| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 95.0% | 99.0% |
| Cumulative Return | 9.49% | 15.15% |
| CAGR% | 27.69% | 46.24% |
| Sharpe | 1.5 | 3.48 |
| Sortino | 2.23 | 5.49 |
| Max Drawdown | -6.12% | -4.09% |
| Longest DD Days | 49 | 33 |
| Volatility (ann.) | 16.47% | 10.6% |
| R^2 | 0.03 | 0.03 |
| Calmar | 4.54 | 11.34 |
| Skew | -0.2 | -0.44 |
| Kurtosis | -0.33 | 0.4 |
| Expected Daily % | 0.09% | 0.14% |
| Expected Monthly % | 1.83% | 2.86% |
| Expected Yearly % | 9.49% | 15.15% |
| Kelly Criterion | 9.81% | 28.51% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.61% | -0.95% |
| Expected Shortfall (cVaR) | -1.99% | -1.99% |
| Payoff Ratio | 1.05 | 0.96 |
| Profit Factor | 0.27 | 0.72 |
| Common Sense Ratio | 0.27 | 1.05 |
| CPC Index | 0.15 | 0.45 |
| Tail Ratio | 1.0 | 1.45 |
| Outlier Win Ratio | 2.17 | 3.36 |
| Outlier Loss Ratio | 2.46 | 3.54 |
| MTD | 0.39% | 3.19% |
| 3M | 8.12% | 7.57% |
| 6M | 9.49% | 15.15% |
| YTD | 9.49% | 15.15% |
| 1Y | 9.49% | 15.15% |
| 3Y (ann.) | 27.79% | 46.43% |
| 5Y (ann.) | 27.79% | 46.43% |
| 10Y (ann.) | 27.79% | 46.43% |
| All-time (ann.) | 27.79% | 46.43% |
| Best Day | 2.21% | 1.41% |
| Worst Day | -2.35% | -1.81% |
| Best Month | 8.11% | 3.94% |
| Worst Month | -1.16% | -0.11% |
| Best Year | 9.49% | 15.15% |
| Worst Year | 9.49% | 15.15% |
| Avg. Drawdown | -1.92% | -1.15% |
| Avg. Drawdown Days | 10 | 8 |
| Recovery Factor | 1.55 | 3.7 |
| Ulcer Index | inf | 1.01 |
| Avg. Up Month | 3.72% | 3.51% |
| Avg. Down Month | -0.59% | -0.11% |
| Win Days % | 53.76% | 64.95% |
| Win Month % | 60.0% | 80.0% |
| Win Quarter % | 100.0% | 100.0% |
| Win Year % | 100.0% | 100.0% |
| Beta | 0.28 | - |
| Alpha | 0.14 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 15.21 | 9.52 | 0.63 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-05-06 | 2021-06-09 | -6.14 | 34 |
| 2021-07-08 | 2021-08-26 | -4.46 | 49 |
| 2021-09-07 | 2021-09-17 | -4.14 | 10 |
| 2021-06-10 | 2021-06-11 | -1.27 | 1 |
| 2021-06-16 | 2021-06-17 | -1.14 | 1 |
| 2021-06-25 | 2021-06-28 | -1.01 | 3 |
| 2021-08-27 | 2021-08-30 | -0.96 | 3 |
| 2021-07-01 | 2021-07-06 | -0.79 | 5 |
| 2021-08-31 | 2021-09-02 | -0.77 | 2 |
| 2021-06-23 | 2021-06-24 | -0.40 | 1 |