| Metric | XLF | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 12.79% | 12.14% |
| CAGR﹪ | 27.97% | 26.46% |
| Sharpe | 1.72 | 1.6 |
| Prob. Sharpe Ratio | 88.08% | 86.15% |
| Smart Sharpe | 1.56 | 1.44 |
| Sortino | 2.57 | 2.32 |
| Smart Sortino | 2.32 | 2.1 |
| Sortino/√2 | 1.82 | 1.64 |
| Smart Sortino/√2 | 1.64 | 1.48 |
| Omega | 1.33 | 1.3 |
| Max Drawdown | -8.62% | -9.28% |
| Max DD Date | 2026-03-27 | 2026-03-27 |
| Max DD Period Start | 2026-02-19 | 2026-02-19 |
| Max DD Period End | 2026-04-16 | 2026-04-17 |
| Longest DD Days | 57 | 58 |
| Volatility (ann.) | 14.96% | 15.45% |
| R^2 | 0.67 | 0.67 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 3.24 | 2.85 |
| Skew | -0.3 | -0.45 |
| Kurtosis | 1.55 | 1.05 |
| Ulcer Performance Index | 4.37 | 3.38 |
| Risk-Adjusted Return | 27.97% | 26.46% |
| Risk-Return Ratio | 0.11 | 0.1 |
| Avg. Return | 0.1% | 0.1% |
| Avg. Win | 0.8% | 0.83% |
| Avg. Loss | -0.87% | -0.96% |
| Win/Loss Ratio | 0.91 | 0.86 |
| Profit Ratio | 0.72 | 0.69 |
| Expected Daily | 0.1% | 0.09% |
| Expected Monthly | 1.73% | 1.65% |
| Expected Yearly | 12.79% | 12.14% |
| Kelly Criterion | 10.76% | 7.73% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.45% | -1.5% |
| Expected Shortfall (cVaR) | -2.18% | -2.29% |
| Max Consecutive Wins | 6 | 7 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.33 | 0.3 |
| Gain/Pain (1M) | 2.59 | 2.13 |
| Payoff Ratio | 0.91 | 0.86 |
| Profit Factor | 1.33 | 1.3 |
| Common Sense Ratio | 1.59 | 1.41 |
| CPC Index | 0.7 | 0.64 |
| Tail Ratio | 1.19 | 1.09 |
| Outlier Win Ratio | 3.54 | 2.67 |
| Outlier Loss Ratio | 3.35 | 3.22 |
| MTD | 1.51% | 1.24% |
| 3M | 13.2% | 10.9% |
| 6M | 12.79% | 12.14% |
| YTD | 12.79% | 12.14% |
| 1Y | 12.79% | 12.14% |
| 3Y (ann.) | 27.97% | 26.46% |
| 5Y (ann.) | 27.97% | 26.46% |
| 10Y (ann.) | 27.97% | 26.46% |
| All-time (ann.) | 27.97% | 26.46% |
| Best Day | 2.65% | 2.77% |
| Worst Day | -3.35% | -3.38% |
| Best Month | 6.21% | 6.62% |
| Worst Month | -3.51% | -3.8% |
| Best Year | 12.79% | 12.14% |
| Worst Year | 12.79% | 12.14% |
| Avg. Drawdown | -2.43% | -2.69% |
| Avg. Drawdown Days | 19 | 18 |
| Recovery Factor | 1.46 | 1.3 |
| Ulcer Index | 0.03 | 0.04 |
| Serenity Index | 0.63 | 0.42 |
| Avg. Up Month | 4.4% | 4.21% |
| Avg. Down Month | -2.01% | -2.9% |
| Win Days | 57.38% | 57.38% |
| Win Month | 57.14% | 71.43% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.85 |
| Alpha | - | 0.03 |
| Correlation | - | 82.13% |
| Treynor Ratio | - | 14.32% |
| Year | XLF | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 12.79 | 12.14 | 0.95 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-19 | 2026-04-17 | -9.28 | 58 |
| 2026-04-21 | 2026-06-10 | -3.45 | 51 |
| 2026-07-07 | 2026-07-14 | -2.89 | 8 |
| 2026-07-17 | 2026-07-27 | -2.69 | 11 |
| 2026-08-05 | 2026-08-11 | -1.63 | 7 |
| 2026-06-17 | 2026-06-22 | -0.86 | 6 |
| 2026-07-29 | 2026-07-31 | -0.68 | 3 |
| 2026-07-02 | 2026-07-02 | -0.05 | 1 |