| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 17.21% | 13.88% |
| CAGR% | 7.51% | 6.11% |
| Sharpe | 0.75 | 33.21 |
| Sortino | 0.95 | 89.54 |
| Max Drawdown | -16.61% | -0.1% |
| Longest DD Days | 154 | 1 |
| Volatility (ann.) | 10.85% | 0.19% |
| R^2 | 0.0 | 0.0 |
| Calmar | 0.45 | 61.08 |
| Skew | -5.5 | 0.37 |
| Kurtosis | 126.82 | 42.89 |
| Expected Daily % | 0.03% | 0.02% |
| Expected Monthly % | 0.61% | 0.5% |
| Expected Yearly % | 5.44% | 4.43% |
| Kelly Criterion | 43.24% | 99.05% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.09% | -0.01% |
| Expected Shortfall (cVaR) | -2.97% | -2.97% |
| Payoff Ratio | 2.52 | 0.25 |
| Profit Factor | 0.29 | 129.97 |
| Common Sense Ratio | 0.36 | 353.16 |
| CPC Index | 0.43 | 31.98 |
| Tail Ratio | 1.28 | 2.72 |
| Outlier Win Ratio | 3.0 | 29.21 |
| Outlier Loss Ratio | 2.24 | 6.41 |
| MTD | 0.74% | 0.25% |
| 3M | 12.92% | 2.18% |
| 6M | 5.98% | 3.93% |
| YTD | 3.69% | 4.85% |
| 1Y | 5.62% | 7.69% |
| 3Y (ann.) | 7.51% | 6.11% |
| 5Y (ann.) | 7.51% | 6.11% |
| 10Y (ann.) | 7.51% | 6.11% |
| All-time (ann.) | 7.51% | 6.11% |
| Best Day | 6.66% | 0.14% |
| Worst Day | -10.58% | -0.1% |
| Best Month | 7.66% | 1.1% |
| Worst Month | -9.27% | 0.25% |
| Best Year | 6.55% | 5.82% |
| Worst Year | 3.69% | 2.64% |
| Avg. Drawdown | -0.45% | -0.1% |
| Avg. Drawdown Days | 7 | 1 |
| Recovery Factor | 1.04 | 138.77 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 1.43% | 0.48% |
| Avg. Down Month | nan% | nan% |
| Win Days % | 59.38% | 99.81% |
| Win Month % | 80.77% | 100.0% |
| Win Quarter % | 90.0% | 100.0% |
| Win Year % | 100.0% | 100.0% |
| Beta | 0.34 | - |
| Alpha | 0.06 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 2.64 | 6.55 | 2.48 | + |
| 2021 | 5.82 | 6.09 | 1.05 | + |
| 2022 | 4.85 | 3.69 | 0.76 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-06 | 2022-06-09 | -16.61 | 154 |
| 2021-09-30 | 2021-12-27 | -3.04 | 88 |
| 2022-06-21 | 2022-06-30 | -1.42 | 9 |
| 2022-07-19 | 2022-07-25 | -1.03 | 6 |
| 2022-06-14 | 2022-06-15 | -0.82 | 1 |
| 2022-07-08 | 2022-07-12 | -0.72 | 4 |
| 2021-02-09 | 2021-04-20 | -0.72 | 70 |
| 2022-07-26 | 2022-08-02 | -0.67 | 7 |
| 2020-08-20 | 2020-08-27 | -0.58 | 7 |
| 2022-07-04 | 2022-07-07 | -0.48 | 3 |