Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 7.0% | 7.0% |
Time in Market | 87.0% | 87.0% |
Cumulative Return | 36.72% | 41.02% |
CAGR% | 38.05% | 42.53% |
Sharpe | 1.44 | 1.53 |
Sortino | 2.16 | 2.26 |
Max Drawdown | -15.91% | -13.54% |
Longest DD Days | 91 | 90 |
Volatility (ann.) | 22.04% | 22.7% |
R^2 | 0.87 | 0.87 |
Calmar | 2.4 | 3.15 |
Skew | 0.07 | -0.31 |
Kurtosis | 7.88 | 8.64 |
Expected Daily % | 0.12% | 0.13% |
Expected Monthly % | 2.64% | 2.91% |
Expected Yearly % | 16.93% | 18.75% |
Kelly Criterion | 13.3% | 12.48% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.16% | -2.21% |
Expected Shortfall (cVaR) | -3.88% | -3.88% |
Payoff Ratio | 1.02 | 1.03 |
Profit Factor | 0.32 | 0.35 |
Common Sense Ratio | 0.32 | 0.41 |
CPC Index | 0.19 | 0.2 |
Tail Ratio | 1.01 | 1.17 |
Outlier Win Ratio | 3.99 | 3.82 |
Outlier Loss Ratio | 3.87 | 3.84 |
MTD | 2.26% | 1.68% |
3M | 7.24% | 7.08% |
6M | 12.64% | 12.53% |
YTD | 1.36% | 1.24% |
1Y | 36.72% | 41.02% |
3Y (ann.) | 38.18% | 42.68% |
5Y (ann.) | 38.18% | 42.68% |
10Y (ann.) | 38.18% | 42.68% |
All-time (ann.) | 38.18% | 42.68% |
Best Day | 7.76% | 7.25% |
Worst Day | -7.09% | -8.53% |
Best Month | 14.85% | 15.06% |
Worst Month | -6.28% | -5.74% |
Best Year | 34.89% | 39.3% |
Worst Year | 1.36% | 1.24% |
Avg. Drawdown | -3.08% | -2.86% |
Avg. Drawdown Days | 15 | 13 |
Recovery Factor | 2.31 | 3.03 |
Ulcer Index | inf | inf |
Avg. Up Month | 5.4% | 5.42% |
Avg. Down Month | -2.82% | -2.6% |
Win Days % | 56.22% | 55.6% |
Win Month % | 66.67% | 75.0% |
Win Quarter % | 80.0% | 100.0% |
Win Year % | 100.0% | 100.0% |
Beta | 0.9 | - |
Alpha | 0.0 | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 39.44 | 35.01 | 0.89 | - |
2021 | 1.24 | 1.36 | 1.10 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2020-03-11 | 2020-04-03 | -15.97 | 23 |
2020-08-14 | 2020-11-13 | -10.61 | 91 |
2020-04-10 | 2020-05-19 | -7.35 | 39 |
2021-01-15 | 2021-02-26 | -6.69 | 42 |
2020-06-04 | 2020-07-06 | -3.63 | 32 |
2020-12-18 | 2021-01-04 | -2.89 | 17 |
2020-07-08 | 2020-07-17 | -1.97 | 9 |
2020-05-21 | 2020-05-25 | -1.50 | 4 |
2020-11-30 | 2020-12-01 | -1.42 | 1 |
2020-11-17 | 2020-11-24 | -1.29 | 7 |