| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 98.0% |
| Cumulative Return | 6.26% | 1.69% |
| CAGR% | 35.46% | 8.72% |
| Sharpe | 1.75 | 0.77 |
| Sortino | 2.69 | 1.21 |
| Max Drawdown | -2.91% | -3.8% |
| Longest DD Days | 21 | 36 |
| Volatility (ann.) | 19.65% | 12.61% |
| R^2 | 0.33 | 0.33 |
| Calmar | 12.21 | 2.29 |
| Skew | -0.11 | 0.39 |
| Kurtosis | 0.72 | 0.63 |
| Expected Daily % | 0.13% | 0.04% |
| Expected Monthly % | 2.04% | 0.56% |
| Expected Yearly % | 3.08% | 0.84% |
| Kelly Criterion | 18.0% | 5.19% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.9% | -1.27% |
| Expected Shortfall (cVaR) | -2.56% | -2.56% |
| Payoff Ratio | 1.13 | 1.12 |
| Profit Factor | 0.36 | 0.14 |
| Common Sense Ratio | 0.34 | 0.19 |
| CPC Index | 0.23 | 0.08 |
| Tail Ratio | 0.96 | 1.35 |
| Outlier Win Ratio | 2.73 | 3.94 |
| Outlier Loss Ratio | 2.46 | 3.85 |
| MTD | 0.05% | -1.49% |
| 3M | 6.26% | 1.69% |
| 6M | 6.26% | 1.69% |
| YTD | 2.49% | 0.29% |
| 1Y | 6.26% | 1.69% |
| 3Y (ann.) | 35.46% | 8.72% |
| 5Y (ann.) | 35.46% | 8.72% |
| 10Y (ann.) | 35.46% | 8.72% |
| All-time (ann.) | 35.46% | 8.72% |
| Best Day | 2.98% | 1.98% |
| Worst Day | -2.91% | -1.6% |
| Best Month | 3.67% | 1.8% |
| Worst Month | 0.05% | -1.49% |
| Best Year | 3.67% | 1.39% |
| Worst Year | 2.49% | 0.29% |
| Avg. Drawdown | -1.98% | -2.1% |
| Avg. Drawdown Days | 6 | 17 |
| Recovery Factor | 2.15 | 0.44 |
| Ulcer Index | 1.06 | inf |
| Avg. Up Month | 3.06% | 1.6% |
| Avg. Down Month | nan% | nan% |
| Win Days % | 56.52% | 50.0% |
| Win Month % | 100.0% | 66.67% |
| Win Quarter % | 100.0% | 100.0% |
| Win Year % | 100.0% | 100.0% |
| Beta | 0.89 | - |
| Alpha | 0.26 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 1.39 | 3.67 | 2.64 | + |
| 2021 | 0.29 | 2.49 | 8.63 | + |
| 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 |
| 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 |
| 2020-12-17 | 2020-12-18 | -0.39 | 1 |