| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 1.0% | 1.0% |
| Time in Market | 98.0% | 98.0% |
| Cumulative Return | 3.81% | 4.22% |
| CAGR% | 19.05% | 21.29% |
| Sharpe | 1.6 | 1.52 |
| Sortino | 2.4 | 2.31 |
| Max Drawdown | -2.88% | -3.62% |
| Longest DD Days | 13 | 10 |
| Volatility (ann.) | 13.39% | 15.76% |
| R^2 | 0.26 | 0.26 |
| Calmar | 6.65 | 5.9 |
| Skew | -0.17 | -0.09 |
| Kurtosis | -0.02 | 2.18 |
| Expected Daily % | 0.08% | 0.09% |
| Expected Monthly % | 1.25% | 1.39% |
| Expected Yearly % | 1.89% | 2.09% |
| Kelly Criterion | 8.68% | 12.58% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.3% | -1.54% |
| Expected Shortfall (cVaR) | -1.5% | -1.5% |
| Payoff Ratio | 0.95 | 1.27 |
| Profit Factor | 0.31 | 0.32 |
| Common Sense Ratio | 0.35 | 0.27 |
| CPC Index | 0.16 | 0.21 |
| Tail Ratio | 1.12 | 0.83 |
| Outlier Win Ratio | 3.39 | 2.87 |
| Outlier Loss Ratio | 3.33 | 3.39 |
| MTD | 1.34% | 2.75% |
| 3M | 3.81% | 4.22% |
| 6M | 3.81% | 4.22% |
| YTD | 1.87% | 2.38% |
| 1Y | 3.81% | 4.22% |
| 3Y (ann.) | 19.12% | 21.37% |
| 5Y (ann.) | 19.12% | 21.37% |
| 10Y (ann.) | 19.12% | 21.37% |
| All-time (ann.) | 19.12% | 21.37% |
| Best Day | 1.76% | 3.01% |
| Worst Day | -1.8% | -2.56% |
| Best Month | 1.9% | 2.75% |
| Worst Month | 0.52% | -0.36% |
| Best Year | 1.9% | 2.38% |
| Worst Year | 1.87% | 1.81% |
| Avg. Drawdown | -1.1% | -1.37% |
| Avg. Drawdown Days | 5 | 7 |
| Recovery Factor | 1.32 | 1.17 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 1.62% | 2.28% |
| Avg. Down Month | nan% | nan% |
| Win Days % | 55.56% | 51.11% |
| Win Month % | 100.0% | 66.67% |
| Win Quarter % | 100.0% | 100.0% |
| Win Year % | 100.0% | 100.0% |
| Beta | 0.43 | - |
| Alpha | 0.11 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 1.81 | 1.91 | 1.05 | + |
| 2021 | 2.38 | 1.88 | 0.79 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-02-22 | 2021-02-26 | -2.89 | 4 |
| 2021-01-26 | 2021-02-08 | -2.33 | 13 |
| 2020-12-18 | 2020-12-28 | -1.79 | 10 |
| 2021-01-15 | 2021-01-20 | -1.43 | 5 |
| 2020-12-15 | 2020-12-16 | -0.85 | 1 |
| 2021-02-12 | 2021-02-19 | -0.80 | 7 |
| 2021-02-09 | 2021-02-11 | -0.70 | 2 |
| 2021-01-05 | 2021-01-06 | -0.63 | 1 |
| 2021-01-13 | 2021-01-14 | -0.31 | 1 |
| 2021-01-22 | 2021-01-25 | -0.30 | 3 |