| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 22.7% | 10.54% |
| CAGR% | 8.15% | 3.91% |
| Sharpe | 1.22 | 0.37 |
| Sortino | 1.65 | 0.6 |
| Max Drawdown | -10.79% | -15.67% |
| Longest DD Days | 282 | 547 |
| Volatility (ann.) | 6.63% | 12.61% |
| R^2 | 0.12 | 0.12 |
| Calmar | 0.76 | 0.25 |
| Skew | -2.45 | 1.53 |
| Kurtosis | 31.69 | 11.89 |
| Expected Daily % | 0.03% | 0.02% |
| Expected Monthly % | 0.64% | 0.31% |
| Expected Yearly % | 7.06% | 3.4% |
| Kelly Criterion | 24.53% | -6.54% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.65% | -1.29% |
| Expected Shortfall (cVaR) | -1.95% | -1.95% |
| Payoff Ratio | 1.49 | 0.92 |
| Profit Factor | 0.3 | 0.07 |
| Common Sense Ratio | 0.4 | 0.08 |
| CPC Index | 0.25 | 0.03 |
| Tail Ratio | 1.31 | 1.18 |
| Outlier Win Ratio | 7.33 | 3.14 |
| Outlier Loss Ratio | 5.97 | 2.76 |
| MTD | -0.22% | -0.5% |
| 3M | 1.48% | 0.4% |
| 6M | 1.26% | -1.07% |
| YTD | -1.32% | -2.1% |
| 1Y | 0.31% | -2.82% |
| 3Y (ann.) | 8.15% | 3.91% |
| 5Y (ann.) | 8.15% | 3.91% |
| 10Y (ann.) | 8.15% | 3.91% |
| All-time (ann.) | 8.15% | 3.91% |
| Best Day | 2.56% | 7.19% |
| Worst Day | -4.42% | -3.01% |
| Best Month | 4.63% | 17.19% |
| Worst Month | -2.02% | -5.72% |
| Best Year | 15.9% | 20.05% |
| Worst Year | -1.32% | -5.95% |
| Avg. Drawdown | -0.85% | -6.72% |
| Avg. Drawdown Days | 19 | 188 |
| Recovery Factor | 2.1 | 0.67 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 1.12% | 2.14% |
| Avg. Down Month | -0.59% | -1.23% |
| Win Days % | 54.86% | 48.85% |
| Win Month % | 59.38% | 46.88% |
| Win Quarter % | 72.73% | 36.36% |
| Win Year % | 66.67% | 33.33% |
| Beta | -0.18 | - |
| Alpha | 0.09 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | -5.95 | 15.90 | -2.67 | + |
| 2020 | 20.05 | 7.29 | 0.36 | - |
| 2021 | -2.10 | -1.32 | 0.63 | + |
| 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 |
| 2019-02-12 | 2019-03-01 | -1.25 | 17 |
| 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 |