| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 74.03% | 20.41% |
| CAGR% | 18.03% | 5.72% |
| Sharpe | 0.96 | 21.43 |
| Sortino | 1.33 | 158.37 |
| Max Drawdown | -34.16% | -0.4% |
| Longest DD Days | 302 | 120 |
| Volatility (ann.) | 19.29% | 0.26% |
| R^2 | 0.0 | 0.0 |
| Calmar | 0.53 | 14.3 |
| Skew | -0.83 | 0.12 |
| Kurtosis | 10.54 | -0.61 |
| Expected Daily % | 0.07% | 0.02% |
| Expected Monthly % | 1.36% | 0.45% |
| Expected Yearly % | 11.72% | 3.79% |
| Kelly Criterion | 19.15% | 87.23% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.92% | -0.0% |
| Expected Shortfall (cVaR) | -3.49% | -3.49% |
| Payoff Ratio | 1.27 | 4.14 |
| Profit Factor | 0.19 | 36.4 |
| Common Sense Ratio | 0.2 | 240.13 |
| CPC Index | 0.13 | 135.28 |
| Tail Ratio | 1.05 | 6.6 |
| Outlier Win Ratio | 1.87 | 60.29 |
| Outlier Loss Ratio | 2.0 | 288.03 |
| MTD | -7.98% | 0.61% |
| 3M | -17.46% | 3.21% |
| 6M | -4.53% | 4.77% |
| YTD | -7.98% | 0.61% |
| 1Y | 4.73% | 8.98% |
| 3Y (ann.) | 18.21% | 5.55% |
| 5Y (ann.) | 18.03% | 5.72% |
| 10Y (ann.) | 18.03% | 5.72% |
| All-time (ann.) | 18.03% | 5.72% |
| Best Day | 7.45% | 0.06% |
| Worst Day | -9.02% | -0.01% |
| Best Month | 15.26% | 1.11% |
| Worst Month | -10.27% | -0.24% |
| Best Year | 37.44% | 8.71% |
| Worst Year | -7.98% | 0.61% |
| Avg. Drawdown | -2.35% | -0.25% |
| Avg. Drawdown Days | 18 | 93 |
| Recovery Factor | 2.17 | 51.09 |
| Ulcer Index | 1.04 | 0.63 |
| Avg. Up Month | 4.0% | 0.48% |
| Avg. Down Month | -0.8% | -0.16% |
| Win Days % | 54.84% | 89.71% |
| Win Month % | 70.73% | 90.24% |
| Win Quarter % | 73.33% | 93.33% |
| Win Year % | 80.0% | 100.0% |
| Beta | -0.22 | - |
| Alpha | 0.2 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2018 | 1.85 | 1.25 | 0.68 | - |
| 2019 | 3.05 | 37.44 | 12.29 | + |
| 2020 | 4.91 | 13.38 | 2.72 | + |
| 2021 | 8.71 | 19.85 | 2.28 | + |
| 2022 | 0.61 | -7.98 | -13.18 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-01-21 | 2020-11-18 | -34.16 | 302 |
| 2021-10-21 | 2022-01-19 | -20.81 | 90 |
| 2018-10-04 | 2019-01-21 | -7.56 | 109 |
| 2021-01-15 | 2021-03-11 | -6.27 | 55 |
| 2019-07-05 | 2019-09-03 | -5.61 | 60 |
| 2019-11-08 | 2019-12-18 | -4.72 | 40 |
| 2019-09-17 | 2019-10-23 | -4.54 | 36 |
| 2021-07-08 | 2021-08-10 | -4.16 | 33 |
| 2019-02-06 | 2019-04-09 | -4.00 | 62 |
| 2021-03-16 | 2021-04-16 | -3.86 | 31 |