| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 20.64% | 29.86% |
| CAGR% | 29.14% | 42.75% |
| Sharpe | 1.63 | 2.75 |
| Sortino | 2.57 | 4.33 |
| Max Drawdown | -9.93% | -6.1% |
| Longest DD Days | 81 | 33 |
| Volatility (ann.) | 16.3% | 13.11% |
| R^2 | 0.0 | 0.0 |
| Calmar | 2.95 | 7.03 |
| Skew | 0.15 | -0.18 |
| Kurtosis | 0.56 | 0.27 |
| Expected Daily % | 0.1% | 0.14% |
| Expected Monthly % | 1.89% | 2.65% |
| Expected Yearly % | 9.84% | 13.95% |
| Kelly Criterion | 8.9% | 16.44% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.58% | -1.21% |
| Expected Shortfall (cVaR) | -2.07% | -2.07% |
| Payoff Ratio | 0.96 | 0.89 |
| Profit Factor | 0.31 | 0.55 |
| Common Sense Ratio | 0.36 | 0.6 |
| CPC Index | 0.16 | 0.29 |
| Tail Ratio | 1.18 | 1.1 |
| Outlier Win Ratio | 2.95 | 3.55 |
| Outlier Loss Ratio | 2.63 | 3.07 |
| MTD | -2.27% | 3.19% |
| 3M | 10.23% | 7.57% |
| 6M | 17.41% | 19.62% |
| YTD | 18.99% | 27.72% |
| 1Y | 20.64% | 29.86% |
| 3Y (ann.) | 29.24% | 42.93% |
| 5Y (ann.) | 29.24% | 42.93% |
| 10Y (ann.) | 29.24% | 42.93% |
| All-time (ann.) | 29.24% | 42.93% |
| Best Day | 3.2% | 2.48% |
| Worst Day | -2.86% | -2.27% |
| Best Month | 6.46% | 6.84% |
| Worst Month | -3.28% | -0.23% |
| Best Year | 18.99% | 27.72% |
| Worst Year | 1.39% | 1.67% |
| Avg. Drawdown | -2.89% | -1.67% |
| Avg. Drawdown Days | 17 | 11 |
| Recovery Factor | 2.08 | 4.89 |
| Ulcer Index | 1.07 | 0.99 |
| Avg. Up Month | 3.35% | 2.84% |
| Avg. Down Month | nan% | nan% |
| Win Days % | 55.43% | 60.75% |
| Win Month % | 80.0% | 80.0% |
| Win Quarter % | 100.0% | 100.0% |
| Win Year % | 100.0% | 100.0% |
| Beta | 0.01 | - |
| Alpha | 0.26 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 1.68 | 1.39 | 0.83 | - |
| 2021 | 27.83 | 19.06 | 0.68 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-04-12 | 2021-07-02 | -9.96 | 81 |
| 2021-02-16 | 2021-04-01 | -7.94 | 44 |
| 2021-01-04 | 2021-01-21 | -3.12 | 17 |
| 2021-08-31 | 2021-09-17 | -3.11 | 17 |
| 2021-01-27 | 2021-02-02 | -3.08 | 6 |
| 2021-07-15 | 2021-07-23 | -2.63 | 8 |
| 2021-07-27 | 2021-08-06 | -2.27 | 10 |
| 2021-08-09 | 2021-08-19 | -2.01 | 10 |
| 2021-02-05 | 2021-02-15 | -1.43 | 10 |
| 2021-07-08 | 2021-07-14 | -1.14 | 6 |