| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 22.06% | 30.91% |
| CAGR% | 5.99% | 8.18% |
| Sharpe | 0.46 | 3.44 |
| Sortino | 0.66 | 124.7 |
| Max Drawdown | -27.13% | -0.4% |
| Longest DD Days | 566 | 120 |
| Volatility (ann.) | 15.68% | 2.37% |
| R^2 | 0.01 | 0.01 |
| Calmar | 0.22 | 20.47 |
| Skew | 1.96 | 15.89 |
| Kurtosis | 183.72 | 258.2 |
| Expected Daily % | 0.02% | 0.03% |
| Expected Monthly % | 0.48% | 0.64% |
| Expected Yearly % | 5.11% | 6.96% |
| Kelly Criterion | 26.42% | 87.49% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.6% | -0.21% |
| Expected Shortfall (cVaR) | -4.79% | -4.79% |
| Payoff Ratio | 1.67 | 4.95 |
| Profit Factor | 0.19 | 44.28 |
| Common Sense Ratio | 0.24 | 375.37 |
| CPC Index | 0.17 | 196.54 |
| Tail Ratio | 1.29 | 8.48 |
| Outlier Win Ratio | 2.83 | 25.47 |
| Outlier Loss Ratio | 2.23 | 109.59 |
| MTD | 5.03% | 0.13% |
| 3M | 13.19% | 9.56% |
| 6M | 3.52% | 12.1% |
| YTD | 3.25% | 11.94% |
| 1Y | 0.17% | 16.59% |
| 3Y (ann.) | 4.43% | 8.57% |
| 5Y (ann.) | 5.99% | 8.18% |
| 10Y (ann.) | 5.99% | 8.18% |
| All-time (ann.) | 5.99% | 8.18% |
| Best Day | 17.61% | 2.47% |
| Worst Day | -14.34% | -0.1% |
| Best Month | 9.16% | 7.61% |
| Worst Month | -4.99% | -0.24% |
| Best Year | 16.54% | 11.94% |
| Worst Year | -5.45% | 2.84% |
| Avg. Drawdown | -1.41% | -0.2% |
| Avg. Drawdown Days | 27 | 62 |
| Recovery Factor | 0.81 | 77.34 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 1.97% | 0.45% |
| Avg. Down Month | -0.54% | -0.05% |
| Win Days % | 53.99% | 89.59% |
| Win Month % | 59.52% | 90.48% |
| Win Quarter % | 64.29% | 92.86% |
| Win Year % | 75.0% | 100.0% |
| Beta | -0.5 | - |
| Alpha | 0.11 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 2.84 | 16.54 | 5.83 | + |
| 2020 | 4.91 | 7.29 | 1.48 | + |
| 2021 | 8.39 | -5.45 | -0.65 | - |
| 2022 | 11.94 | 3.25 | 0.27 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-12-09 | 2022-06-28 | -27.13 | 566 |
| 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 |
| 2019-02-07 | 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 |