| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | 57.65% | 13.28% |
| CAGR% | 17.21% | 4.45% |
| Sharpe | 0.9 | 18.83 |
| Sortino | 1.25 | 113.37 |
| Max Drawdown | -33.57% | -0.4% |
| Longest DD Days | 309 | 120 |
| Volatility (ann.) | 18.95% | 0.22% |
| R^2 | 0.0 | 0.0 |
| Calmar | 0.51 | 11.13 |
| Skew | -0.68 | 0.26 |
| Kurtosis | 14.52 | -0.28 |
| Expected Daily % | 0.06% | 0.02% |
| Expected Monthly % | 1.31% | 0.36% |
| Expected Yearly % | 12.05% | 3.17% |
| Kelly Criterion | 20.21% | 82.67% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.9% | -0.01% |
| Expected Shortfall (cVaR) | -3.63% | -3.63% |
| Payoff Ratio | 1.37 | 3.51 |
| Profit Factor | 0.19 | 24.43 |
| Common Sense Ratio | 0.19 | 127.66 |
| CPC Index | 0.14 | 74.19 |
| Tail Ratio | 1.0 | 5.23 |
| Outlier Win Ratio | 1.98 | 73.84 |
| Outlier Loss Ratio | 1.87 | 305.3 |
| MTD | 1.9% | 0.67% |
| 3M | 4.25% | 2.28% |
| 6M | 9.15% | 3.28% |
| YTD | 1.29% | 1.34% |
| 1Y | 12.68% | 5.59% |
| 3Y (ann.) | 17.21% | 4.45% |
| 5Y (ann.) | 17.21% | 4.45% |
| 10Y (ann.) | 17.21% | 4.45% |
| All-time (ann.) | 17.21% | 4.45% |
| Best Day | 9.39% | 0.05% |
| Worst Day | -8.74% | -0.01% |
| Best Month | 15.23% | 1.01% |
| Worst Month | -11.88% | -0.24% |
| Best Year | 27.98% | 4.91% |
| Worst Year | 1.29% | 1.34% |
| Avg. Drawdown | -2.7% | -0.25% |
| Avg. Drawdown Days | 24 | 94 |
| Recovery Factor | 1.72 | 33.23 |
| Ulcer Index | 1.03 | 0.7 |
| Avg. Up Month | 3.84% | 0.39% |
| Avg. Down Month | -0.97% | -0.16% |
| Win Days % | 53.92% | 86.52% |
| Win Month % | 68.57% | 88.57% |
| Win Quarter % | 83.33% | 91.67% |
| Win Year % | 100.0% | 100.0% |
| Beta | 2.04 | - |
| Alpha | 0.09 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2018 | 3.39 | 10.39 | 3.06 | + |
| 2019 | 3.05 | 27.98 | 9.18 | + |
| 2020 | 4.91 | 10.17 | 2.07 | + |
| 2021 | 1.34 | 1.29 | 0.96 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-01-21 | 2020-11-25 | -33.57 | 309 |
| 2018-10-04 | 2019-02-01 | -9.87 | 120 |
| 2021-01-15 | 2021-02-26 | -6.82 | 42 |
| 2019-07-10 | 2019-09-04 | -5.77 | 56 |
| 2018-05-15 | 2018-07-02 | -4.97 | 48 |
| 2019-02-06 | 2019-04-10 | -4.52 | 63 |
| 2019-11-08 | 2020-01-13 | -4.45 | 66 |
| 2019-09-17 | 2019-10-22 | -4.06 | 35 |
| 2018-07-10 | 2018-08-29 | -3.43 | 50 |
| 2020-12-18 | 2020-12-29 | -3.16 | 11 |