| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 14.81% | 15.59% |
| CAGR% | 32.42% | 34.24% |
| Sharpe | 1.81 | 1.89 |
| Sortino | 2.76 | 2.87 |
| Max Drawdown | -11.5% | -11.93% |
| Longest DD Days | 94 | 94 |
| Volatility (ann.) | 17.0% | 17.03% |
| R^2 | 0.88 | 0.88 |
| Calmar | 2.83 | 2.88 |
| Skew | -0.13 | -0.19 |
| Kurtosis | 1.12 | 0.88 |
| Expected Daily % | 0.12% | 0.12% |
| Expected Monthly % | 1.99% | 2.09% |
| Expected Yearly % | 14.81% | 15.59% |
| Kelly Criterion | 13.19% | 16.81% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.64% | -1.64% |
| Expected Shortfall (cVaR) | -2.24% | -2.24% |
| Payoff Ratio | 1.11 | 1.08 |
| Profit Factor | 0.35 | 0.37 |
| Common Sense Ratio | 0.36 | 0.37 |
| CPC Index | 0.21 | 0.23 |
| Tail Ratio | 1.02 | 1.02 |
| Outlier Win Ratio | 3.34 | 3.34 |
| Outlier Loss Ratio | 3.51 | 3.42 |
| MTD | 13.19% | 13.78% |
| 3M | 2.43% | 2.59% |
| 6M | 14.81% | 15.59% |
| YTD | 14.81% | 15.59% |
| 1Y | 14.81% | 15.59% |
| 3Y (ann.) | 32.54% | 34.37% |
| 5Y (ann.) | 32.54% | 34.37% |
| 10Y (ann.) | 32.54% | 34.37% |
| All-time (ann.) | 32.54% | 34.37% |
| Best Day | 3.32% | 3.23% |
| Worst Day | -3.37% | -3.16% |
| Best Month | 13.19% | 13.78% |
| Worst Month | -6.34% | -6.21% |
| Best Year | 14.81% | 15.59% |
| Worst Year | 14.81% | 15.59% |
| Avg. Drawdown | -2.57% | -2.98% |
| Avg. Drawdown Days | 15 | 19 |
| Recovery Factor | 1.29 | 1.31 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 6.47% | 6.99% |
| Avg. Down Month | -3.55% | -3.95% |
| Win Days % | 54.39% | 56.78% |
| Win Month % | 57.14% | 57.14% |
| Win Quarter % | 100.0% | 66.67% |
| Win Year % | 100.0% | 100.0% |
| Beta | 0.94 | - |
| Alpha | 0.01 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 15.64 | 14.87 | 0.95 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-08-14 | 2020-11-16 | -11.54 | 94 |
| 2020-06-08 | 2020-07-06 | -3.65 | 28 |
| 2020-07-07 | 2020-07-17 | -2.80 | 10 |
| 2020-06-04 | 2020-06-05 | -2.13 | 1 |
| 2020-05-29 | 2020-06-02 | -1.49 | 4 |
| 2020-11-20 | 2020-11-23 | -1.16 | 3 |
| 2020-07-30 | 2020-08-03 | -1.09 | 4 |
| 2020-11-17 | 2020-11-18 | -1.01 | 1 |
| 2020-08-06 | 2020-08-11 | -0.55 | 5 |
| 2020-07-28 | 2020-07-29 | -0.34 | 1 |