| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 1.0% | 1.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 10.99% | 71.44% |
| CAGR% | 4.07% | 22.87% |
| Sharpe | 0.34 | 1.04 |
| Sortino | 0.44 | 1.45 |
| Max Drawdown | -31.3% | -33.68% |
| Longest DD Days | 612 | 172 |
| Volatility (ann.) | 16.22% | 23.24% |
| R^2 | 0.28 | 0.28 |
| Calmar | 0.13 | 0.68 |
| Skew | -1.64 | -0.66 |
| Kurtosis | 11.79 | 17.07 |
| Expected Daily % | 0.02% | 0.09% |
| Expected Monthly % | 0.33% | 1.7% |
| Expected Yearly % | 3.54% | 19.69% |
| Kelly Criterion | -1.12% | 6.49% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.66% | -2.31% |
| Expected Shortfall (cVaR) | -2.97% | -2.97% |
| Payoff Ratio | 0.81 | 0.84 |
| Profit Factor | 0.07 | 0.25 |
| Common Sense Ratio | 0.07 | 0.22 |
| CPC Index | 0.03 | 0.12 |
| Tail Ratio | 1.01 | 0.87 |
| Outlier Win Ratio | 5.1 | 3.87 |
| Outlier Loss Ratio | 5.06 | 4.03 |
| MTD | 0.28% | -1.9% |
| 3M | 1.08% | 5.3% |
| 6M | 2.35% | 12.29% |
| YTD | 0.79% | 19.96% |
| 1Y | 3.22% | 32.78% |
| 3Y (ann.) | 4.07% | 22.93% |
| 5Y (ann.) | 4.07% | 22.93% |
| 10Y (ann.) | 4.07% | 22.93% |
| All-time (ann.) | 4.07% | 22.93% |
| Best Day | 4.01% | 9.36% |
| Worst Day | -7.7% | -11.93% |
| Best Month | 10.19% | 12.78% |
| Worst Month | -15.63% | -12.29% |
| Best Year | 23.14% | 21.15% |
| Worst Year | -10.58% | 17.97% |
| Avg. Drawdown | -2.52% | -1.55% |
| Avg. Drawdown Days | 36 | 9 |
| Recovery Factor | 0.35 | 2.12 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 3.57% | 4.19% |
| Avg. Down Month | -5.57% | -4.81% |
| Win Days % | 54.66% | 57.35% |
| Win Month % | 56.25% | 75.0% |
| Win Quarter % | 72.73% | 90.91% |
| Win Year % | 66.67% | 100.0% |
| Beta | 0.37 | - |
| Alpha | -0.03 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 21.23 | 23.23 | 1.09 | + |
| 2020 | 17.99 | -10.63 | -0.59 | - |
| 2021 | 20.03 | 0.79 | 0.04 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-01-14 | 2021-09-17 | -31.40 | 612 |
| 2019-07-26 | 2019-09-16 | -5.56 | 52 |
| 2019-05-06 | 2019-06-11 | -3.75 | 36 |
| 2019-03-22 | 2019-04-17 | -3.53 | 26 |
| 2019-02-12 | 2019-02-22 | -2.43 | 10 |
| 2019-09-24 | 2019-10-10 | -2.40 | 16 |
| 2019-11-06 | 2019-12-11 | -2.22 | 35 |
| 2019-04-24 | 2019-05-03 | -1.75 | 9 |
| 2019-06-25 | 2019-07-11 | -1.58 | 16 |
| 2019-02-26 | 2019-03-13 | -1.20 | 15 |