| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 80.0% | 94.0% |
| Cumulative Return | 1.57% | 1.85% |
| CAGR% | 4.34% | 5.14% |
| Sharpe | 0.77 | 1.91 |
| Sortino | 1.18 | 2.92 |
| Max Drawdown | -1.32% | -0.88% |
| Longest DD Days | 57 | 62 |
| Volatility (ann.) | 5.83% | 2.68% |
| R^2 | 0.21 | 0.21 |
| Calmar | 3.3 | 5.87 |
| Skew | 0.22 | -0.12 |
| Kurtosis | 0.48 | 1.12 |
| Expected Daily % | 0.02% | 0.02% |
| Expected Monthly % | 0.31% | 0.37% |
| Expected Yearly % | 1.57% | 1.85% |
| Kelly Criterion | 0.64% | 3.82% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.59% | -0.26% |
| Expected Shortfall (cVaR) | -0.84% | -0.84% |
| Payoff Ratio | 0.91 | 0.91 |
| Profit Factor | 0.14 | 0.38 |
| Common Sense Ratio | 0.2 | 0.39 |
| CPC Index | 0.07 | 0.19 |
| Tail Ratio | 1.36 | 1.02 |
| Outlier Win Ratio | 2.88 | 5.01 |
| Outlier Loss Ratio | 1.99 | 5.24 |
| MTD | 0.74% | 0.73% |
| 3M | 1.57% | 1.32% |
| 6M | 1.57% | 1.85% |
| YTD | 1.57% | 1.85% |
| 1Y | 1.57% | 1.85% |
| 3Y (ann.) | 4.36% | 5.15% |
| 5Y (ann.) | 4.36% | 5.15% |
| 10Y (ann.) | 4.36% | 5.15% |
| All-time (ann.) | 4.36% | 5.15% |
| Best Day | 0.96% | 0.47% |
| Worst Day | -0.97% | -0.5% |
| Best Month | 1.2% | 1.03% |
| Worst Month | -0.44% | -0.09% |
| Best Year | 1.57% | 1.85% |
| Worst Year | 1.57% | 1.85% |
| Avg. Drawdown | -0.76% | -0.29% |
| Avg. Drawdown Days | 12 | 12 |
| Recovery Factor | 1.18 | 2.1 |
| Ulcer Index | 1.32 | 1.12 |
| Avg. Up Month | 0.74% | 0.64% |
| Avg. Down Month | -0.44% | -0.09% |
| Win Days % | 52.78% | 54.12% |
| Win Month % | 60.0% | 80.0% |
| Win Quarter % | 100.0% | 100.0% |
| Win Year % | 100.0% | 100.0% |
| Beta | 1.0 | - |
| Alpha | -0.01 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.85 | 1.57 | 0.85 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-07-06 | 2021-09-01 | -1.33 | 57 |
| 2021-05-11 | 2021-05-26 | -1.20 | 15 |
| 2021-09-07 | 2021-09-13 | -1.03 | 6 |
| 2021-06-14 | 2021-06-24 | -0.82 | 10 |
| 2021-09-14 | 2021-09-16 | -0.66 | 2 |
| 2021-05-31 | 2021-06-03 | -0.37 | 3 |
| 2021-06-10 | 2021-06-11 | -0.37 | 1 |
| 2021-06-25 | 2021-06-29 | -0.30 | 4 |