| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 11.48% | 58.58% |
| CAGR% | 8.89% | 43.55% |
| Sharpe | 3.84 | 2.58 |
| Sortino | 6.67 | 4.02 |
| Max Drawdown | -0.72% | -10.98% |
| Longest DD Days | 70 | 90 |
| Volatility (ann.) | 2.21% | 14.32% |
| R^2 | 0.02 | 0.02 |
| Calmar | 12.46 | 3.98 |
| Skew | 0.19 | -0.2 |
| Kurtosis | 2.67 | 0.65 |
| Expected Daily % | 0.03% | 0.14% |
| Expected Monthly % | 0.68% | 2.92% |
| Expected Yearly % | 5.58% | 25.93% |
| Kelly Criterion | 29.23% | 17.65% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.19% | -1.34% |
| Expected Shortfall (cVaR) | -0.3% | -0.3% |
| Payoff Ratio | 1.07 | 1.0 |
| Profit Factor | 0.99 | 0.51 |
| Common Sense Ratio | 1.69 | 0.62 |
| CPC Index | 0.67 | 0.3 |
| Tail Ratio | 1.71 | 1.22 |
| Outlier Win Ratio | 11.78 | 1.67 |
| Outlier Loss Ratio | 13.3 | 1.82 |
| MTD | 0.25% | 3.19% |
| 3M | 2.55% | 7.57% |
| 6M | 4.76% | 19.62% |
| YTD | 5.1% | 27.72% |
| 1Y | 8.33% | 44.28% |
| 3Y (ann.) | 8.92% | 43.72% |
| 5Y (ann.) | 8.92% | 43.72% |
| 10Y (ann.) | 8.92% | 43.72% |
| All-time (ann.) | 8.92% | 43.72% |
| Best Day | 0.61% | 3.17% |
| Worst Day | -0.55% | -2.97% |
| Best Month | 1.2% | 15.46% |
| Worst Month | -0.42% | -5.83% |
| Best Year | 6.07% | 27.72% |
| Worst Year | 5.1% | 24.16% |
| Avg. Drawdown | -0.13% | -1.8% |
| Avg. Drawdown Days | 4 | 11 |
| Recovery Factor | 16.02 | 5.33 |
| Ulcer Index | 0.97 | inf |
| Avg. Up Month | 0.8% | 5.56% |
| Avg. Down Month | nan% | nan% |
| Win Days % | 63.38% | 58.82% |
| Win Month % | 93.75% | 68.75% |
| Win Quarter % | 100.0% | 83.33% |
| Win Year % | 100.0% | 100.0% |
| Beta | 0.02 | - |
| Alpha | 0.08 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 24.25 | 6.09 | 0.25 | - |
| 2021 | 27.83 | 5.11 | 0.18 | - |
| 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 |