| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 99.0% |
| Cumulative Return | 6.19% | 1.21% |
| CAGR% | 26.56% | 4.84% |
| Sharpe | 2.12 | 8.3 |
| Sortino | 3.37 | 23.24 |
| Max Drawdown | -3.13% | -0.1% |
| Longest DD Days | 22 | 1 |
| Volatility (ann.) | 10.74% | 0.54% |
| R^2 | 0.02 | 0.02 |
| Calmar | 8.48 | 48.5 |
| Skew | -0.02 | 3.15 |
| Kurtosis | -0.75 | 22.51 |
| Expected Daily % | 0.09% | 0.02% |
| Expected Monthly % | 1.51% | 0.3% |
| Expected Yearly % | 6.19% | 1.21% |
| Kelly Criterion | 50.87% | 90.28% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.02% | -0.04% |
| Expected Shortfall (cVaR) | -1.28% | -1.28% |
| Payoff Ratio | 5.7 | 0.18 |
| Profit Factor | 0.38 | 12.07 |
| Common Sense Ratio | 0.47 | 100.23 |
| CPC Index | 1.27 | 2.16 |
| Tail Ratio | 1.22 | 8.3 |
| Outlier Win Ratio | 1.45 | 41.4 |
| Outlier Loss Ratio | 1.12 | 6.42 |
| MTD | 0.51% | 0.1% |
| 3M | 6.19% | 1.21% |
| 6M | 6.19% | 1.21% |
| YTD | 6.19% | 1.21% |
| 1Y | 6.19% | 1.21% |
| 3Y (ann.) | 26.56% | 4.84% |
| 5Y (ann.) | 26.56% | 4.84% |
| 10Y (ann.) | 26.56% | 4.84% |
| All-time (ann.) | 26.56% | 4.84% |
| Best Day | 1.52% | 0.23% |
| Worst Day | -1.38% | -0.1% |
| Best Month | 4.63% | 0.63% |
| Worst Month | -0.14% | 0.1% |
| Best Year | 6.19% | 1.21% |
| Worst Year | 6.19% | 1.21% |
| Avg. Drawdown | -1.33% | -0.1% |
| Avg. Drawdown Days | 9 | 1 |
| Recovery Factor | 1.97 | 12.14 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 2.08% | 0.19% |
| Avg. Down Month | nan% | nan% |
| Win Days % | 58.21% | 98.51% |
| Win Month % | 75.0% | 100.0% |
| Win Quarter % | 50.0% | 100.0% |
| Win Year % | 100.0% | 100.0% |
| Beta | -2.55 | - |
| Alpha | 0.34 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.21 | 6.19 | 5.10 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-07-13 | 2021-08-04 | -3.13 | 22 |
| 2021-09-08 | 2021-09-17 | -2.26 | 9 |
| 2021-08-18 | 2021-08-31 | -2.22 | 13 |
| 2021-06-17 | 2021-07-02 | -1.63 | 15 |
| 2021-08-11 | 2021-08-16 | -0.52 | 5 |
| 2021-07-06 | 2021-07-08 | -0.46 | 2 |
| 2021-08-06 | 2021-08-10 | -0.33 | 4 |
| 2021-07-09 | 2021-07-12 | -0.08 | 3 |