| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 30.48% | 6.25% |
| CAGR% | 24.39% | 5.1% |
| Sharpe | 1.09 | 25.7 |
| Sortino | 1.63 | 53.13 |
| Max Drawdown | -8.88% | -0.1% |
| Longest DD Days | 115 | 1 |
| Volatility (ann.) | 20.6% | 0.18% |
| R^2 | 0.0 | 0.0 |
| Calmar | 2.75 | 51.04 |
| Skew | -0.18 | 2.81 |
| Kurtosis | 11.83 | 113.2 |
| Expected Daily % | 0.08% | 0.02% |
| Expected Monthly % | 1.79% | 0.41% |
| Expected Yearly % | 9.27% | 2.04% |
| Kelly Criterion | 47.23% | 98.1% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.05% | -0.0% |
| Expected Shortfall (cVaR) | -4.11% | -4.11% |
| Payoff Ratio | 8.58 | 0.19 |
| Profit Factor | 0.25 | 60.7 |
| Common Sense Ratio | 0.32 | 120.61 |
| CPC Index | 1.12 | 11.59 |
| Tail Ratio | 1.32 | 1.99 |
| Outlier Win Ratio | 2.28 | 103.38 |
| Outlier Loss Ratio | 2.0 | 15.38 |
| MTD | -4.65% | 0.37% |
| 3M | -2.3% | 1.17% |
| 6M | 1.08% | 2.3% |
| YTD | -4.69% | 0.75% |
| 1Y | 25.5% | 4.84% |
| 3Y (ann.) | 24.39% | 5.1% |
| 5Y (ann.) | 24.39% | 5.1% |
| 10Y (ann.) | 24.39% | 5.1% |
| All-time (ann.) | 24.39% | 5.1% |
| Best Day | 8.2% | 0.16% |
| Worst Day | -8.25% | -0.1% |
| Best Month | 12.58% | 0.48% |
| Worst Month | -4.65% | 0.37% |
| Best Year | 37.41% | 4.97% |
| Worst Year | -4.69% | 0.47% |
| Avg. Drawdown | -2.74% | -0.1% |
| Avg. Drawdown Days | 18 | 1 |
| Recovery Factor | 3.43 | 62.57 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 4.01% | 0.4% |
| Avg. Down Month | nan% | nan% |
| Win Days % | 52.74% | 99.7% |
| Win Month % | 66.67% | 100.0% |
| Win Quarter % | 50.0% | 100.0% |
| Win Year % | 33.33% | 100.0% |
| Beta | 0.32 | - |
| Alpha | 0.21 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 0.47 | -0.36 | -0.77 | - |
| 2020 | 4.97 | 37.41 | 7.53 | + |
| 2021 | 0.75 | -4.69 | -6.28 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-03-30 | 2020-07-23 | -8.88 | 115 |
| 2020-03-13 | 2020-03-18 | -8.25 | 5 |
| 2020-03-19 | 2020-03-27 | -6.79 | 8 |
| 2021-01-08 | 2021-02-26 | -5.16 | 49 |
| 2020-11-07 | 2020-12-21 | -3.36 | 44 |
| 2020-09-30 | 2020-10-28 | -2.96 | 28 |
| 2020-02-03 | 2020-02-21 | -2.78 | 18 |
| 2020-08-09 | 2020-08-21 | -2.66 | 12 |
| 2020-08-24 | 2020-09-02 | -2.17 | 9 |
| 2020-12-23 | 2021-01-05 | -2.16 | 13 |