| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 99.16% | 15.38% |
| CAGR% | 25.79% | 4.88% |
| Sharpe | 1.33 | 20.88 |
| Sortino | 1.89 | 128.45 |
| Max Drawdown | -34.16% | -0.4% |
| Longest DD Days | 302 | 120 |
| Volatility (ann.) | 18.55% | 0.23% |
| R^2 | 0.0 | 0.0 |
| Calmar | 0.75 | 12.21 |
| Skew | -0.81 | 0.02 |
| Kurtosis | 12.59 | -0.53 |
| Expected Daily % | 0.09% | 0.02% |
| Expected Monthly % | 1.88% | 0.39% |
| Expected Yearly % | 18.8% | 3.64% |
| Kelly Criterion | 20.01% | 85.51% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.82% | -0.0% |
| Expected Shortfall (cVaR) | -3.37% | -3.37% |
| Payoff Ratio | 1.23 | 3.7 |
| Profit Factor | 0.28 | 28.04 |
| Common Sense Ratio | 0.3 | 146.51 |
| CPC Index | 0.19 | 91.8 |
| Tail Ratio | 1.07 | 5.23 |
| Outlier Win Ratio | 1.87 | 67.12 |
| Outlier Loss Ratio | 1.98 | 270.1 |
| MTD | 2.98% | 0.1% |
| 3M | 6.92% | 0.97% |
| 6M | 18.83% | 2.92% |
| YTD | 26.21% | 4.8% |
| 1Y | 43.01% | 6.84% |
| 3Y (ann.) | 25.79% | 4.88% |
| 5Y (ann.) | 25.79% | 4.88% |
| 10Y (ann.) | 25.79% | 4.88% |
| All-time (ann.) | 25.79% | 4.88% |
| Best Day | 7.45% | 0.05% |
| Worst Day | -9.02% | -0.01% |
| Best Month | 15.26% | 1.01% |
| Worst Month | -10.27% | -0.24% |
| Best Year | 37.44% | 4.91% |
| Worst Year | 1.25% | 1.85% |
| Avg. Drawdown | -2.11% | -0.25% |
| Avg. Drawdown Days | 17 | 93 |
| Recovery Factor | 2.9 | 38.5 |
| Ulcer Index | 1.04 | 0.66 |
| Avg. Up Month | 4.03% | 0.43% |
| Avg. Down Month | -0.8% | -0.16% |
| Win Days % | 55.91% | 88.59% |
| Win Month % | 75.68% | 89.19% |
| Win Quarter % | 84.62% | 92.31% |
| Win Year % | 100.0% | 100.0% |
| Beta | 3.31 | - |
| Alpha | 0.09 | - |
| 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 | 4.80 | 26.21 | 5.46 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-01-21 | 2020-11-18 | -34.16 | 302 |
| 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 |
| 2020-12-18 | 2020-12-29 | -3.07 | 11 |