| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 10.63% | 17.27% |
| CAGR% | 4.18% | 6.68% |
| Sharpe | 0.42 | 9.42 |
| Sortino | 0.53 | 103.49 |
| Max Drawdown | -17.76% | -0.1% |
| Longest DD Days | 224 | 1 |
| Volatility (ann.) | 11.82% | 0.71% |
| R^2 | 0.03 | 0.03 |
| Calmar | 0.24 | 66.76 |
| Skew | -4.55 | 15.34 |
| Kurtosis | 73.72 | 252.85 |
| Expected Daily % | 0.02% | 0.03% |
| Expected Monthly % | 0.34% | 0.53% |
| Expected Yearly % | 2.56% | 4.06% |
| Kelly Criterion | 43.25% | 99.25% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.21% | -0.05% |
| Expected Shortfall (cVaR) | -2.86% | -2.86% |
| Payoff Ratio | 4.12 | 0.29 |
| Profit Factor | 0.1 | 159.43 |
| Common Sense Ratio | 0.11 | 489.5 |
| CPC Index | 0.23 | 45.87 |
| Tail Ratio | 1.08 | 3.07 |
| Outlier Win Ratio | 2.18 | 31.14 |
| Outlier Loss Ratio | 1.84 | 8.21 |
| MTD | -0.71% | 0.98% |
| 3M | -4.79% | 3.75% |
| 6M | -9.72% | 5.88% |
| YTD | -9.72% | 5.09% |
| 1Y | -8.24% | 9.14% |
| 3Y (ann.) | 4.18% | 6.68% |
| 5Y (ann.) | 4.18% | 6.68% |
| 10Y (ann.) | 4.18% | 6.68% |
| All-time (ann.) | 4.18% | 6.68% |
| Best Day | 4.59% | 0.77% |
| Worst Day | -10.6% | -0.1% |
| Best Month | 6.61% | 1.55% |
| Worst Month | -9.74% | 0.37% |
| Best Year | 16.9% | 5.82% |
| Worst Year | -9.72% | 0.47% |
| Avg. Drawdown | -1.63% | -0.1% |
| Avg. Drawdown Days | 25 | 1 |
| Recovery Factor | 0.6 | 172.74 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 2.05% | 0.49% |
| Avg. Down Month | nan% | nan% |
| Win Days % | 54.34% | 99.83% |
| Win Month % | 58.62% | 100.0% |
| Win Quarter % | 63.64% | 100.0% |
| Win Year % | 75.0% | 100.0% |
| Beta | 2.74 | - |
| Alpha | -0.13 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 0.47 | 1.29 | 2.75 | + |
| 2020 | 4.97 | 16.90 | 3.40 | + |
| 2021 | 5.82 | 3.49 | 0.60 | - |
| 2022 | 5.09 | -9.72 | -1.91 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-15 | 2022-05-27 | -17.76 | 224 |
| 2020-02-25 | 2020-04-23 | -9.63 | 58 |
| 2021-01-12 | 2021-05-18 | -4.37 | 126 |
| 2020-08-07 | 2020-11-16 | -3.48 | 101 |
| 2020-05-26 | 2020-06-30 | -2.18 | 35 |
| 2021-06-03 | 2021-07-05 | -1.97 | 32 |
| 2021-09-15 | 2021-10-05 | -1.73 | 20 |
| 2020-11-17 | 2020-12-14 | -1.63 | 27 |
| 2021-07-08 | 2021-08-17 | -1.62 | 40 |
| 2020-01-21 | 2020-02-17 | -0.96 | 27 |