| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 97.0% | 99.0% |
| Cumulative Return | 22.96% | 22.96% |
| CAGR% | 9.12% | 9.1% |
| Sharpe | 0.54 | 1.66 |
| Sortino | 0.79 | 2.31 |
| Max Drawdown | -11.73% | -10.0% |
| Longest DD Days | 213 | 157 |
| Volatility (ann.) | 20.29% | 5.51% |
| R^2 | 0.02 | 0.02 |
| Calmar | 0.78 | 0.91 |
| Skew | -0.21 | -1.58 |
| Kurtosis | 11.77 | 29.48 |
| Expected Daily % | 0.04% | 0.04% |
| Expected Monthly % | 0.72% | 0.72% |
| Expected Yearly % | 7.13% | 7.13% |
| Kelly Criterion | 15.01% | 18.18% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.06% | -0.53% |
| Expected Shortfall (cVaR) | -3.48% | -3.48% |
| Payoff Ratio | 1.35 | 0.92 |
| Profit Factor | 0.12 | 0.47 |
| Common Sense Ratio | 0.14 | 0.66 |
| CPC Index | 0.08 | 0.26 |
| Tail Ratio | 1.15 | 1.39 |
| Outlier Win Ratio | 3.35 | 13.81 |
| Outlier Loss Ratio | 2.68 | 10.29 |
| MTD | 0.07% | -0.35% |
| 3M | -0.2% | -0.12% |
| 6M | -3.54% | -2.93% |
| YTD | -3.02% | -2.78% |
| 1Y | -2.65% | -1.55% |
| 3Y (ann.) | 9.13% | 9.14% |
| 5Y (ann.) | 9.13% | 9.14% |
| 10Y (ann.) | 9.13% | 9.14% |
| All-time (ann.) | 9.13% | 9.14% |
| Best Day | 7.74% | 2.5% |
| Worst Day | -8.29% | -3.15% |
| Best Month | 7.76% | 4.44% |
| Worst Month | -4.48% | -1.81% |
| Best Year | 18.51% | 16.56% |
| Worst Year | -3.02% | -2.78% |
| Avg. Drawdown | -2.67% | -0.55% |
| Avg. Drawdown Days | 29 | 14 |
| Recovery Factor | 1.96 | 2.3 |
| Ulcer Index | 1.03 | 1.12 |
| Avg. Up Month | 2.19% | 1.74% |
| Avg. Down Month | -1.0% | -0.71% |
| Win Days % | 51.25% | 60.8% |
| Win Month % | 55.17% | 62.07% |
| Win Quarter % | 60.0% | 70.0% |
| Win Year % | 66.67% | 66.67% |
| Beta | 0.57 | - |
| Alpha | 0.06 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.62 | 18.57 | 1.12 | + |
| 2020 | 8.54 | 6.99 | 0.82 | - |
| 2021 | -2.79 | -3.03 | 1.09 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-10 | 2020-04-22 | -11.78 | 72 |
| 2020-05-26 | 2020-12-25 | -9.14 | 213 |
| 2020-12-28 | 2021-06-17 | -6.22 | 171 |
| 2019-05-07 | 2019-07-24 | -5.62 | 78 |
| 2019-02-13 | 2019-03-13 | -3.75 | 28 |
| 2019-04-22 | 2019-05-06 | -3.73 | 14 |
| 2019-03-28 | 2019-04-18 | -3.62 | 21 |
| 2019-03-21 | 2019-03-25 | -3.33 | 4 |
| 2019-09-12 | 2019-10-16 | -2.95 | 34 |
| 2019-07-30 | 2019-08-30 | -2.66 | 31 |