| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 73.0% | 64.0% |
| Cumulative Return | 1.53% | 1.86% |
| CAGR% | 1.83% | 2.23% |
| Sharpe | 0.57 | 1.28 |
| Sortino | 0.84 | 1.9 |
| Max Drawdown | -1.9% | -1.76% |
| Longest DD Days | 182 | 177 |
| Volatility (ann.) | 3.76% | 1.96% |
| R^2 | 0.07 | 0.07 |
| Calmar | 0.97 | 1.27 |
| Skew | 0.13 | -0.07 |
| Kurtosis | 0.3 | 1.52 |
| Expected Daily % | 0.01% | 0.01% |
| Expected Monthly % | 0.14% | 0.17% |
| Expected Yearly % | 0.76% | 0.92% |
| Kelly Criterion | 10.13% | 8.22% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.38% | -0.19% |
| Expected Shortfall (cVaR) | -0.44% | -0.44% |
| Payoff Ratio | 1.15 | 0.83 |
| Profit Factor | 0.11 | 0.27 |
| Common Sense Ratio | 0.13 | 0.3 |
| CPC Index | 0.06 | 0.13 |
| Tail Ratio | 1.19 | 1.09 |
| Outlier Win Ratio | 3.3 | 6.88 |
| Outlier Loss Ratio | 1.82 | 2.9 |
| MTD | -0.27% | 0.23% |
| 3M | 0.8% | 0.92% |
| 6M | 1.51% | 1.94% |
| YTD | 0.75% | 1.0% |
| 1Y | 1.53% | 1.86% |
| 3Y (ann.) | 1.84% | 2.23% |
| 5Y (ann.) | 1.84% | 2.23% |
| 10Y (ann.) | 1.84% | 2.23% |
| All-time (ann.) | 1.84% | 2.23% |
| Best Day | 0.57% | 0.39% |
| Worst Day | -0.63% | -0.39% |
| Best Month | 1.43% | 0.86% |
| Worst Month | -1.21% | -1.08% |
| Best Year | 0.77% | 1.0% |
| Worst Year | 0.75% | 0.85% |
| Avg. Drawdown | -0.42% | -0.31% |
| Avg. Drawdown Days | 14 | 20 |
| Recovery Factor | 0.81 | 1.05 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 0.51% | 0.43% |
| Avg. Down Month | -0.72% | -0.69% |
| Win Days % | 51.85% | 58.47% |
| Win Month % | 63.64% | 81.82% |
| Win Quarter % | 75.0% | 75.0% |
| Win Year % | 100.0% | 100.0% |
| Beta | 0.51 | - |
| Alpha | 0.01 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 0.85 | 0.77 | 0.91 | - |
| 2021 | 1.00 | 0.75 | 0.75 | - |
| 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 |