| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 10.06% | 10.8% |
| CAGR% | 3.99% | 4.28% |
| Sharpe | 0.41 | 0.43 |
| Sortino | 0.51 | 0.55 |
| Max Drawdown | -17.7% | -17.38% |
| Longest DD Days | 224 | 224 |
| Volatility (ann.) | 11.87% | 11.81% |
| R^2 | 0.86 | 0.86 |
| Calmar | 0.23 | 0.25 |
| Skew | -4.52 | -4.46 |
| Kurtosis | 72.56 | 72.08 |
| Expected Daily % | 0.02% | 0.02% |
| Expected Monthly % | 0.32% | 0.34% |
| Expected Yearly % | 2.42% | 2.6% |
| Kelly Criterion | -0.17% | 6.97% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.21% | -1.2% |
| Expected Shortfall (cVaR) | -2.85% | -2.85% |
| Payoff Ratio | 0.85 | 0.83 |
| Profit Factor | 0.1 | 0.1 |
| Common Sense Ratio | 0.1 | 0.1 |
| CPC Index | 0.04 | 0.05 |
| Tail Ratio | 1.07 | 0.93 |
| Outlier Win Ratio | 4.59 | 4.75 |
| Outlier Loss Ratio | 3.98 | 3.81 |
| MTD | -0.71% | -0.94% |
| 3M | -4.76% | -4.28% |
| 6M | -9.68% | -9.25% |
| YTD | -9.68% | -9.4% |
| 1Y | -8.2% | -7.76% |
| 3Y (ann.) | 4.0% | 4.29% |
| 5Y (ann.) | 4.0% | 4.29% |
| 10Y (ann.) | 4.0% | 4.29% |
| All-time (ann.) | 4.0% | 4.29% |
| Best Day | 4.57% | 3.88% |
| Worst Day | -10.56% | -10.5% |
| Best Month | 6.59% | 6.34% |
| Worst Month | -9.7% | -9.9% |
| Best Year | 16.84% | 16.77% |
| Worst Year | -9.68% | -9.4% |
| Avg. Drawdown | -1.67% | -1.9% |
| Avg. Drawdown Days | 25 | 29 |
| Recovery Factor | 0.57 | 0.62 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 2.01% | 2.03% |
| Avg. Down Month | -2.06% | -2.04% |
| Win Days % | 54.06% | 57.75% |
| Win Month % | 60.0% | 60.0% |
| Win Quarter % | 63.64% | 63.64% |
| Win Year % | 75.0% | 75.0% |
| Beta | 0.93 | - |
| Alpha | 0.0 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 0.77 | 0.79 | 1.02 | + |
| 2020 | 16.83 | 16.90 | 1.00 | + |
| 2021 | 3.95 | 3.49 | 0.88 | - |
| 2022 | -9.44 | -9.72 | 1.03 | - |
| 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 |