| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 27.64% | 17.02% |
| CAGR% | 8.63% | 5.48% |
| Sharpe | 0.75 | 20.51 |
| Sortino | 1.21 | 142.38 |
| Max Drawdown | -12.31% | -0.4% |
| Longest DD Days | 442 | 120 |
| Volatility (ann.) | 12.1% | 0.26% |
| R^2 | 0.0 | 0.0 |
| Calmar | 0.7 | 13.7 |
| Skew | 1.25 | 0.13 |
| Kurtosis | 8.55 | -0.56 |
| Expected Daily % | 0.03% | 0.02% |
| Expected Monthly % | 0.68% | 0.44% |
| Expected Yearly % | 6.29% | 4.01% |
| Kelly Criterion | 1.93% | 85.98% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.22% | -0.01% |
| Expected Shortfall (cVaR) | -1.68% | -1.68% |
| Payoff Ratio | 1.02 | 4.84 |
| Profit Factor | 0.14 | 30.79 |
| Common Sense Ratio | 0.16 | 203.12 |
| CPC Index | 0.07 | 131.8 |
| Tail Ratio | 1.1 | 6.6 |
| Outlier Win Ratio | 2.24 | 50.17 |
| Outlier Loss Ratio | 1.88 | 160.97 |
| MTD | 0.2% | 0.61% |
| 3M | 3.53% | 3.21% |
| 6M | -1.07% | 4.77% |
| YTD | 0.2% | 0.61% |
| 1Y | -0.31% | 8.98% |
| 3Y (ann.) | 8.63% | 5.48% |
| 5Y (ann.) | 8.63% | 5.48% |
| 10Y (ann.) | 8.63% | 5.48% |
| All-time (ann.) | 8.63% | 5.48% |
| Best Day | 6.23% | 0.06% |
| Worst Day | -2.73% | -0.01% |
| Best Month | 11.03% | 1.11% |
| Worst Month | -3.51% | -0.24% |
| Best Year | 25.78% | 8.71% |
| Worst Year | -1.34% | 0.61% |
| Avg. Drawdown | -2.53% | -0.25% |
| Avg. Drawdown Days | 48 | 93 |
| Recovery Factor | 2.25 | 42.58 |
| Ulcer Index | 1.02 | 0.59 |
| Avg. Up Month | 2.23% | 0.46% |
| Avg. Down Month | -2.34% | -0.16% |
| Win Days % | 50.55% | 88.38% |
| Win Month % | 58.33% | 88.89% |
| Win Quarter % | 46.15% | 92.31% |
| Win Year % | 75.0% | 100.0% |
| Beta | -1.59 | - |
| Alpha | 0.18 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 1.99 | 2.65 | 1.34 | + |
| 2020 | 4.91 | 25.78 | 5.25 | + |
| 2021 | 8.71 | -1.34 | -0.15 | - |
| 2022 | 0.61 | 0.20 | 0.34 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-11-03 | 2022-01-19 | -12.31 | 442 |
| 2020-03-19 | 2020-08-25 | -9.70 | 159 |
| 2019-09-04 | 2020-02-25 | -6.60 | 174 |
| 2020-09-30 | 2020-10-30 | -3.12 | 30 |
| 2020-03-13 | 2020-03-18 | -3.07 | 5 |
| 2019-02-15 | 2019-05-02 | -2.97 | 76 |
| 2019-06-07 | 2019-08-02 | -2.64 | 56 |
| 2020-08-27 | 2020-09-03 | -2.51 | 7 |
| 2020-09-09 | 2020-09-21 | -1.98 | 12 |
| 2019-08-21 | 2019-08-28 | -1.57 | 7 |