| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 97.0% | 95.0% |
| Cumulative Return | 11.12% | 11.19% |
| CAGR% | 8.74% | 8.79% |
| Sharpe | 3.76 | 5.78 |
| Sortino | 6.5 | 10.64 |
| Max Drawdown | -0.72% | -0.56% |
| Longest DD Days | 70 | 31 |
| Volatility (ann.) | 2.21% | 1.44% |
| R^2 | 0.21 | 0.21 |
| Calmar | 12.24 | 15.66 |
| Skew | 0.2 | -0.12 |
| Kurtosis | 2.67 | 7.76 |
| Expected Daily % | 0.03% | 0.03% |
| Expected Monthly % | 0.66% | 0.67% |
| Expected Yearly % | 5.42% | 5.45% |
| Kelly Criterion | 32.72% | 43.46% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.2% | -0.12% |
| Expected Shortfall (cVaR) | -0.31% | -0.31% |
| Payoff Ratio | 1.22 | 1.27 |
| Profit Factor | 0.96 | 2.02 |
| Common Sense Ratio | 1.64 | 3.74 |
| CPC Index | 0.74 | 1.75 |
| Tail Ratio | 1.71 | 1.85 |
| Outlier Win Ratio | 3.59 | 5.35 |
| Outlier Loss Ratio | 2.66 | 4.68 |
| MTD | 0.25% | 0.25% |
| 3M | 2.55% | 2.53% |
| 6M | 4.76% | 4.56% |
| YTD | 5.1% | 5.11% |
| 1Y | 8.33% | 8.33% |
| 3Y (ann.) | 8.77% | 8.82% |
| 5Y (ann.) | 8.77% | 8.82% |
| 10Y (ann.) | 8.77% | 8.82% |
| All-time (ann.) | 8.77% | 8.82% |
| Best Day | 0.61% | 0.41% |
| Worst Day | -0.55% | -0.54% |
| Best Month | 1.2% | 1.11% |
| Worst Month | -0.42% | -0.07% |
| Best Year | 5.74% | 5.79% |
| Worst Year | 5.1% | 5.11% |
| Avg. Drawdown | -0.13% | -0.09% |
| Avg. Drawdown Days | 4 | 4 |
| Recovery Factor | 15.53 | 19.86 |
| Ulcer Index | 0.97 | 0.94 |
| Avg. Up Month | 0.73% | 0.72% |
| Avg. Down Month | -0.42% | -0.07% |
| Win Days % | 63.02% | 68.42% |
| Win Month % | 93.75% | 93.75% |
| Win Quarter % | 100.0% | 100.0% |
| Win Year % | 100.0% | 100.0% |
| Beta | 0.7 | - |
| Alpha | 0.02 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 5.81 | 5.76 | 0.99 | - |
| 2021 | 5.13 | 5.11 | 1.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-02-09 | 2021-04-20 | -0.72 | 70 |
| 2020-08-20 | 2020-08-27 | -0.58 | 7 |
| 2021-06-07 | 2021-06-16 | -0.46 | 9 |
| 2021-07-19 | 2021-07-22 | -0.36 | 3 |
| 2020-11-12 | 2020-11-13 | -0.33 | 1 |
| 2020-07-10 | 2020-07-15 | -0.28 | 5 |
| 2020-12-08 | 2020-12-18 | -0.26 | 10 |
| 2020-09-18 | 2020-09-21 | -0.25 | 3 |
| 2021-05-04 | 2021-05-11 | -0.24 | 7 |
| 2020-10-27 | 2020-11-05 | -0.24 | 9 |