| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 97.0% |
| Cumulative Return | 16.29% | 15.51% |
| CAGR% | 7.24% | 6.9% |
| Sharpe | 0.72 | 0.72 |
| Sortino | 0.92 | 0.87 |
| Max Drawdown | -16.55% | -16.71% |
| Longest DD Days | 154 | 155 |
| Volatility (ann.) | 10.9% | 10.45% |
| R^2 | 0.82 | 0.82 |
| Calmar | 0.44 | 0.41 |
| Skew | -5.46 | -8.57 |
| Kurtosis | 124.97 | 195.38 |
| Expected Daily % | 0.03% | 0.03% |
| Expected Monthly % | 0.58% | 0.56% |
| Expected Yearly % | 5.16% | 4.92% |
| Kelly Criterion | 5.76% | 12.52% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.1% | -1.05% |
| Expected Shortfall (cVaR) | -2.96% | -2.96% |
| Payoff Ratio | 0.77 | 0.74 |
| Profit Factor | 0.27 | 0.38 |
| Common Sense Ratio | 0.35 | 0.49 |
| CPC Index | 0.12 | 0.18 |
| Tail Ratio | 1.29 | 1.3 |
| Outlier Win Ratio | 5.3 | 7.6 |
| Outlier Loss Ratio | 3.51 | 4.55 |
| MTD | 0.74% | 0.21% |
| 3M | 12.87% | 10.98% |
| 6M | 5.96% | 4.89% |
| YTD | 3.68% | 3.14% |
| 1Y | 5.61% | 4.85% |
| 3Y (ann.) | 7.26% | 6.92% |
| 5Y (ann.) | 7.26% | 6.92% |
| 10Y (ann.) | 7.26% | 6.92% |
| All-time (ann.) | 7.26% | 6.92% |
| Best Day | 6.64% | 6.44% |
| Worst Day | -10.54% | -11.44% |
| Best Month | 7.63% | 6.33% |
| Worst Month | -9.23% | -9.58% |
| Best Year | 6.07% | 5.87% |
| Worst Year | 3.68% | 3.14% |
| Avg. Drawdown | -0.45% | -0.4% |
| Avg. Drawdown Days | 7 | 8 |
| Recovery Factor | 0.98 | 0.93 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 1.39% | 1.35% |
| Avg. Down Month | -2.62% | -2.61% |
| Win Days % | 59.02% | 62.75% |
| Win Month % | 80.77% | 80.77% |
| Win Quarter % | 90.0% | 90.0% |
| Win Year % | 100.0% | 100.0% |
| Beta | 0.95 | - |
| Alpha | 0.01 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 5.81 | 5.76 | 0.99 | - |
| 2021 | 5.89 | 6.09 | 1.03 | + |
| 2022 | 3.14 | 3.69 | 1.18 | + |
| 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 |