| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 1.0% | 1.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 14.38% | 38.56% |
| CAGR% | 7.9% | 20.12% |
| Sharpe | 0.45 | 0.94 |
| Sortino | 0.62 | 1.31 |
| Max Drawdown | -51.05% | -33.68% |
| Longest DD Days | 427 | 172 |
| Volatility (ann.) | 46.17% | 30.08% |
| R^2 | 0.18 | 0.18 |
| Calmar | 0.15 | 0.6 |
| Skew | -0.34 | -0.6 |
| Kurtosis | 6.66 | 10.27 |
| Expected Daily % | 0.04% | 0.09% |
| Expected Monthly % | 0.61% | 1.49% |
| Expected Yearly % | 4.58% | 11.48% |
| Kelly Criterion | -2.14% | 7.14% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.7% | -3.0% |
| Expected Shortfall (cVaR) | -8.95% | -8.95% |
| Payoff Ratio | 0.88 | 0.85 |
| Profit Factor | 0.09 | 0.21 |
| Common Sense Ratio | 0.09 | 0.18 |
| CPC Index | 0.04 | 0.1 |
| Tail Ratio | 0.99 | 0.82 |
| Outlier Win Ratio | 4.03 | 6.43 |
| Outlier Loss Ratio | 4.27 | 6.41 |
| MTD | 3.87% | 2.75% |
| 3M | 5.07% | 5.41% |
| 6M | 8.37% | 11.95% |
| YTD | 0.07% | 2.38% |
| 1Y | -1.47% | 24.46% |
| 3Y (ann.) | 7.86% | 20.17% |
| 5Y (ann.) | 7.86% | 20.17% |
| 10Y (ann.) | 7.86% | 20.17% |
| All-time (ann.) | 7.86% | 20.17% |
| Best Day | 13.6% | 9.36% |
| Worst Day | -13.5% | -11.93% |
| Best Month | 18.93% | 12.78% |
| Worst Month | -20.7% | -12.29% |
| Best Year | 23.39% | 17.97% |
| Worst Year | -7.37% | 2.38% |
| Avg. Drawdown | -7.01% | -2.1% |
| Avg. Drawdown Days | 60 | 13 |
| Recovery Factor | 0.28 | 1.14 |
| Ulcer Index | 1.02 | 1.05 |
| Avg. Up Month | 5.72% | 4.68% |
| Avg. Down Month | -9.89% | -5.21% |
| Win Days % | 52.08% | 57.39% |
| Win Month % | 68.18% | 68.18% |
| Win Quarter % | 62.5% | 87.5% |
| Win Year % | 66.67% | 100.0% |
| Beta | 0.65 | - |
| Alpha | 0.02 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 14.79 | 23.47 | 1.59 | + |
| 2020 | 17.99 | -7.48 | -0.42 | - |
| 2021 | 2.38 | 0.07 | 0.03 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2019-12-27 | 2021-02-26 | -51.19 | 427 |
| 2019-07-08 | 2019-09-16 | -7.68 | 70 |
| 2019-09-18 | 2019-10-22 | -4.80 | 34 |
| 2019-11-12 | 2019-12-20 | -3.01 | 38 |
| 2019-05-24 | 2019-06-06 | -1.96 | 13 |
| 2019-06-25 | 2019-07-05 | -0.65 | 10 |
| 2019-12-23 | 2019-12-26 | -0.59 | 3 |
| 2019-06-21 | 2019-06-24 | -0.22 | 3 |
| 2019-10-23 | 2019-10-24 | -0.17 | 1 |
| 2019-10-29 | 2019-11-01 | -0.03 | 3 |