Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 99.0% | 99.0% |
Cumulative Return | 3.7% | 1.1% |
CAGR% | 18.27% | 5.19% |
Sharpe | 0.98 | 13.7 |
Sortino | 1.43 | 24.36 |
Max Drawdown | -2.91% | -0.1% |
Longest DD Days | 21 | 1 |
Volatility (ann.) | 20.46% | 0.39% |
R^2 | 0.03 | 0.03 |
Calmar | 6.29 | 51.92 |
Skew | -0.13 | 0.23 |
Kurtosis | 0.34 | 24.1 |
Expected Daily % | 0.07% | 0.02% |
Expected Monthly % | 1.22% | 0.37% |
Expected Yearly % | 1.83% | 0.55% |
Kelly Criterion | 49.27% | 88.82% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.04% | -0.02% |
Expected Shortfall (cVaR) | -2.72% | -2.72% |
Payoff Ratio | 9.72 | 0.22 |
Profit Factor | 0.18 | 10.96 |
Common Sense Ratio | 0.15 | 12.62 |
CPC Index | 0.96 | 2.34 |
Tail Ratio | 0.83 | 1.15 |
Outlier Win Ratio | 1.63 | 63.75 |
Outlier Loss Ratio | 1.49 | 14.41 |
MTD | 0.05% | 0.37% |
3M | 3.7% | 1.1% |
6M | 3.7% | 1.1% |
YTD | 2.49% | 0.75% |
1Y | 3.7% | 1.1% |
3Y (ann.) | 18.27% | 5.19% |
5Y (ann.) | 18.27% | 5.19% |
10Y (ann.) | 18.27% | 5.19% |
All-time (ann.) | 18.27% | 5.19% |
Best Day | 2.98% | 0.15% |
Worst Day | -2.91% | -0.1% |
Best Month | 2.44% | 0.37% |
Worst Month | 0.05% | 0.35% |
Best Year | 2.49% | 0.75% |
Worst Year | 1.18% | 0.35% |
Avg. Drawdown | -2.25% | -0.1% |
Avg. Drawdown Days | 8 | 1 |
Recovery Factor | 1.27 | 11.02 |
Ulcer Index | inf | inf |
Avg. Up Month | 1.22% | 0.37% |
Avg. Down Month | nan% | nan% |
Win Days % | 54.0% | 98.0% |
Win Month % | 100.0% | 100.0% |
Win Quarter % | 100.0% | 100.0% |
Win Year % | 100.0% | 100.0% |
Beta | -9.54 | - |
Alpha | 0.72 | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 0.35 | 1.18 | 3.35 | + |
2021 | 0.75 | 2.49 | 3.34 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-01-28 | 2021-02-03 | -2.91 | 6 |
2021-02-26 | 2021-02-26 | -2.75 | 0 |
2021-02-04 | 2021-02-25 | -2.75 | 21 |
2020-12-10 | 2020-12-21 | -2.59 | 11 |
2021-01-13 | 2021-01-21 | -2.17 | 8 |
2021-01-05 | 2021-01-08 | -1.83 | 3 |
2020-12-23 | 2021-01-04 | -1.83 | 12 |
2021-01-26 | 2021-01-27 | -1.18 | 1 |