| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 4.85% | 5.16% |
| CAGR% | 12.16% | 12.97% |
| Sharpe | 0.99 | 1.12 |
| Sortino | 1.39 | 1.57 |
| Max Drawdown | -4.68% | -5.48% |
| Longest DD Days | 58 | 57 |
| Volatility (ann.) | 11.83% | 11.01% |
| R^2 | 0.36 | 0.36 |
| Calmar | 2.61 | 2.37 |
| Skew | -0.58 | -0.5 |
| Kurtosis | 1.11 | 0.98 |
| Expected Daily % | 0.04% | 0.05% |
| Expected Monthly % | 0.79% | 0.84% |
| Expected Yearly % | 4.85% | 5.16% |
| Kelly Criterion | 0.19% | 5.93% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.18% | -1.09% |
| Expected Shortfall (cVaR) | -1.62% | -1.62% |
| Payoff Ratio | 0.88 | 0.88 |
| Profit Factor | 0.18 | 0.21 |
| Common Sense Ratio | 0.18 | 0.2 |
| CPC Index | 0.08 | 0.1 |
| Tail Ratio | 1.03 | 0.97 |
| Outlier Win Ratio | 2.49 | 2.86 |
| Outlier Loss Ratio | 3.44 | 3.63 |
| MTD | -1.51% | -0.49% |
| 3M | -1.28% | -1.52% |
| 6M | 4.85% | 5.16% |
| YTD | 4.85% | 5.16% |
| 1Y | 4.85% | 5.16% |
| 3Y (ann.) | 12.2% | 13.02% |
| 5Y (ann.) | 12.2% | 13.02% |
| 10Y (ann.) | 12.2% | 13.02% |
| All-time (ann.) | 12.2% | 13.02% |
| Best Day | 1.63% | 1.68% |
| Worst Day | -2.68% | -2.05% |
| Best Month | 3.8% | 3.97% |
| Worst Month | -1.51% | -0.93% |
| Best Year | 4.85% | 5.16% |
| Worst Year | 4.85% | 5.16% |
| Avg. Drawdown | -1.37% | -1.53% |
| Avg. Drawdown Days | 10 | 11 |
| Recovery Factor | 1.03 | 0.94 |
| Ulcer Index | 1.1 | 1.07 |
| Avg. Up Month | 1.82% | 1.64% |
| Avg. Down Month | -1.22% | -0.71% |
| Win Days % | 53.27% | 56.07% |
| Win Month % | 66.67% | 66.67% |
| Win Quarter % | 100.0% | 100.0% |
| Win Year % | 100.0% | 100.0% |
| Beta | 0.64 | - |
| Alpha | 0.04 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 5.17 | 4.86 | 0.94 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-06-16 | 2021-08-13 | -4.70 | 58 |
| 2021-09-07 | 2021-09-17 | -3.28 | 10 |
| 2021-08-16 | 2021-09-02 | -2.79 | 17 |
| 2021-05-10 | 2021-05-20 | -2.76 | 10 |
| 2021-04-27 | 2021-05-06 | -1.33 | 9 |
| 2021-06-03 | 2021-06-04 | -0.62 | 1 |
| 2021-05-25 | 2021-05-27 | -0.31 | 2 |
| 2021-06-09 | 2021-06-10 | -0.27 | 1 |
| 2021-05-28 | 2021-05-31 | -0.15 | 3 |
| 2021-06-07 | 2021-06-08 | -0.12 | 1 |