| Metric | SCJ | ORR |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 55.78% | 49.56% |
| CAGR﹪ | 27.97% | 25.1% |
| Sharpe | 1.29 | 1.3 |
| Prob. Sharpe Ratio | 95.96% | 95.99% |
| Smart Sharpe | 1.24 | 1.13 |
| Sortino | 1.98 | 1.97 |
| Smart Sortino | 1.9 | 1.72 |
| Sortino/√2 | 1.4 | 1.4 |
| Smart Sortino/√2 | 1.34 | 1.21 |
| Omega | 1.3 | 1.31 |
| Max Drawdown | -12.43% | -9.9% |
| Max DD Date | 2025-04-07 | 2026-06-10 |
| Max DD Period Start | 2025-03-20 | 2026-03-02 |
| Max DD Period End | 2025-04-21 | 2026-08-03 |
| Longest DD Days | 109 | 155 |
| Volatility (ann.) | 16.84% | 14.85% |
| R^2 | 0.53 | 0.53 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 2.25 | 2.53 |
| Skew | 0.22 | 0.31 |
| Kurtosis | 3.74 | 6.13 |
| Ulcer Performance Index | 17.6 | 13.47 |
| Risk-Adjusted Return | 27.97% | 25.1% |
| Risk-Return Ratio | 0.1 | 0.1 |
| Avg. Return | 0.11% | 0.09% |
| Avg. Win | 0.96% | 0.83% |
| Avg. Loss | -0.94% | -0.84% |
| Win/Loss Ratio | 1.02 | 0.98 |
| Profit Ratio | 0.99 | 0.78 |
| Expected Daily | 0.1% | 0.09% |
| Expected Monthly | 1.95% | 1.77% |
| Expected Yearly | 24.81% | 22.29% |
| Kelly Criterion | 7.23% | 11.93% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.64% | -1.44% |
| Expected Shortfall (cVaR) | -2.21% | -2.02% |
| Max Consecutive Wins | 5 | 10 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | 0.3 | 0.31 |
| Gain/Pain (1M) | 3.2 | 3.68 |
| Payoff Ratio | 1.02 | 0.98 |
| Profit Factor | 1.3 | 1.31 |
| Common Sense Ratio | 1.52 | 1.35 |
| CPC Index | 0.7 | 0.73 |
| Tail Ratio | 1.17 | 1.03 |
| Outlier Win Ratio | 3.11 | 3.4 |
| Outlier Loss Ratio | 3.23 | 3.03 |
| MTD | 1.69% | 0.44% |
| 3M | 0.89% | -0.85% |
| 6M | 7.61% | 8.14% |
| YTD | 17.67% | 13.17% |
| 1Y | 21.96% | 21.82% |
| 3Y (ann.) | 27.97% | 25.1% |
| 5Y (ann.) | 27.97% | 25.1% |
| 10Y (ann.) | 27.97% | 25.1% |
| All-time (ann.) | 27.97% | 25.1% |
| Best Day | 6.1% | 6.1% |
| Worst Day | -5.18% | -5.11% |
| Best Month | 10.26% | 7.13% |
| Worst Month | -9.21% | -6.73% |
| Best Year | 32.39% | 32.15% |
| Worst Year | 17.67% | 13.17% |
| Avg. Drawdown | -1.92% | -1.86% |
| Avg. Drawdown Days | 12 | 17 |
| Recovery Factor | 3.77 | 4.27 |
| Ulcer Index | 0.03 | 0.04 |
| Serenity Index | 1.85 | 1.31 |
| Avg. Up Month | 2.93% | 3.46% |
| Avg. Down Month | -9.21% | -6.73% |
| Win Days | 53.22% | 56.32% |
| Win Month | 86.96% | 73.91% |
| Win Quarter | 87.5% | 87.5% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.64 |
| Alpha | - | 0.07 |
| Correlation | - | 72.76% |
| Treynor Ratio | - | 77.29% |
| Year | SCJ | ORR | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 32.39 | 32.15 | 0.99 | - |
| 2026 | 17.67 | 13.17 | 0.75 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-08-03 | -9.90 | 155 |
| 2025-03-26 | 2025-06-05 | -8.64 | 72 |
| 2026-08-07 | 2026-11-04 | -5.74 | 90 |
| 2025-09-17 | 2025-11-07 | -4.52 | 52 |
| 2025-08-21 | 2025-09-09 | -2.78 | 20 |
| 2025-06-30 | 2025-07-22 | -2.39 | 23 |
| 2025-12-16 | 2025-12-18 | -2.17 | 3 |
| 2025-01-31 | 2025-02-25 | -2.07 | 26 |
| 2025-12-30 | 2026-01-06 | -2.05 | 8 |
| 2026-01-20 | 2026-01-21 | -1.68 | 2 |