| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 24.05% | 25.71% |
| CAGR% | 12.84% | 13.68% |
| Sharpe | 0.56 | 0.58 |
| Sortino | 0.73 | 0.77 |
| Max Drawdown | -48.22% | -49.26% |
| Longest DD Days | 402 | 402 |
| Volatility (ann.) | 31.9% | 32.43% |
| R^2 | 0.87 | 0.87 |
| Calmar | 0.27 | 0.28 |
| Skew | -1.43 | -1.18 |
| Kurtosis | 8.94 | 9.21 |
| Expected Daily % | 0.05% | 0.05% |
| Expected Monthly % | 0.98% | 1.05% |
| Expected Yearly % | 7.45% | 7.93% |
| Kelly Criterion | 6.23% | 4.72% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.23% | -3.29% |
| Expected Shortfall (cVaR) | -5.63% | -5.63% |
| Payoff Ratio | 0.9 | 0.87 |
| Profit Factor | 0.11 | 0.12 |
| Common Sense Ratio | 0.12 | 0.1 |
| CPC Index | 0.06 | 0.06 |
| Tail Ratio | 1.07 | 0.88 |
| Outlier Win Ratio | 4.12 | 4.09 |
| Outlier Loss Ratio | 4.32 | 4.44 |
| MTD | 3.49% | 3.23% |
| 3M | 8.24% | 9.0% |
| 6M | 11.98% | 12.46% |
| YTD | 1.59% | 1.87% |
| 1Y | 1.9% | 1.79% |
| 3Y (ann.) | 12.85% | 13.69% |
| 5Y (ann.) | 12.85% | 13.69% |
| 10Y (ann.) | 12.85% | 13.69% |
| All-time (ann.) | 12.85% | 13.69% |
| Best Day | 7.44% | 9.19% |
| Worst Day | -12.66% | -12.97% |
| Best Month | 19.69% | 20.13% |
| Worst Month | -21.8% | -21.77% |
| Best Year | 31.11% | 30.65% |
| Worst Year | -6.86% | -5.54% |
| Avg. Drawdown | -4.96% | -5.61% |
| Avg. Drawdown Days | 37 | 42 |
| Recovery Factor | 0.5 | 0.52 |
| Ulcer Index | 1.09 | 1.09 |
| Avg. Up Month | 6.37% | 6.47% |
| Avg. Down Month | -8.45% | -8.37% |
| Win Days % | 55.66% | 55.58% |
| Win Month % | 68.18% | 63.64% |
| Win Quarter % | 62.5% | 62.5% |
| Win Year % | 66.67% | 66.67% |
| Beta | 0.92 | - |
| Alpha | 0.01 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 30.77 | 31.23 | 1.02 | + |
| 2020 | -5.62 | -6.94 | 1.24 | - |
| 2021 | 1.87 | 1.59 | 0.85 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-01-21 | 2021-02-26 | -48.35 | 402 |
| 2019-07-11 | 2019-09-16 | -10.85 | 67 |
| 2019-09-18 | 2019-10-23 | -5.80 | 35 |
| 2019-11-08 | 2019-12-12 | -4.74 | 34 |
| 2019-05-23 | 2019-06-03 | -2.31 | 11 |
| 2019-06-21 | 2019-07-01 | -1.42 | 10 |
| 2019-06-14 | 2019-06-19 | -1.22 | 5 |
| 2020-01-14 | 2020-01-17 | -1.08 | 3 |
| 2019-07-04 | 2019-07-10 | -0.96 | 6 |
| 2019-10-31 | 2019-11-01 | -0.81 | 1 |