| Metric | SCJ | IBKR |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 18.37% | 27.1% |
| CAGR﹪ | 18.37% | 27.1% |
| Sharpe | 0.82 | 1.1 |
| Prob. Sharpe Ratio | 79.16% | 86.56% |
| Smart Sharpe | 0.76 | 1.04 |
| Sortino | 1.19 | 1.71 |
| Smart Sortino | 1.11 | 1.61 |
| Sortino/√2 | 0.84 | 1.21 |
| Smart Sortino/√2 | 0.78 | 1.14 |
| Omega | 1.19 | 1.23 |
| Max Drawdown | -12.17% | -16.55% |
| Max DD Date | 2026-03-20 | 2026-11-05 |
| Max DD Period Start | 2026-03-02 | 2026-08-10 |
| Max DD Period End | 2026-06-18 | 2026-11-09 |
| Longest DD Days | 109 | 92 |
| Volatility (ann.) | 18.19% | 20.33% |
| R^2 | 0.45 | 0.45 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 1.51 | 1.64 |
| Skew | -0.1 | 0.2 |
| Kurtosis | 2.08 | 1.06 |
| Ulcer Performance Index | 4.88 | 5.4 |
| Risk-Adjusted Return | 18.37% | 27.1% |
| Risk-Return Ratio | 0.06 | 0.08 |
| Avg. Return | 0.07% | 0.1% |
| Avg. Win | 1.0% | 1.15% |
| Avg. Loss | -1.01% | -1.02% |
| Win/Loss Ratio | 1.0 | 1.12 |
| Profit Ratio | 1.01 | 1.02 |
| Expected Daily | 0.07% | 0.1% |
| Expected Monthly | 1.31% | 1.86% |
| Expected Yearly | 8.8% | 12.74% |
| Kelly Criterion | 3.94% | 9.93% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.81% | -2.0% |
| Expected Shortfall (cVaR) | -2.5% | -3.18% |
| Max Consecutive Wins | 5 | 11 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.19 | 0.23 |
| Gain/Pain (1M) | 1.34 | 1.39 |
| Payoff Ratio | 1.0 | 1.12 |
| Profit Factor | 1.19 | 1.23 |
| Common Sense Ratio | 1.3 | 1.61 |
| CPC Index | 0.62 | 0.73 |
| Tail Ratio | 1.09 | 1.3 |
| Outlier Win Ratio | 3.04 | 3.72 |
| Outlier Loss Ratio | 3.44 | 3.53 |
| 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.) | 18.37% | 27.1% |
| 5Y (ann.) | 18.37% | 27.1% |
| 10Y (ann.) | 18.37% | 27.1% |
| All-time (ann.) | 18.37% | 27.1% |
| Best Day | 4.59% | 4.19% |
| Worst Day | -5.03% | -3.82% |
| Best Month | 10.26% | 11.51% |
| Worst Month | -9.21% | -7.6% |
| Best Year | 14.76% | 14.36% |
| Worst Year | 3.15% | 11.13% |
| Avg. Drawdown | -2.49% | -3.01% |
| Avg. Drawdown Days | 15 | 13 |
| Recovery Factor | 1.52 | 1.57 |
| Ulcer Index | 0.04 | 0.05 |
| Serenity Index | 0.62 | 0.55 |
| Avg. Up Month | 3.55% | 4.97% |
| Avg. Down Month | -4.62% | -4.57% |
| Win Days | 51.98% | 52.38% |
| Win Month | 76.92% | 69.23% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.75 |
| Alpha | - | 0.12 |
| Correlation | - | 66.84% |
| Treynor Ratio | - | 36.26% |
| Year | SCJ | IBKR | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.15 | 11.13 | 3.54 | + |
| 2026 | 14.76 | 14.36 | 0.97 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-10 | 2026-11-09 | -16.55 | 92 |
| 2026-03-02 | 2026-05-05 | -9.51 | 65 |
| 2026-07-07 | 2026-08-03 | -6.18 | 28 |
| 2026-06-02 | 2026-06-16 | -5.21 | 15 |
| 2026-06-22 | 2026-06-29 | -3.97 | 8 |
| 2026-05-15 | 2026-05-29 | -3.62 | 15 |
| 2025-12-01 | 2025-12-12 | -3.14 | 12 |
| 2025-12-30 | 2026-01-08 | -2.60 | 10 |
| 2025-12-16 | 2025-12-18 | -2.57 | 3 |
| 2025-11-18 | 2025-11-24 | -2.31 | 7 |