| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 1.0% | 1.0% |
| Time in Market | 99.0% | 99.0% |
| Cumulative Return | 3.46% | 6.95% |
| CAGR% | 9.59% | 19.86% |
| Sharpe | 1.13 | 1.77 |
| Sortino | 1.6 | 2.64 |
| Max Drawdown | -4.12% | -3.98% |
| Longest DD Days | 96 | 25 |
| Volatility (ann.) | 8.25% | 10.36% |
| R^2 | 0.12 | 0.12 |
| Calmar | 2.34 | 5.01 |
| Skew | -0.51 | -0.34 |
| Kurtosis | 0.43 | 0.87 |
| Expected Daily % | 0.04% | 0.07% |
| Expected Monthly % | 0.68% | 1.35% |
| Expected Yearly % | 3.46% | 6.95% |
| Kelly Criterion | 14.93% | 15.05% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.82% | -1.0% |
| Expected Shortfall (cVaR) | -1.11% | -1.11% |
| Payoff Ratio | 1.16 | 1.06 |
| Profit Factor | 0.19 | 0.35 |
| Common Sense Ratio | 0.17 | 0.39 |
| CPC Index | 0.12 | 0.21 |
| Tail Ratio | 0.85 | 1.14 |
| Outlier Win Ratio | 2.96 | 2.46 |
| Outlier Loss Ratio | 3.64 | 3.13 |
| MTD | 1.0% | -1.9% |
| 3M | 0.69% | 5.3% |
| 6M | 3.46% | 6.95% |
| YTD | 3.46% | 6.95% |
| 1Y | 3.46% | 6.95% |
| 3Y (ann.) | 9.63% | 19.93% |
| 5Y (ann.) | 9.63% | 19.93% |
| 10Y (ann.) | 9.63% | 19.93% |
| All-time (ann.) | 9.63% | 19.93% |
| Best Day | 1.25% | 1.51% |
| Worst Day | -1.58% | -2.12% |
| Best Month | 2.23% | 3.03% |
| Worst Month | -0.28% | -1.9% |
| Best Year | 3.46% | 6.95% |
| Worst Year | 3.46% | 6.95% |
| Avg. Drawdown | -0.95% | -1.24% |
| Avg. Drawdown Days | 15 | 6 |
| Recovery Factor | 0.84 | 1.75 |
| Ulcer Index | 1.1 | 1.1 |
| Avg. Up Month | 1.39% | 1.69% |
| Avg. Down Month | nan% | nan% |
| Win Days % | 54.26% | 56.38% |
| Win Month % | 60.0% | 80.0% |
| Win Quarter % | 100.0% | 100.0% |
| Win Year % | 100.0% | 100.0% |
| Beta | 0.27 | - |
| Alpha | 0.04 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 6.98 | 3.47 | 0.50 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-06-11 | 2021-09-15 | -4.13 | 96 |
| 2021-05-10 | 2021-05-20 | -1.45 | 10 |
| 2021-09-16 | 2021-09-17 | -0.79 | 1 |
| 2021-06-01 | 2021-06-04 | -0.52 | 3 |
| 2021-05-25 | 2021-05-28 | -0.51 | 3 |
| 2021-05-21 | 2021-05-24 | -0.19 | 3 |
| 2021-06-07 | 2021-06-08 | -0.02 | 1 |
| 2021-06-09 | 2021-06-10 | -0.01 | 1 |