| 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 |