| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 11.67% | 5.35% |
| CAGR% | 8.95% | 4.13% |
| Sharpe | 3.79 | 0.41 |
| Sortino | 6.58 | 0.61 |
| Max Drawdown | -0.72% | -10.9% |
| Longest DD Days | 70 | 318 |
| Volatility (ann.) | 2.24% | 11.42% |
| R^2 | 0.01 | 0.01 |
| Calmar | 12.45 | 0.38 |
| Skew | 0.21 | 0.24 |
| Kurtosis | 2.56 | 1.74 |
| Expected Daily % | 0.03% | 0.02% |
| Expected Monthly % | 0.69% | 0.33% |
| Expected Yearly % | 5.67% | 2.64% |
| Kelly Criterion | 38.2% | 5.2% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.2% | -1.16% |
| Expected Shortfall (cVaR) | -0.31% | -0.31% |
| Payoff Ratio | 1.46 | 1.15 |
| Profit Factor | 0.97 | 0.07 |
| Common Sense Ratio | 1.67 | 0.09 |
| CPC Index | 0.9 | 0.04 |
| Tail Ratio | 1.72 | 1.22 |
| Outlier Win Ratio | 11.37 | 2.14 |
| Outlier Loss Ratio | 10.47 | 2.0 |
| MTD | 0.25% | -0.5% |
| 3M | 2.56% | 0.4% |
| 6M | 4.78% | -1.07% |
| YTD | 5.11% | -2.1% |
| 1Y | 8.36% | -2.82% |
| 3Y (ann.) | 8.95% | 4.13% |
| 5Y (ann.) | 8.95% | 4.13% |
| 10Y (ann.) | 8.95% | 4.13% |
| All-time (ann.) | 8.95% | 4.13% |
| Best Day | 0.61% | 2.49% |
| Worst Day | -0.55% | -2.96% |
| Best Month | 1.2% | 4.8% |
| Worst Month | -0.42% | -3.95% |
| Best Year | 6.23% | 7.61% |
| Worst Year | 5.11% | -2.1% |
| Avg. Drawdown | -0.13% | -2.08% |
| Avg. Drawdown Days | 4 | 31 |
| Recovery Factor | 16.23 | 0.49 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 0.68% | 2.26% |
| Avg. Down Month | -0.42% | -1.49% |
| Win Days % | 63.29% | 49.24% |
| Win Month % | 93.75% | 50.0% |
| Win Quarter % | 100.0% | 50.0% |
| Win Year % | 100.0% | 50.0% |
| Beta | -0.02 | - |
| Alpha | 0.09 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 7.61 | 6.23 | 0.82 | - |
| 2021 | -2.10 | 5.11 | -2.44 | + |
| 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 |
| 2020-06-09 | 2020-06-10 | -0.29 | 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 |