| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 1.0% | 1.0% |
| Time in Market | 95.0% | 99.0% |
| Cumulative Return | 9.74% | 6.48% |
| CAGR% | 26.68% | 17.32% |
| Sharpe | 1.42 | 1.6 |
| Sortino | 2.08 | 2.37 |
| Max Drawdown | -5.81% | -3.98% |
| Longest DD Days | 35 | 25 |
| Volatility (ann.) | 17.52% | 10.25% |
| R^2 | 0.25 | 0.25 |
| Calmar | 4.61 | 4.37 |
| Skew | -0.4 | -0.31 |
| Kurtosis | 6.13 | 0.84 |
| Expected Daily % | 0.09% | 0.06% |
| Expected Monthly % | 1.56% | 1.05% |
| Expected Yearly % | 9.74% | 6.48% |
| Kelly Criterion | 5.38% | 3.98% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.72% | -1.0% |
| Expected Shortfall (cVaR) | -2.91% | -2.91% |
| Payoff Ratio | 0.84 | 0.86 |
| Profit Factor | 0.31 | 0.31 |
| Common Sense Ratio | 0.34 | 0.36 |
| CPC Index | 0.15 | 0.15 |
| Tail Ratio | 1.09 | 1.16 |
| Outlier Win Ratio | 3.02 | 4.35 |
| Outlier Loss Ratio | 2.66 | 4.32 |
| MTD | -1.02% | -1.9% |
| 3M | 9.08% | 5.3% |
| 6M | 9.74% | 6.48% |
| YTD | 9.74% | 6.48% |
| 1Y | 9.74% | 6.48% |
| 3Y (ann.) | 26.78% | 17.39% |
| 5Y (ann.) | 26.78% | 17.39% |
| 10Y (ann.) | 26.78% | 17.39% |
| All-time (ann.) | 26.78% | 17.39% |
| Best Day | 4.39% | 1.51% |
| Worst Day | -5.0% | -2.12% |
| Best Month | 5.5% | 3.03% |
| Worst Month | -1.02% | -1.9% |
| Best Year | 9.74% | 6.48% |
| Worst Year | 9.74% | 6.48% |
| Avg. Drawdown | -1.84% | -1.16% |
| Avg. Drawdown Days | 9 | 6 |
| Recovery Factor | 1.68 | 1.63 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 3.93% | 2.57% |
| Avg. Down Month | -0.7% | -1.01% |
| Win Days % | 56.84% | 55.56% |
| Win Month % | 50.0% | 66.67% |
| Win Quarter % | 100.0% | 100.0% |
| Win Year % | 100.0% | 100.0% |
| Beta | 0.85 | - |
| Alpha | 0.11 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 6.50 | 9.77 | 1.50 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-05-10 | 2021-06-14 | -5.83 | 35 |
| 2021-04-30 | 2021-05-07 | -5.38 | 7 |
| 2021-07-14 | 2021-07-23 | -2.41 | 9 |
| 2021-09-03 | 2021-09-17 | -2.10 | 14 |
| 2021-07-27 | 2021-08-23 | -1.53 | 27 |
| 2021-07-08 | 2021-07-09 | -1.21 | 1 |
| 2021-08-25 | 2021-08-30 | -0.90 | 5 |
| 2021-06-18 | 2021-06-21 | -0.37 | 3 |
| 2021-07-12 | 2021-07-13 | -0.36 | 1 |
| 2021-07-01 | 2021-07-02 | -0.15 | 1 |