| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 44.57% | 7.25% |
| CAGR% | 35.3% | 5.91% |
| Sharpe | 2.32 | 23.77 |
| Sortino | 3.48 | 363.13 |
| Max Drawdown | -6.79% | -0.11% |
| Longest DD Days | 87 | 66 |
| Volatility (ann.) | 13.15% | 0.24% |
| R^2 | 0.01 | 0.01 |
| Calmar | 5.2 | 53.72 |
| Skew | -0.37 | 0.2 |
| Kurtosis | 0.81 | 2.38 |
| Expected Daily % | 0.12% | 0.02% |
| Expected Monthly % | 2.33% | 0.44% |
| Expected Yearly % | 20.24% | 3.56% |
| Kelly Criterion | 21.39% | 84.89% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.24% | -0.0% |
| Expected Shortfall (cVaR) | -1.76% | -1.76% |
| Payoff Ratio | 1.12 | 10.38 |
| Profit Factor | 0.46 | 63.61 |
| Common Sense Ratio | 0.42 | 776.54 |
| CPC Index | 0.3 | 569.44 |
| Tail Ratio | 0.93 | 12.21 |
| Outlier Win Ratio | 1.58 | 39.54 |
| Outlier Loss Ratio | 1.67 | 420.9 |
| MTD | 0.41% | 0.1% |
| 3M | -0.4% | 0.9% |
| 6M | 7.51% | 2.92% |
| YTD | 13.26% | 4.8% |
| 1Y | 31.57% | 6.84% |
| 3Y (ann.) | 35.3% | 5.91% |
| 5Y (ann.) | 35.3% | 5.91% |
| 10Y (ann.) | 35.3% | 5.91% |
| All-time (ann.) | 35.3% | 5.91% |
| Best Day | 2.48% | 0.11% |
| Worst Day | -2.68% | -0.0% |
| Best Month | 13.51% | 0.83% |
| Worst Month | -3.3% | -0.07% |
| Best Year | 27.65% | 4.8% |
| Worst Year | 13.26% | 2.34% |
| Avg. Drawdown | -1.56% | -0.11% |
| Avg. Drawdown Days | 14 | 66 |
| Recovery Factor | 6.56 | 65.91 |
| Ulcer Index | inf | 0.81 |
| Avg. Up Month | 3.35% | 0.55% |
| Avg. Down Month | nan% | nan% |
| Win Days % | 58.52% | 86.22% |
| Win Month % | 87.5% | 87.5% |
| Win Quarter % | 83.33% | 100.0% |
| Win Year % | 100.0% | 100.0% |
| Beta | 4.01 | - |
| Alpha | 0.08 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 2.34 | 27.65 | 11.82 | + |
| 2021 | 4.80 | 13.26 | 2.76 | + |
| 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 |
| 2020-07-08 | 2020-07-20 | -2.09 | 12 |
| 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 |