| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 44.54% | 44.45% |
| CAGR% | 36.67% | 36.59% |
| Sharpe | 2.39 | 2.44 |
| Sortino | 3.59 | 3.68 |
| Max Drawdown | -6.77% | -6.83% |
| Longest DD Days | 87 | 87 |
| Volatility (ann.) | 13.24% | 12.94% |
| R^2 | 0.89 | 0.89 |
| Calmar | 5.44 | 5.38 |
| Skew | -0.38 | -0.38 |
| Kurtosis | 0.77 | 0.82 |
| Expected Daily % | 0.12% | 0.12% |
| Expected Monthly % | 2.49% | 2.48% |
| Expected Yearly % | 20.22% | 20.19% |
| Kelly Criterion | 16.3% | 18.67% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -1.22% |
| Expected Shortfall (cVaR) | -1.76% | -1.76% |
| Payoff Ratio | 0.98 | 0.98 |
| Profit Factor | 0.47 | 0.48 |
| Common Sense Ratio | 0.42 | 0.49 |
| CPC Index | 0.27 | 0.28 |
| Tail Ratio | 0.88 | 1.03 |
| Outlier Win Ratio | 3.01 | 3.1 |
| Outlier Loss Ratio | 3.24 | 3.21 |
| MTD | 0.41% | 0.4% |
| 3M | -0.39% | -0.42% |
| 6M | 7.48% | 6.98% |
| YTD | 13.21% | 13.5% |
| 1Y | 31.45% | 31.13% |
| 3Y (ann.) | 36.81% | 36.73% |
| 5Y (ann.) | 36.81% | 36.73% |
| 10Y (ann.) | 36.81% | 36.73% |
| All-time (ann.) | 36.81% | 36.73% |
| Best Day | 2.47% | 2.59% |
| Worst Day | -2.67% | -2.93% |
| Best Month | 13.46% | 12.61% |
| Worst Month | -3.28% | -2.55% |
| Best Year | 27.67% | 27.26% |
| Worst Year | 13.21% | 13.5% |
| Avg. Drawdown | -1.59% | -1.81% |
| Avg. Drawdown Days | 14 | 16 |
| Recovery Factor | 6.58 | 6.5 |
| Ulcer Index | 1.01 | 1.03 |
| Avg. Up Month | 3.18% | 3.14% |
| Avg. Down Month | -3.28% | -2.55% |
| Win Days % | 58.67% | 59.8% |
| Win Month % | 93.33% | 86.67% |
| Win Quarter % | 100.0% | 100.0% |
| Win Year % | 100.0% | 100.0% |
| Beta | 0.97 | - |
| Alpha | 0.01 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 27.37 | 27.78 | 1.02 | + |
| 2021 | 13.55 | 13.26 | 0.98 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-08-14 | 2020-11-09 | -6.79 | 87 |
| 2021-06-15 | 2021-09-06 | -6.01 | 83 |
| 2021-01-15 | 2021-03-12 | -4.70 | 56 |
| 2021-04-27 | 2021-06-02 | -3.59 | 36 |
| 2021-03-16 | 2021-04-08 | -3.05 | 23 |
| 2020-12-18 | 2020-12-23 | -2.20 | 5 |
| 2021-09-07 | 2021-09-17 | -1.89 | 10 |
| 2020-11-30 | 2020-12-02 | -1.55 | 2 |
| 2020-07-30 | 2020-08-03 | -1.51 | 4 |
| 2020-11-17 | 2020-11-18 | -1.09 | 1 |