| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 14.22% | 18.0% |
| CAGR% | 4.55% | 5.7% |
| Sharpe | 0.71 | 16.71 |
| Sortino | 0.94 | 149.33 |
| Max Drawdown | -10.79% | -0.4% |
| Longest DD Days | 406 | 120 |
| Volatility (ann.) | 6.66% | 0.33% |
| R^2 | 0.0 | 0.0 |
| Calmar | 0.42 | 14.26 |
| Skew | -2.21 | 3.3 |
| Kurtosis | 27.37 | 26.21 |
| Expected Daily % | 0.02% | 0.02% |
| Expected Monthly % | 0.36% | 0.45% |
| Expected Yearly % | 3.38% | 4.22% |
| Kelly Criterion | 14.69% | 85.95% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.67% | -0.01% |
| Expected Shortfall (cVaR) | -1.51% | -1.51% |
| Payoff Ratio | 1.2 | 4.57 |
| Profit Factor | 0.16 | 32.43 |
| Common Sense Ratio | 0.2 | 213.9 |
| CPC Index | 0.1 | 131.22 |
| Tail Ratio | 1.22 | 6.6 |
| Outlier Win Ratio | 2.19 | 20.97 |
| Outlier Loss Ratio | 2.12 | 92.1 |
| MTD | -3.38% | 0.61% |
| 3M | -6.0% | 3.21% |
| 6M | -6.04% | 4.77% |
| YTD | -3.38% | 0.61% |
| 1Y | -8.19% | 8.98% |
| 3Y (ann.) | 4.55% | 5.7% |
| 5Y (ann.) | 4.55% | 5.7% |
| 10Y (ann.) | 4.55% | 5.7% |
| All-time (ann.) | 4.55% | 5.7% |
| Best Day | 2.56% | 0.2% |
| Worst Day | -4.42% | -0.01% |
| Best Month | 4.63% | 1.11% |
| Worst Month | -3.38% | -0.24% |
| Best Year | 16.54% | 8.71% |
| Worst Year | -5.45% | 0.61% |
| Avg. Drawdown | -1.0% | -0.25% |
| Avg. Drawdown Days | 23 | 93 |
| Recovery Factor | 1.32 | 45.03 |
| Ulcer Index | inf | 0.9 |
| Avg. Up Month | 1.41% | 0.44% |
| Avg. Down Month | -0.54% | -0.05% |
| Win Days % | 53.51% | 88.47% |
| Win Month % | 59.46% | 89.19% |
| Win Quarter % | 61.54% | 92.31% |
| Win Year % | 50.0% | 100.0% |
| Beta | -1.09 | - |
| Alpha | 0.11 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 2.84 | 16.54 | 5.83 | + |
| 2020 | 4.91 | 7.29 | 1.48 | + |
| 2021 | 8.71 | -5.45 | -0.63 | - |
| 2022 | 0.61 | -3.38 | -5.59 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-25 | 2020-04-23 | -10.79 | 58 |
| 2020-12-09 | 2022-01-19 | -10.13 | 406 |
| 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 |