| Metric | SCJ | ORR |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 16.58% | 6.71% |
| CAGR﹪ | 35.9% | 13.88% |
| Sharpe | 1.58 | 0.69 |
| Prob. Sharpe Ratio | 87.3% | 68.88% |
| Smart Sharpe | 1.39 | 0.67 |
| Sortino | 2.55 | 1.09 |
| Smart Sortino | 2.23 | 1.06 |
| Sortino/√2 | 1.8 | 0.77 |
| Smart Sortino/√2 | 1.57 | 0.75 |
| Omega | 1.34 | 1.16 |
| Max Drawdown | -5.46% | -7.63% |
| Max DD Date | 2026-07-23 | 2026-06-10 |
| Max DD Period Start | 2026-07-07 | 2026-04-09 |
| Max DD Period End | 2026-08-06 | 2026-07-29 |
| Longest DD Days | 32 | 112 |
| Volatility (ann.) | 18.13% | 15.3% |
| R^2 | 0.59 | 0.59 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | 6.58 | 1.82 |
| Skew | 0.44 | 0.6 |
| Kurtosis | 1.07 | 1.07 |
| Ulcer Performance Index | 7.43 | 1.73 |
| Risk-Adjusted Return | 35.9% | 13.88% |
| Risk-Return Ratio | 0.11 | 0.06 |
| Avg. Return | 0.13% | 0.06% |
| Avg. Win | 1.11% | 0.91% |
| Avg. Loss | -1.03% | -0.92% |
| Win/Loss Ratio | 1.08 | 0.99 |
| Profit Ratio | 1.04 | 0.85 |
| Expected Daily | 0.12% | 0.05% |
| Expected Monthly | 2.22% | 0.93% |
| Expected Yearly | 16.58% | 6.71% |
| Kelly Criterion | 9.7% | 7.32% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.75% | -1.53% |
| Expected Shortfall (cVaR) | -1.91% | -1.83% |
| Max Consecutive Wins | 5 | 10 |
| Max Consecutive Losses | 5 | 8 |
| Gain/Pain Ratio | 0.34 | 0.16 |
| Gain/Pain (1M) | - | 3.36 |
| Payoff Ratio | 1.08 | 0.99 |
| Profit Factor | 1.34 | 1.16 |
| Common Sense Ratio | 1.44 | 1.22 |
| CPC Index | 0.77 | 0.62 |
| Tail Ratio | 1.07 | 1.05 |
| Outlier Win Ratio | 2.97 | 3.6 |
| Outlier Loss Ratio | 2.54 | 2.34 |
| MTD | 1.26% | -0.8% |
| 3M | 4.75% | 3.75% |
| 6M | 16.58% | 6.71% |
| YTD | 16.58% | 6.71% |
| 1Y | 16.58% | 6.71% |
| 3Y (ann.) | 35.9% | 13.88% |
| 5Y (ann.) | 35.9% | 13.88% |
| 10Y (ann.) | 35.9% | 13.88% |
| All-time (ann.) | 35.9% | 13.88% |
| Best Day | 4.59% | 3.59% |
| Worst Day | -2.05% | -2.08% |
| Best Month | 4.93% | 6.8% |
| Worst Month | 0.14% | -1.15% |
| Best Year | 16.58% | 6.71% |
| Worst Year | 16.58% | 6.71% |
| Avg. Drawdown | -2.24% | -4.0% |
| Avg. Drawdown Days | 12 | 43 |
| Recovery Factor | 2.96 | 0.93 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 1.71 | 0.25 |
| Avg. Up Month | 0.63% | 3.05% |
| Avg. Down Month | - | - |
| Win Days | 53.17% | 53.97% |
| Win Month | 100.0% | 42.86% |
| Win Quarter | 100.0% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.65 |
| Alpha | - | -0.07 |
| Correlation | - | 76.74% |
| Treynor Ratio | - | 10.37% |
| Year | SCJ | ORR | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 16.58 | 6.71 | 0.41 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-04-09 | 2026-07-29 | -7.63 | 112 |
| 2026-08-07 | 2026-09-22 | -4.45 | 47 |
| 2026-03-26 | 2026-03-31 | -2.77 | 6 |
| 2026-04-02 | 2026-04-07 | -1.14 | 6 |