| Metric | XLF | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 11.89% | 16.2% |
| CAGR﹪ | 11.99% | 16.34% |
| Sharpe | 0.85 | 1.09 |
| Prob. Sharpe Ratio | 79.86% | 85.68% |
| Smart Sharpe | 0.8 | 1.02 |
| Sortino | 1.2 | 1.56 |
| Smart Sortino | 1.13 | 1.47 |
| Sortino/√2 | 0.85 | 1.1 |
| Smart Sortino/√2 | 0.8 | 1.04 |
| Omega | 1.15 | 1.19 |
| Max Drawdown | -14.79% | -11.49% |
| Max DD Date | 2026-03-27 | 2026-03-27 |
| Max DD Period Start | 2026-01-07 | 2026-01-23 |
| Max DD Period End | 2026-07-02 | 2026-06-23 |
| Longest DD Days | 177 | 152 |
| Volatility (ann.) | 14.58% | 14.98% |
| R^2 | 0.66 | 0.66 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.81 | 1.42 |
| Skew | -0.36 | -0.35 |
| Kurtosis | 1.07 | 1.04 |
| Ulcer Performance Index | 2.04 | 4.02 |
| Risk-Adjusted Return | 11.99% | 16.34% |
| Risk-Return Ratio | 0.05 | 0.07 |
| Avg. Return | 0.05% | 0.07% |
| Avg. Win | 0.79% | 0.82% |
| Avg. Loss | -0.83% | -0.84% |
| Win/Loss Ratio | 0.96 | 0.98 |
| Profit Ratio | 0.76 | 0.9 |
| Expected Daily | 0.04% | 0.06% |
| Expected Monthly | 0.87% | 1.16% |
| Expected Yearly | 5.78% | 7.8% |
| Kelly Criterion | 7.65% | 5.59% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.46% | -1.49% |
| Expected Shortfall (cVaR) | -2.08% | -2.19% |
| Max Consecutive Wins | 6 | 7 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.15 | 0.19 |
| Gain/Pain (1M) | 0.93 | 1.28 |
| Payoff Ratio | 0.96 | 0.98 |
| Profit Factor | 1.15 | 1.19 |
| Common Sense Ratio | 1.02 | 1.2 |
| CPC Index | 0.6 | 0.62 |
| Tail Ratio | 0.88 | 1.01 |
| Outlier Win Ratio | 3.22 | 3.01 |
| Outlier Loss Ratio | 3.31 | 3.84 |
| MTD | 1.51% | 1.24% |
| 3M | 13.2% | 10.9% |
| 6M | 8.87% | 8.3% |
| YTD | 6.45% | 12.27% |
| 1Y | 11.89% | 16.2% |
| 3Y (ann.) | 11.99% | 16.34% |
| 5Y (ann.) | 11.99% | 16.34% |
| 10Y (ann.) | 11.99% | 16.34% |
| All-time (ann.) | 11.99% | 16.34% |
| Best Day | 2.65% | 2.77% |
| Worst Day | -3.35% | -3.38% |
| Best Month | 6.21% | 6.62% |
| Worst Month | -3.76% | -5.23% |
| Best Year | 6.45% | 12.27% |
| Worst Year | 5.11% | 3.5% |
| Avg. Drawdown | -2.64% | -2.11% |
| Avg. Drawdown Days | 24 | 16 |
| Recovery Factor | 0.83 | 1.4 |
| Ulcer Index | 0.06 | 0.04 |
| Serenity Index | 0.16 | 0.39 |
| Avg. Up Month | 3.19% | 3.02% |
| Avg. Down Month | -3.35% | -4.25% |
| Win Days | 54.84% | 53.23% |
| Win Month | 61.54% | 76.92% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.83 |
| Alpha | - | 0.06 |
| Correlation | - | 81.09% |
| Treynor Ratio | - | 19.44% |
| Year | XLF | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 5.11 | 3.50 | 0.68 | - |
| 2026 | 6.45 | 12.27 | 1.90 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-23 | 2026-06-23 | -11.49 | 152 |
| 2025-10-06 | 2025-12-09 | -7.24 | 65 |
| 2026-07-07 | 2026-07-14 | -2.89 | 8 |
| 2026-07-17 | 2026-07-27 | -2.69 | 11 |
| 2026-01-12 | 2026-01-20 | -2.14 | 9 |
| 2025-08-15 | 2025-08-21 | -1.81 | 7 |
| 2025-12-23 | 2026-01-02 | -1.78 | 11 |
| 2026-08-05 | 2026-08-11 | -1.63 | 7 |
| 2025-09-12 | 2025-09-17 | -1.43 | 6 |
| 2025-09-30 | 2025-10-02 | -1.25 | 3 |