| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 97.0% | 99.0% |
| Cumulative Return | 23.44% | 24.85% |
| CAGR% | 14.83% | 15.69% |
| Sharpe | 1.8 | 2.4 |
| Sortino | 2.39 | 3.31 |
| Max Drawdown | -10.75% | -10.0% |
| Longest DD Days | 58 | 62 |
| Volatility (ann.) | 7.91% | 6.19% |
| R^2 | 0.62 | 0.62 |
| Calmar | 1.38 | 1.58 |
| Skew | -2.63 | -1.89 |
| Kurtosis | 26.5 | 28.16 |
| Expected Daily % | 0.06% | 0.06% |
| Expected Monthly % | 1.11% | 1.18% |
| Expected Yearly % | 11.1% | 11.74% |
| Kelly Criterion | 12.37% | 29.8% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.76% | -0.58% |
| Expected Shortfall (cVaR) | -2.09% | -2.09% |
| Payoff Ratio | 0.8 | 0.9 |
| Profit Factor | 0.51 | 0.84 |
| Common Sense Ratio | 0.82 | 1.4 |
| CPC Index | 0.25 | 0.51 |
| Tail Ratio | 1.62 | 1.66 |
| Outlier Win Ratio | 4.57 | 6.38 |
| Outlier Loss Ratio | 4.48 | 6.21 |
| MTD | 0.1% | 0.22% |
| 3M | 2.34% | 2.69% |
| 6M | 5.05% | 5.32% |
| YTD | 6.67% | 7.12% |
| 1Y | 14.43% | 15.64% |
| 3Y (ann.) | 14.88% | 15.75% |
| 5Y (ann.) | 14.88% | 15.75% |
| 10Y (ann.) | 14.88% | 15.75% |
| All-time (ann.) | 14.88% | 15.75% |
| Best Day | 2.55% | 2.5% |
| Worst Day | -4.4% | -3.15% |
| Best Month | 4.62% | 4.44% |
| Worst Month | -1.19% | -1.0% |
| Best Year | 15.72% | 16.56% |
| Worst Year | 6.67% | 7.12% |
| Avg. Drawdown | -0.78% | -0.47% |
| Avg. Drawdown Days | 11 | 8 |
| Recovery Factor | 2.18 | 2.49 |
| Ulcer Index | 1.12 | 1.17 |
| Avg. Up Month | 1.63% | 1.68% |
| Avg. Down Month | -0.76% | -0.66% |
| Win Days % | 61.14% | 66.67% |
| Win Month % | 78.95% | 78.95% |
| Win Quarter % | 85.71% | 85.71% |
| Win Year % | 100.0% | 100.0% |
| Beta | 1.01 | - |
| Alpha | -0.01 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.62 | 15.78 | 0.95 | - |
| 2020 | 7.14 | 6.69 | 0.94 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-25 | 2020-04-23 | -10.79 | 58 |
| 2019-05-06 | 2019-06-19 | -3.34 | 44 |
| 2020-06-22 | 2020-08-12 | -1.83 | 51 |
| 2019-02-07 | 2019-03-11 | -1.33 | 32 |
| 2019-03-22 | 2019-04-15 | -1.15 | 24 |
| 2020-05-27 | 2020-06-18 | -1.13 | 22 |
| 2019-09-11 | 2019-10-07 | -1.09 | 26 |
| 2019-07-26 | 2019-08-21 | -0.97 | 26 |
| 2019-11-06 | 2019-11-21 | -0.90 | 15 |
| 2020-01-14 | 2020-02-05 | -0.49 | 22 |