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 |