| Metric | SCJ | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 20.52% | 39.04% |
| CAGR﹪ | 20.52% | 39.04% |
| Sharpe | 1.17 | 1.72 |
| Prob. Sharpe Ratio | 87.96% | 95.77% |
| Smart Sharpe | 1.06 | 1.55 |
| Sortino | 1.75 | 2.7 |
| Smart Sortino | 1.58 | 2.44 |
| Sortino/√2 | 1.24 | 1.91 |
| Smart Sortino/√2 | 1.11 | 1.72 |
| Omega | 1.21 | 1.33 |
| Max Drawdown | -12.35% | -9.77% |
| Max DD Date | 2026-03-20 | 2026-03-30 |
| Max DD Period Start | 2026-03-02 | 2026-03-02 |
| Max DD Period End | 2026-07-02 | 2026-05-05 |
| Longest DD Days | 123 | 65 |
| Volatility (ann.) | 17.18% | 20.39% |
| R^2 | 0.45 | 0.45 |
| Information Ratio | 0.06 | 0.06 |
| Calmar | 1.66 | 4.0 |
| Skew | 0.07 | 0.1 |
| Kurtosis | 1.17 | 1.14 |
| Ulcer Performance Index | 5.12 | 12.41 |
| Risk-Adjusted Return | 20.52% | 39.04% |
| Risk-Return Ratio | 0.07 | 0.11 |
| Avg. Return | 0.08% | 0.14% |
| Avg. Win | 0.93% | 1.13% |
| Avg. Loss | -0.95% | -1.02% |
| Win/Loss Ratio | 0.98 | 1.1 |
| Profit Ratio | 0.86 | 0.97 |
| Expected Daily | 0.07% | 0.13% |
| Expected Monthly | 1.45% | 2.57% |
| Expected Yearly | 9.78% | 17.91% |
| Kelly Criterion | 7.74% | 12.1% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.7% | -1.97% |
| Expected Shortfall (cVaR) | -2.19% | -3.08% |
| Max Consecutive Wins | 5 | 7 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.21 | 0.33 |
| Gain/Pain (1M) | 1.76 | 2.86 |
| Payoff Ratio | 0.98 | 1.1 |
| Profit Factor | 1.21 | 1.33 |
| Common Sense Ratio | 1.29 | 1.71 |
| CPC Index | 0.65 | 0.79 |
| Tail Ratio | 1.06 | 1.29 |
| Outlier Win Ratio | 3.12 | 3.75 |
| Outlier Loss Ratio | 3.48 | 3.62 |
| 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.) | 20.52% | 39.04% |
| 5Y (ann.) | 20.52% | 39.04% |
| 10Y (ann.) | 20.52% | 39.04% |
| All-time (ann.) | 20.52% | 39.04% |
| Best Day | 4.59% | 4.19% |
| Worst Day | -3.12% | -3.81% |
| Best Month | 9.97% | 11.21% |
| Worst Month | -9.47% | -7.87% |
| Best Year | 16.75% | 26.47% |
| Worst Year | 3.23% | 9.94% |
| Avg. Drawdown | -2.05% | -2.36% |
| Avg. Drawdown Days | 17 | 11 |
| Recovery Factor | 1.63 | 3.59 |
| Ulcer Index | 0.04 | 0.03 |
| Serenity Index | 0.58 | 1.99 |
| Avg. Up Month | 3.4% | 5.2% |
| Avg. Down Month | -5.68% | -4.36% |
| Win Days | 54.37% | 53.97% |
| Win Month | 76.92% | 76.92% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.79 |
| Alpha | - | 0.19 |
| Correlation | - | 66.95% |
| Treynor Ratio | - | 49.14% |
| Year | SCJ | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.23 | 9.94 | 3.08 | + |
| 2026 | 16.75 | 26.47 | 1.58 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 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 |
| 2025-12-30 | 2026-01-08 | -2.66 | 10 |