| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 90.0% | 100.0% |
| Cumulative Return | 30.48% | 6.64% |
| CAGR% | 24.39% | 5.42% |
| Sharpe | 1.09 | 23.02 |
| Sortino | 1.63 | 378.99 |
| Max Drawdown | -8.88% | -0.11% |
| Longest DD Days | 115 | 68 |
| Volatility (ann.) | 20.6% | 0.21% |
| R^2 | 0.0 | 0.0 |
| Calmar | 2.75 | 49.25 |
| Skew | -0.18 | -0.15 |
| Kurtosis | 11.83 | -1.06 |
| Expected Daily % | 0.08% | 0.02% |
| Expected Monthly % | 1.79% | 0.43% |
| Expected Yearly % | 9.27% | 2.17% |
| Kelly Criterion | 11.46% | 80.87% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.05% | -0.0% |
| Expected Shortfall (cVaR) | -4.11% | -4.11% |
| Payoff Ratio | 1.14 | 12.2 |
| Profit Factor | 0.25 | 58.45 |
| Common Sense Ratio | 0.33 | 941.1 |
| CPC Index | 0.15 | 586.92 |
| Tail Ratio | 1.32 | 16.1 |
| Outlier Win Ratio | 2.49 | 80.61 |
| Outlier Loss Ratio | 1.81 | 813.87 |
| MTD | -4.65% | 0.63% |
| 3M | -2.3% | 2.24% |
| 6M | 1.08% | 3.24% |
| YTD | -4.69% | 1.31% |
| 1Y | 25.5% | 5.55% |
| 3Y (ann.) | 24.39% | 5.42% |
| 5Y (ann.) | 24.39% | 5.42% |
| 10Y (ann.) | 24.39% | 5.42% |
| All-time (ann.) | 24.39% | 5.42% |
| Best Day | 8.2% | 0.04% |
| Worst Day | -8.25% | -0.0% |
| Best Month | 12.58% | 0.83% |
| Worst Month | -4.65% | -0.07% |
| Best Year | 37.41% | 4.91% |
| Worst Year | -4.69% | 0.34% |
| Avg. Drawdown | -3.02% | -0.11% |
| Avg. Drawdown Days | 20 | 68 |
| Recovery Factor | 3.43 | 60.4 |
| Ulcer Index | 1.12 | 0.56 |
| Avg. Up Month | 4.58% | 0.48% |
| Avg. Down Month | nan% | nan% |
| Win Days % | 52.88% | 82.32% |
| Win Month % | 66.67% | 86.67% |
| Win Quarter % | 50.0% | 100.0% |
| Win Year % | 33.33% | 100.0% |
| Beta | -2.91 | - |
| Alpha | 0.37 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 0.34 | -0.36 | -1.07 | - |
| 2020 | 4.91 | 37.41 | 7.61 | + |
| 2021 | 1.31 | -4.69 | -3.59 | - |
| 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 |
| 2020-11-09 | 2020-12-21 | -3.36 | 42 |
| 2020-09-30 | 2020-10-28 | -2.96 | 28 |
| 2020-02-03 | 2020-02-21 | -2.78 | 18 |
| 2020-08-10 | 2020-08-21 | -2.66 | 11 |
| 2020-08-24 | 2020-09-02 | -2.17 | 9 |
| 2020-12-23 | 2021-01-05 | -2.16 | 13 |