| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 23.38% | 13.07% |
| CAGR% | 8.26% | 4.75% |
| Sharpe | 1.24 | 14.83 |
| Sortino | 1.68 | 117.46 |
| Max Drawdown | -10.79% | -0.4% |
| Longest DD Days | 282 | 120 |
| Volatility (ann.) | 6.6% | 0.31% |
| R^2 | 0.0 | 0.0 |
| Calmar | 0.77 | 11.89 |
| Skew | -2.45 | 4.65 |
| Kurtosis | 31.83 | 41.85 |
| Expected Daily % | 0.03% | 0.02% |
| Expected Monthly % | 0.64% | 0.37% |
| Expected Yearly % | 7.25% | 4.18% |
| Kelly Criterion | 16.79% | 83.77% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.65% | -0.01% |
| Expected Shortfall (cVaR) | -1.95% | -1.95% |
| Payoff Ratio | 1.19 | 3.95 |
| Profit Factor | 0.31 | 24.06 |
| Common Sense Ratio | 0.41 | 120.59 |
| CPC Index | 0.2 | 82.64 |
| Tail Ratio | 1.32 | 5.01 |
| Outlier Win Ratio | 2.32 | 25.7 |
| Outlier Loss Ratio | 2.28 | 91.63 |
| MTD | -0.22% | 0.1% |
| 3M | 1.48% | 0.97% |
| 6M | 1.26% | 2.92% |
| YTD | -1.32% | 4.8% |
| 1Y | 0.31% | 6.84% |
| 3Y (ann.) | 8.26% | 4.75% |
| 5Y (ann.) | 8.26% | 4.75% |
| 10Y (ann.) | 8.26% | 4.75% |
| All-time (ann.) | 8.26% | 4.75% |
| Best Day | 2.56% | 0.2% |
| Worst Day | -4.42% | -0.01% |
| Best Month | 4.63% | 0.83% |
| Worst Month | -2.02% | -0.24% |
| Best Year | 16.54% | 4.91% |
| Worst Year | -1.32% | 2.84% |
| Avg. Drawdown | -0.87% | -0.25% |
| Avg. Drawdown Days | 20 | 93 |
| Recovery Factor | 2.17 | 32.7 |
| Ulcer Index | inf | 0.91 |
| Avg. Up Month | 1.42% | 0.41% |
| Avg. Down Month | -0.54% | -0.05% |
| Win Days % | 54.8% | 87.05% |
| Win Month % | 63.64% | 87.88% |
| Win Quarter % | 72.73% | 90.91% |
| Win Year % | 66.67% | 100.0% |
| Beta | -0.3 | - |
| Alpha | 0.1 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 2.84 | 16.54 | 5.83 | + |
| 2020 | 4.91 | 7.29 | 1.48 | + |
| 2021 | 4.80 | -1.32 | -0.28 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-25 | 2020-04-23 | -10.79 | 58 |
| 2020-12-09 | 2021-09-17 | -4.85 | 282 |
| 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 |