Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 7.0% | 7.0% |
Time in Market | 72.0% | 95.0% |
Cumulative Return | 1.01% | 0.71% |
CAGR% | 5.85% | 4.11% |
Sharpe | 2.43 | 3.76 |
Sortino | 4.34 | 6.79 |
Max Drawdown | -0.54% | -0.26% |
Longest DD Days | 25 | 37 |
Volatility (ann.) | 2.99% | 1.36% |
R^2 | 0.15 | 0.15 |
Calmar | 10.82 | 15.61 |
Skew | 0.48 | 0.17 |
Kurtosis | 0.8 | -0.47 |
Expected Daily % | 0.03% | 0.02% |
Expected Monthly % | 0.33% | 0.24% |
Expected Yearly % | 0.5% | 0.35% |
Kelly Criterion | 25.86% | 20.58% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -0.28% | -0.12% |
Expected Shortfall (cVaR) | -0.35% | -0.35% |
Payoff Ratio | 1.46 | 0.98 |
Profit Factor | 0.59 | 0.78 |
Common Sense Ratio | 1.14 | 1.31 |
CPC Index | 0.48 | 0.47 |
Tail Ratio | 1.93 | 1.67 |
Outlier Win Ratio | 2.8 | 4.32 |
Outlier Loss Ratio | 1.58 | 3.52 |
MTD | 0.0% | -0.14% |
3M | 1.01% | 0.71% |
6M | 1.01% | 0.71% |
YTD | 0.0% | -0.14% |
1Y | 1.01% | 0.71% |
3Y (ann.) | 5.88% | 4.12% |
5Y (ann.) | 5.88% | 4.12% |
10Y (ann.) | 5.88% | 4.12% |
All-time (ann.) | 5.88% | 4.12% |
Best Day | 0.46% | 0.19% |
Worst Day | -0.39% | -0.13% |
Best Month | 0.7% | 0.54% |
Worst Month | 0.0% | -0.14% |
Best Year | 1.01% | 0.85% |
Worst Year | 0.0% | -0.14% |
Avg. Drawdown | -0.28% | -0.13% |
Avg. Drawdown Days | 8 | 14 |
Recovery Factor | 1.85 | 2.69 |
Ulcer Index | inf | 0.99 |
Avg. Up Month | 0.5% | 0.42% |
Avg. Down Month | nan% | nan% |
Win Days % | 56.0% | 60.61% |
Win Month % | 100.0% | 66.67% |
Win Quarter % | 100.0% | 50.0% |
Win Year % | 100.0% | 50.0% |
Beta | 0.85 | - |
Alpha | 0.03 | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 0.85 | 1.01 | 1.19 | + |
2021 | -0.14 | -0.00 | 0.00 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2020-12-21 | 2021-01-15 | -0.55 | 25 |
2020-11-13 | 2020-11-16 | -0.32 | 3 |
2020-12-10 | 2020-12-17 | -0.24 | 7 |
2020-11-20 | 2020-11-25 | -0.23 | 5 |
2020-11-30 | 2020-12-01 | -0.08 | 1 |