| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 53.31% | 80.16% |
| CAGR% | 16.17% | 22.92% |
| Sharpe | 0.88 | 1.22 |
| Sortino | 1.22 | 1.72 |
| Max Drawdown | -33.47% | -34.19% |
| Longest DD Days | 309 | 300 |
| Volatility (ann.) | 19.31% | 18.56% |
| R^2 | 0.75 | 0.75 |
| Calmar | 0.48 | 0.67 |
| Skew | -0.69 | -0.65 |
| Kurtosis | 13.9 | 11.92 |
| Expected Daily % | 0.06% | 0.08% |
| Expected Monthly % | 1.23% | 1.7% |
| Expected Yearly % | 11.27% | 15.85% |
| Kelly Criterion | 8.27% | 12.35% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.93% | -1.83% |
| Expected Shortfall (cVaR) | -3.71% | -3.71% |
| Payoff Ratio | 1.0 | 0.99 |
| Profit Factor | 0.18 | 0.25 |
| Common Sense Ratio | 0.18 | 0.29 |
| CPC Index | 0.1 | 0.14 |
| Tail Ratio | 0.98 | 1.15 |
| Outlier Win Ratio | 3.41 | 3.47 |
| Outlier Loss Ratio | 3.92 | 4.02 |
| MTD | 1.89% | 2.12% |
| 3M | 4.23% | 7.41% |
| 6M | 9.12% | 13.16% |
| YTD | 1.29% | 1.88% |
| 1Y | 12.66% | 17.8% |
| 3Y (ann.) | 16.21% | 23.0% |
| 5Y (ann.) | 16.21% | 23.0% |
| 10Y (ann.) | 16.21% | 23.0% |
| All-time (ann.) | 16.21% | 23.0% |
| Best Day | 9.36% | 7.69% |
| Worst Day | -8.71% | -8.25% |
| Best Month | 15.17% | 15.46% |
| Worst Month | -11.83% | -9.76% |
| Best Year | 27.87% | 38.3% |
| Worst Year | 1.29% | 1.88% |
| Avg. Drawdown | -2.69% | -2.36% |
| Avg. Drawdown Days | 24 | 21 |
| Recovery Factor | 1.59 | 2.34 |
| Ulcer Index | 1.04 | 1.06 |
| Avg. Up Month | 3.49% | 3.82% |
| Avg. Down Month | -4.5% | -4.15% |
| Win Days % | 54.03% | 56.34% |
| Win Month % | 68.57% | 77.14% |
| Win Quarter % | 83.33% | 83.33% |
| Win Year % | 100.0% | 100.0% |
| Beta | 0.9 | - |
| Alpha | -0.03 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2018 | 11.42 | 7.48 | 0.65 | - |
| 2019 | 38.45 | 27.98 | 0.73 | - |
| 2020 | 14.82 | 10.17 | 0.69 | - |
| 2021 | 1.88 | 1.29 | 0.68 | - |
| 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 |