Strategy Configuration
Current Results
Total Return
+247.3%
Annual Return
+18.4%
Sharpe Ratio
1.67
Max Drawdown
-12.8%
Win Rate
64.2%
Volatility
15.3%
Detailed Performance Analysis
+247.3%
Total Return
+18.4%
Annualized Return
1.67
Sharpe Ratio
-12.8%
Max Drawdown
15.3%
Volatility
64.2%
Win Rate
2.1
Profit Factor
156
Total Trades
Annual Performance Breakdown
| Year | Strategy Return | S&P 500 Return | Outperformance | Max Drawdown | Sharpe Ratio | Trades |
|---|---|---|---|---|---|---|
| 2025 YTD | +12.4% | +8.9% | +3.5% | -4.2% | 1.89 | 23 |
| 2024 | +23.7% | +24.2% | -0.5% | -8.1% | 1.52 | 31 |
| 2023 | +19.2% | +24.2% | -5.0% | -12.8% | 1.34 | 28 |
| 2022 | -8.4% | -18.1% | +9.7% | -11.3% | 0.87 | 35 |
| 2021 | +31.5% | +26.9% | +4.6% | -7.2% | 2.14 | 26 |
| 2020 | +28.9% | +16.3% | +12.6% | -9.5% | 1.91 | 13 |
Risk Analysis & Statistics
| Metric | Strategy | S&P 500 | Difference | Percentile |
|---|---|---|---|---|
| Beta | 0.89 | 1.00 | -0.11 | 72nd |
| Alpha | +4.2% | 0.0% | +4.2% | 85th |
| Information Ratio | 0.73 | - | - | 68th |
| Sortino Ratio | 2.41 | 1.89 | +0.52 | 79th |
| Calmar Ratio | 1.44 | 0.98 | +0.46 | 81st |
| Tracking Error | 8.2% | - | - | - |
| Value at Risk (95%) | -2.8% | -3.2% | +0.4% | 64th |