| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 1.0% | 1.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 10.66% | 22.86% |
| CAGR% | 8.7% | 18.5% |
| Sharpe | 0.68 | 0.73 |
| Sortino | 0.89 | 1.02 |
| Max Drawdown | -16.57% | -33.68% |
| Longest DD Days | 120 | 172 |
| Volatility (ann.) | 15.06% | 32.3% |
| R^2 | 0.02 | 0.02 |
| Calmar | 0.53 | 0.55 |
| Skew | -1.38 | -0.53 |
| Kurtosis | 8.76 | 9.09 |
| Expected Daily % | 0.04% | 0.07% |
| Expected Monthly % | 0.68% | 1.38% |
| Expected Yearly % | 3.44% | 7.1% |
| Kelly Criterion | 5.83% | 2.69% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.52% | -3.25% |
| Expected Shortfall (cVaR) | -3.07% | -3.07% |
| Payoff Ratio | 0.9 | 0.83 |
| Profit Factor | 0.14 | 0.16 |
| Common Sense Ratio | 0.14 | 0.14 |
| CPC Index | 0.07 | 0.07 |
| Tail Ratio | 1.03 | 0.86 |
| Outlier Win Ratio | 6.69 | 3.37 |
| Outlier Loss Ratio | 7.29 | 3.7 |
| MTD | -3.15% | 2.75% |
| 3M | -1.04% | 5.41% |
| 6M | 0.99% | 11.95% |
| YTD | -4.85% | 2.38% |
| 1Y | 10.13% | 24.46% |
| 3Y (ann.) | 8.73% | 18.53% |
| 5Y (ann.) | 8.73% | 18.53% |
| 10Y (ann.) | 8.73% | 18.53% |
| All-time (ann.) | 8.73% | 18.53% |
| Best Day | 4.13% | 9.36% |
| Worst Day | -5.61% | -11.93% |
| Best Month | 7.74% | 12.78% |
| Worst Month | -5.81% | -12.29% |
| Best Year | 14.39% | 17.96% |
| Worst Year | -4.85% | 1.73% |
| Avg. Drawdown | -2.46% | -2.18% |
| Avg. Drawdown Days | 25 | 12 |
| Recovery Factor | 0.64 | 0.68 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 2.97% | 5.37% |
| Avg. Down Month | -2.51% | -5.46% |
| Win Days % | 55.52% | 55.87% |
| Win Month % | 60.0% | 66.67% |
| Win Quarter % | 66.67% | 83.33% |
| Win Year % | 66.67% | 100.0% |
| Beta | -0.06 | - |
| Alpha | 0.12 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 1.74 | 1.68 | 0.96 | - |
| 2020 | 17.99 | 14.44 | 0.80 | - |
| 2021 | 2.38 | -4.87 | -2.04 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-03-10 | 2020-07-08 | -16.63 | 120 |
| 2021-01-08 | 2021-02-26 | -6.00 | 49 |
| 2020-08-06 | 2020-11-17 | -4.68 | 103 |
| 2020-02-03 | 2020-03-05 | -2.11 | 31 |
| 2020-12-22 | 2020-12-30 | -1.26 | 8 |
| 2020-01-08 | 2020-01-31 | -1.12 | 23 |
| 2020-07-31 | 2020-08-05 | -1.09 | 5 |
| 2019-12-18 | 2019-12-27 | -0.92 | 9 |
| 2021-01-04 | 2021-01-05 | -0.75 | 1 |
| 2020-07-09 | 2020-07-13 | -0.66 | 4 |