| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 50.32% | 51.13% |
| CAGR% | 48.98% | 49.77% |
| Sharpe | 1.96 | 1.99 |
| Sortino | 3.04 | 3.02 |
| Max Drawdown | -13.22% | -13.64% |
| Longest DD Days | 57 | 58 |
| Volatility (ann.) | 21.21% | 21.18% |
| R^2 | 0.66 | 0.66 |
| Calmar | 3.72 | 3.66 |
| Skew | 0.01 | -0.11 |
| Kurtosis | 0.44 | 2.4 |
| Expected Daily % | 0.16% | 0.16% |
| Expected Monthly % | 3.18% | 3.23% |
| Expected Yearly % | 22.6% | 22.93% |
| Kelly Criterion | 14.97% | 17.69% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.03% | -2.03% |
| Expected Shortfall (cVaR) | -2.64% | -2.64% |
| Payoff Ratio | 0.95 | 0.93 |
| Profit Factor | 0.37 | 0.41 |
| Common Sense Ratio | 0.43 | 0.43 |
| CPC Index | 0.21 | 0.23 |
| Tail Ratio | 1.16 | 1.06 |
| Outlier Win Ratio | 3.19 | 3.45 |
| Outlier Loss Ratio | 3.02 | 3.15 |
| MTD | 3.32% | 3.8% |
| 3M | 6.91% | 5.78% |
| 6M | 18.65% | 20.77% |
| YTD | 29.25% | 30.12% |
| 1Y | 45.53% | 46.88% |
| 3Y (ann.) | 49.17% | 49.96% |
| 5Y (ann.) | 49.17% | 49.96% |
| 10Y (ann.) | 49.17% | 49.96% |
| All-time (ann.) | 49.17% | 49.96% |
| Best Day | 4.84% | 5.63% |
| Worst Day | -3.9% | -4.73% |
| Best Month | 19.69% | 20.13% |
| Worst Month | -8.22% | -8.17% |
| Best Year | 29.25% | 30.12% |
| Worst Year | 16.3% | 16.14% |
| Avg. Drawdown | -2.65% | -3.13% |
| Avg. Drawdown Days | 12 | 15 |
| Recovery Factor | 3.81 | 3.75 |
| Ulcer Index | 1.04 | 1.04 |
| Avg. Up Month | 6.3% | 6.38% |
| Avg. Down Month | -3.19% | -3.2% |
| Win Days % | 58.53% | 60.38% |
| Win Month % | 69.23% | 69.23% |
| Win Quarter % | 80.0% | 80.0% |
| Win Year % | 100.0% | 100.0% |
| Beta | 0.82 | - |
| Alpha | 0.07 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 16.19 | 16.35 | 1.01 | + |
| 2021 | 30.23 | 29.36 | 0.97 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-09-17 | 2020-11-13 | -13.27 | 57 |
| 2021-01-15 | 2021-03-11 | -9.39 | 55 |
| 2021-03-16 | 2021-05-07 | -9.04 | 52 |
| 2021-06-15 | 2021-08-11 | -6.50 | 57 |
| 2020-12-18 | 2021-01-05 | -6.06 | 18 |
| 2021-08-18 | 2021-09-01 | -3.53 | 14 |
| 2021-09-16 | 2021-09-17 | -2.24 | 1 |
| 2020-11-19 | 2020-11-24 | -1.85 | 5 |
| 2020-11-30 | 2020-12-01 | -1.74 | 1 |
| 2021-05-19 | 2021-05-26 | -1.70 | 7 |