| Metric | SCJ | ORR |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 21.83% | 20.32% |
| CAGR﹪ | 22.02% | 20.5% |
| Sharpe | 1.03 | 1.13 |
| Prob. Sharpe Ratio | 84.85% | 87.04% |
| Smart Sharpe | 0.97 | 1.11 |
| Sortino | 1.55 | 1.69 |
| Smart Sortino | 1.46 | 1.66 |
| Sortino/√2 | 1.1 | 1.2 |
| Smart Sortino/√2 | 1.03 | 1.17 |
| Omega | 1.23 | 1.25 |
| Max Drawdown | -12.17% | -9.9% |
| Max DD Date | 2026-03-20 | 2026-06-10 |
| Max DD Period Start | 2026-03-02 | 2026-03-02 |
| Max DD Period End | 2026-06-18 | 2026-08-03 |
| Longest DD Days | 109 | 155 |
| Volatility (ann.) | 17.18% | 14.17% |
| R^2 | 0.6 | 0.6 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 1.81 | 2.07 |
| Skew | 0.15 | 0.13 |
| Kurtosis | 1.01 | 0.88 |
| Ulcer Performance Index | 5.93 | 4.43 |
| Risk-Adjusted Return | 22.02% | 20.5% |
| Risk-Return Ratio | 0.08 | 0.09 |
| Avg. Return | 0.09% | 0.08% |
| Avg. Win | 1.0% | 0.82% |
| Avg. Loss | -1.01% | -0.85% |
| Win/Loss Ratio | 0.99 | 0.96 |
| Profit Ratio | 1.01 | 0.7 |
| Expected Daily | 0.08% | 0.07% |
| Expected Monthly | 1.53% | 1.43% |
| Expected Yearly | 10.37% | 9.69% |
| Kelly Criterion | 4.16% | 11.95% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.7% | -1.39% |
| Expected Shortfall (cVaR) | -2.1% | -1.69% |
| Max Consecutive Wins | 5 | 10 |
| Max Consecutive Losses | 5 | 8 |
| Gain/Pain Ratio | 0.23 | 0.25 |
| Gain/Pain (1M) | 1.6 | 1.82 |
| Payoff Ratio | 0.99 | 0.96 |
| Profit Factor | 1.23 | 1.25 |
| Common Sense Ratio | 1.32 | 1.26 |
| CPC Index | 0.63 | 0.68 |
| Tail Ratio | 1.08 | 1.01 |
| Outlier Win Ratio | 2.97 | 3.47 |
| Outlier Loss Ratio | 3.04 | 2.44 |
| MTD | 1.69% | 0.44% |
| 3M | 0.89% | -0.85% |
| 6M | 7.61% | 8.14% |
| YTD | 17.67% | 13.17% |
| 1Y | 21.83% | 20.32% |
| 3Y (ann.) | 22.02% | 20.5% |
| 5Y (ann.) | 22.02% | 20.5% |
| 10Y (ann.) | 22.02% | 20.5% |
| All-time (ann.) | 22.02% | 20.5% |
| Best Day | 4.59% | 3.59% |
| Worst Day | -3.11% | -2.81% |
| Best Month | 10.26% | 7.13% |
| Worst Month | -9.21% | -6.73% |
| Best Year | 17.67% | 13.17% |
| Worst Year | 3.53% | 6.32% |
| Avg. Drawdown | -2.3% | -1.81% |
| Avg. Drawdown Days | 15 | 19 |
| Recovery Factor | 1.74 | 1.97 |
| Ulcer Index | 0.04 | 0.05 |
| Serenity Index | 0.69 | 0.42 |
| Avg. Up Month | 3.08% | 4.09% |
| Avg. Down Month | -9.21% | -6.73% |
| Win Days | 52.4% | 56.85% |
| Win Month | 84.62% | 61.54% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.64 |
| Alpha | - | 0.06 |
| Correlation | - | 77.32% |
| Treynor Ratio | - | 31.88% |
| Year | SCJ | ORR | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.53 | 6.32 | 1.79 | + |
| 2026 | 17.67 | 13.17 | 0.75 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-08-03 | -9.90 | 155 |
| 2026-08-07 | 2026-11-04 | -5.74 | 90 |
| 2025-12-16 | 2025-12-18 | -2.17 | 3 |
| 2025-12-30 | 2026-01-06 | -2.05 | 8 |
| 2026-01-20 | 2026-01-21 | -1.68 | 2 |
| 2025-12-01 | 2025-12-12 | -1.67 | 12 |
| 2025-11-17 | 2025-11-21 | -1.12 | 5 |
| 2026-01-13 | 2026-01-15 | -0.90 | 3 |
| 2026-01-23 | 2026-01-26 | -0.59 | 4 |
| 2026-02-18 | 2026-02-19 | -0.47 | 2 |