0.79 |
| Tail Ratio | 1.09 | 1.23 |
| Outlier Win Ratio | 3.12 | 3.56 |
| Outlier Loss Ratio | 3.65 | 3.59 |
| 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.) | 26.2% | 33.47% |
| 5Y (ann.) | 26.2% | 33.47% |
| 10Y (ann.) | 26.2% | 33.47% |
| All-time (ann.) | 26.2% | 33.47% |
| Best Day | 6.1% | 4.19% |
| Worst Day | -5.22% | -3.81% |
| Best Month | 9.97% | 11.21% |
| Worst Month | -9.47% | -7.87% |
| Best Year | 21.21% | 26.47% |
| Worst Year | 16.75% | 21.65% |
| Avg. Drawdown | -2.05% | -2.53% |
| Avg. Drawdown Days | 13 | 14 |
| Recovery Factor | 2.93 | 3.83 |
| Ulcer Index | 0.04 | 0.04 |
| Serenity Index | 1.27 | 1.36 |
| Avg. Up Month | 3.65% | 4.71% |
| Avg. Down Month | -5.68% | -4.36% |
| Win Days | 53.19% | 52.13% |
| Win Month | 73.68% | 73.68% |
| Win Quarter | 100.0% | 71.43% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.67 |
| Alpha | - | 0.14 |
| Correlation | - | 60.59% |
| Treynor Ratio | - | 80.04% |
| Year | SCJ | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 21.21 | 21.65 | 1.02 | + |
| 2026 | 16.75 | 26.47 | 1.58 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 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 |
| 2026-06-02 | 2026-06-16 | -5.28 | 15 |
| 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 |
| 2025-09-24 | 2025-10-24 | -3.79 | 31 |
| 2026-05-15 | 2026-05-29 | -3.67 | 15 |
| 2025-12-01 | 2025-12-18 | -3.19 | 18 |