| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 91.0% | 97.0% |
| Cumulative Return | 2.09% | 1.29% |
| CAGR% | 16.6% | 9.95% |
| Sharpe | 1.86 | 0.93 |
| Sortino | 2.73 | 1.26 |
| Max Drawdown | -3.11% | -4.09% |
| Longest DD Days | 16 | 21 |
| Volatility (ann.) | 8.68% | 11.09% |
| R^2 | 0.57 | 0.57 |
| Calmar | 5.36 | 2.44 |
| Skew | -0.35 | -0.74 |
| Kurtosis | 3.1 | 1.0 |
| Expected Daily % | 0.06% | 0.04% |
| Expected Monthly % | 1.04% | 0.64% |
| Expected Yearly % | 2.09% | 1.29% |
| Kelly Criterion | 19.84% | 2.84% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.83% | -1.11% |
| Expected Shortfall (cVaR) | -1.36% | -1.36% |
| Payoff Ratio | 0.84 | 0.72 |
| Profit Factor | 0.42 | 0.17 |
| Common Sense Ratio | 0.39 | 0.14 |
| CPC Index | 0.22 | 0.07 |
| Tail Ratio | 0.92 | 0.85 |
| Outlier Win Ratio | 4.13 | 2.86 |
| Outlier Loss Ratio | 3.4 | 2.52 |
| MTD | 2.06% | 0.76% |
| 3M | 2.09% | 1.29% |
| 6M | 2.09% | 1.29% |
| YTD | 2.09% | 1.29% |
| 1Y | 2.09% | 1.29% |
| 3Y (ann.) | 16.66% | 9.98% |
| 5Y (ann.) | 16.66% | 9.98% |
| 10Y (ann.) | 16.66% | 9.98% |
| All-time (ann.) | 16.66% | 9.98% |
| Best Day | 1.61% | 1.34% |
| Worst Day | -1.45% | -1.8% |
| Best Month | 2.06% | 0.76% |
| Worst Month | 0.03% | 0.52% |
| Best Year | 2.09% | 1.29% |
| Worst Year | 2.09% | 1.29% |
| Avg. Drawdown | -1.34% | -2.87% |
| Avg. Drawdown Days | 12 | 18 |
| Recovery Factor | 0.67 | 0.31 |
| Ulcer Index | 1.19 | 1.26 |
| Avg. Up Month | 1.04% | 0.64% |
| Avg. Down Month | nan% | nan% |
| Win Days % | 63.33% | 59.38% |
| Win Month % | 100.0% | 100.0% |
| Win Quarter % | 100.0% | 100.0% |
| Win Year % | 100.0% | 100.0% |
| Beta | 0.59 | - |
| Alpha | 0.1 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.29 | 2.10 | 1.63 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-07-13 | 2021-07-29 | -3.12 | 16 |
| 2021-06-15 | 2021-07-01 | -0.61 | 16 |
| 2021-07-08 | 2021-07-12 | -0.30 | 4 |