| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 90.0% | 100.0% |
| Cumulative Return | 32.19% | 4.87% |
| CAGR% | 57.26% | 8.02% |
| Sharpe | 3.3 | 37.84 |
| Sortino | 5.51 | 240.51 |
| Max Drawdown | -4.73% | -0.06% |
| Longest DD Days | 55 | 10 |
| Volatility (ann.) | 13.28% | 0.19% |
| R^2 | 0.01 | 0.01 |
| Calmar | 12.1 | 133.59 |
| Skew | -0.05 | -1.28 |
| Kurtosis | 0.79 | 2.03 |
| Expected Daily % | 0.17% | 0.03% |
| Expected Monthly % | 3.15% | 0.53% |
| Expected Yearly % | 14.97% | 2.41% |
| Kelly Criterion | 45.34% | 95.16% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.2% | -0.01% |
| Expected Shortfall (cVaR) | -1.76% | -1.76% |
| Payoff Ratio | 2.76 | 3.19 |
| Profit Factor | 0.73 | 79.21 |
| Common Sense Ratio | 1.05 | 253.16 |
| CPC Index | 1.21 | 243.08 |
| Tail Ratio | 1.44 | 3.2 |
| Outlier Win Ratio | 1.82 | 38.25 |
| Outlier Loss Ratio | 1.4 | 92.27 |
| MTD | 1.84% | 0.12% |
| 3M | 8.93% | 2.11% |
| 6M | 31.21% | 4.35% |
| YTD | 11.79% | 2.89% |
| 1Y | 32.19% | 4.87% |
| 3Y (ann.) | 57.26% | 8.02% |
| 5Y (ann.) | 57.26% | 8.02% |
| 10Y (ann.) | 57.26% | 8.02% |
| All-time (ann.) | 57.26% | 8.02% |
| Best Day | 2.62% | 0.05% |
| Worst Day | -2.69% | -0.01% |
| Best Month | 11.5% | 0.83% |
| Worst Month | -2.58% | -0.06% |
| Best Year | 18.25% | 2.89% |
| Worst Year | 11.79% | 1.92% |
| Avg. Drawdown | -1.49% | -0.06% |
| Avg. Drawdown Days | 9 | 10 |
| Recovery Factor | 6.8 | 81.13 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 4.45% | 0.63% |
| Avg. Down Month | nan% | nan% |
| Win Days % | 59.86% | 96.32% |
| Win Month % | 88.89% | 88.89% |
| Win Quarter % | 100.0% | 75.0% |
| Win Year % | 100.0% | 100.0% |
| Beta | 7.35 | - |
| Alpha | -0.1 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 1.92 | 18.25 | 9.50 | + |
| 2021 | 2.89 | 11.79 | 4.08 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-01-15 | 2021-03-11 | -4.73 | 55 |
| 2020-09-29 | 2020-11-05 | -4.41 | 37 |
| 2021-03-16 | 2021-03-31 | -2.59 | 15 |
| 2021-04-27 | 2021-05-07 | -2.26 | 10 |
| 2020-12-18 | 2020-12-22 | -1.96 | 4 |
| 2020-11-30 | 2020-12-02 | -1.83 | 2 |
| 2021-04-19 | 2021-04-22 | -1.46 | 3 |
| 2021-04-05 | 2021-04-13 | -1.31 | 8 |
| 2020-11-20 | 2020-11-25 | -1.09 | 5 |
| 2020-12-03 | 2020-12-07 | -1.00 | 4 |