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 |