| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 73.0% | 94.0% |
| Cumulative Return | 1.76% | 2.28% |
| CAGR% | 2.07% | 2.68% |
| Sharpe | 0.63 | 1.99 |
| Sortino | 0.95 | 3.1 |
| Max Drawdown | -1.9% | -2.3% |
| Longest DD Days | 182 | 182 |
| Volatility (ann.) | 3.77% | 1.51% |
| R^2 | 0.07 | 0.07 |
| Calmar | 1.1 | 1.17 |
| Skew | 0.13 | 0.43 |
| Kurtosis | 0.26 | 5.12 |
| Expected Daily % | 0.01% | 0.01% |
| Expected Monthly % | 0.16% | 0.21% |
| Expected Yearly % | 0.88% | 1.13% |
| Kelly Criterion | 13.48% | 20.2% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.38% | -0.14% |
| Expected Shortfall (cVaR) | -0.44% | -0.44% |
| Payoff Ratio | 1.24 | 0.84 |
| Profit Factor | 0.12 | 0.46 |
| Common Sense Ratio | 0.15 | 0.39 |
| CPC Index | 0.08 | 0.25 |
| Tail Ratio | 1.19 | 0.86 |
| Outlier Win Ratio | 3.18 | 7.37 |
| Outlier Loss Ratio | 1.65 | 4.86 |
| MTD | -0.27% | 0.27% |
| 3M | 0.8% | 1.12% |
| 6M | 1.51% | 2.95% |
| YTD | 0.75% | 1.33% |
| 1Y | 1.76% | 2.28% |
| 3Y (ann.) | 2.08% | 2.69% |
| 5Y (ann.) | 2.08% | 2.69% |
| 10Y (ann.) | 2.08% | 2.69% |
| All-time (ann.) | 2.08% | 2.69% |
| Best Day | 0.57% | 0.5% |
| Worst Day | -0.63% | -0.31% |
| Best Month | 1.43% | 1.33% |
| Worst Month | -1.21% | -1.28% |
| Best Year | 1.01% | 1.33% |
| Worst Year | 0.75% | 0.94% |
| Avg. Drawdown | -0.42% | -0.17% |
| Avg. Drawdown Days | 14 | 14 |
| Recovery Factor | 0.93 | 0.99 |
| Ulcer Index | inf | 1.07 |
| Avg. Up Month | 0.54% | 0.58% |
| Avg. Down Month | -0.58% | -0.69% |
| Win Days % | 52.17% | 63.48% |
| Win Month % | 63.64% | 72.73% |
| Win Quarter % | 75.0% | 75.0% |
| Win Year % | 100.0% | 100.0% |
| Beta | 0.64 | - |
| Alpha | 0.0 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 0.94 | 1.01 | 1.07 | + |
| 2021 | 1.34 | 0.75 | 0.56 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-12-21 | 2021-06-21 | -1.90 | 182 |
| 2021-07-30 | 2021-08-10 | -0.55 | 11 |
| 2021-09-14 | 2021-09-17 | -0.52 | 3 |
| 2021-09-03 | 2021-09-10 | -0.50 | 7 |
| 2021-08-18 | 2021-08-19 | -0.50 | 1 |
| 2021-08-23 | 2021-08-27 | -0.42 | 4 |
| 2021-07-02 | 2021-07-05 | -0.40 | 3 |
| 2021-07-20 | 2021-07-21 | -0.40 | 1 |
| 2021-07-06 | 2021-07-07 | -0.39 | 1 |
| 2021-07-22 | 2021-07-23 | -0.39 | 1 |