| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 68.73% | 21.73% |
| CAGR% | 16.82% | 6.02% |
| Sharpe | 0.97 | 20.45 |
| Sortino | 1.42 | 90.08 |
| Max Drawdown | -16.22% | -0.4% |
| Longest DD Days | 536 | 120 |
| Volatility (ann.) | 17.65% | 0.29% |
| R^2 | 0.0 | 0.0 |
| Calmar | 1.04 | 15.06 |
| Skew | -0.16 | 0.23 |
| Kurtosis | 12.59 | 5.45 |
| Expected Daily % | 0.06% | 0.02% |
| Expected Monthly % | 1.28% | 0.48% |
| Expected Yearly % | 11.03% | 4.01% |
| Kelly Criterion | 20.93% | 86.61% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.76% | -0.01% |
| Expected Shortfall (cVaR) | -3.02% | -3.02% |
| Payoff Ratio | 1.55 | 3.28 |
| Profit Factor | 0.2 | 32.21 |
| Common Sense Ratio | 0.25 | 212.33 |
| CPC Index | 0.16 | 94.84 |
| Tail Ratio | 1.23 | 6.59 |
| Outlier Win Ratio | 1.96 | 56.06 |
| Outlier Loss Ratio | 1.7 | 172.18 |
| MTD | -8.9% | 1.17% |
| 3M | -10.22% | 3.2% |
| 6M | 8.99% | 5.82% |
| YTD | -8.46% | 2.17% |
| 1Y | 14.82% | 9.24% |
| 3Y (ann.) | 18.01% | 5.7% |
| 5Y (ann.) | 16.82% | 6.02% |
| 10Y (ann.) | 16.82% | 6.02% |
| All-time (ann.) | 16.82% | 6.02% |
| Best Day | 8.94% | 0.16% |
| Worst Day | -7.39% | -0.1% |
| Best Month | 8.54% | 1.17% |
| Worst Month | -8.9% | -0.24% |
| Best Year | 39.72% | 8.39% |
| Worst Year | -8.46% | 1.67% |
| Avg. Drawdown | -2.6% | -0.2% |
| Avg. Drawdown Days | 30 | 62 |
| Recovery Factor | 4.24 | 54.37 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 3.28% | 0.57% |
| Avg. Down Month | -1.57% | -0.11% |
| Win Days % | 51.99% | 89.74% |
| Win Month % | 70.73% | 90.24% |
| Win Quarter % | 71.43% | 92.86% |
| Win Year % | 60.0% | 100.0% |
| Beta | 1.19 | - |
| Alpha | 0.1 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2018 | 1.67 | 8.34 | 5.00 | + |
| 2019 | 3.05 | -7.53 | -2.47 | - |
| 2020 | 4.91 | 31.68 | 6.45 | + |
| 2021 | 8.39 | 39.72 | 4.73 | + |
| 2022 | 2.17 | -8.46 | -3.90 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2019-01-03 | 2020-06-22 | -16.22 | 536 |
| 2021-11-17 | 2022-02-25 | -10.96 | 100 |
| 2021-01-27 | 2021-03-23 | -9.36 | 55 |
| 2021-06-08 | 2021-09-16 | -8.74 | 100 |
| 2021-04-21 | 2021-06-07 | -4.50 | 47 |
| 2021-03-25 | 2021-04-06 | -3.86 | 12 |
| 2021-04-13 | 2021-04-20 | -3.57 | 7 |
| 2020-09-03 | 2020-10-29 | -3.42 | 56 |
| 2018-12-10 | 2018-12-19 | -3.02 | 9 |
| 2021-09-17 | 2021-10-11 | -3.02 | 24 |