Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 7.0% | 7.0% |
Time in Market | 97.0% | 100.0% |
Cumulative Return | 22.57% | 25.57% |
CAGR% | 5.95% | 6.67% |
Sharpe | 0.46 | 0.66 |
Sortino | 0.66 | 0.8 |
Max Drawdown | -27.04% | -26.82% |
Longest DD Days | 610 | 577 |
Volatility (ann.) | 15.34% | 10.96% |
R^2 | 0.49 | 0.49 |
Calmar | 0.22 | 0.25 |
Skew | 2.0 | -8.7 |
Kurtosis | 189.48 | 190.99 |
Expected Daily % | 0.02% | 0.03% |
Expected Monthly % | 0.47% | 0.53% |
Expected Yearly % | 5.22% | 5.86% |
Kelly Criterion | 6.29% | 11.29% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.56% | -1.11% |
Expected Shortfall (cVaR) | -4.77% | -4.77% |
Payoff Ratio | 0.96 | 0.9 |
Profit Factor | 0.18 | 0.25 |
Common Sense Ratio | 0.24 | 0.31 |
CPC Index | 0.1 | 0.13 |
Tail Ratio | 1.29 | 1.25 |
Outlier Win Ratio | 5.17 | 6.79 |
Outlier Loss Ratio | 4.44 | 5.58 |
MTD | -0.38% | -0.38% |
3M | 10.61% | 10.05% |
6M | 8.21% | 8.44% |
YTD | 4.42% | 4.42% |
1Y | 0.2% | 0.69% |
3Y (ann.) | 4.44% | 5.13% |
5Y (ann.) | 5.96% | 6.69% |
10Y (ann.) | 5.96% | 6.69% |
All-time (ann.) | 5.96% | 6.69% |
Best Day | 17.55% | 4.8% |
Worst Day | -14.28% | -13.74% |
Best Month | 9.13% | 8.39% |
Worst Month | -4.95% | -15.11% |
Best Year | 15.72% | 16.56% |
Worst Year | -5.43% | -4.93% |
Avg. Drawdown | -1.4% | -1.03% |
Avg. Drawdown Days | 28 | 23 |
Recovery Factor | 0.83 | 0.95 |
Ulcer Index | inf | inf |
Avg. Up Month | 2.1% | 2.1% |
Avg. Down Month | -1.41% | -1.95% |
Win Days % | 54.22% | 57.92% |
Win Month % | 55.81% | 60.47% |
Win Quarter % | 66.67% | 66.67% |
Win Year % | 75.0% | 75.0% |
Beta | 0.98 | - |
Alpha | -0.0 | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | 16.62 | 15.78 | 0.95 | - |
2020 | 8.54 | 7.29 | 0.85 | - |
2021 | -4.94 | -5.45 | 1.10 | - |
2022 | 4.43 | 4.41 | 1.00 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2020-12-09 | 2022-08-11 | -27.13 | 610 |
2020-02-25 | 2020-04-23 | -10.79 | 58 |
2019-05-06 | 2019-06-19 | -3.34 | 44 |
2020-06-22 | 2020-11-12 | -2.42 | 143 |
2019-02-06 | 2019-03-01 | -1.27 | 23 |
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 |