| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 1.0% | 1.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | 7.19% | 0.96% |
| CAGR% | 13.05% | 1.77% |
| Sharpe | 0.89 | 0.26 |
| Sortino | 1.14 | 0.36 |
| Max Drawdown | -16.13% | -33.68% |
| Longest DD Days | 106 | 133 |
| Volatility (ann.) | 16.27% | 43.29% |
| R^2 | 0.34 | 0.34 |
| Calmar | 0.81 | 0.05 |
| Skew | -2.08 | -0.38 |
| Kurtosis | 16.01 | 4.96 |
| Expected Daily % | 0.05% | 0.01% |
| Expected Monthly % | 0.87% | 0.12% |
| Expected Yearly % | 3.53% | 0.48% |
| Kelly Criterion | -2.31% | -15.47% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.63% | -4.44% |
| Expected Shortfall (cVaR) | -4.43% | -4.43% |
| Payoff Ratio | 0.59 | 0.6 |
| Profit Factor | 0.22 | 0.05 |
| Common Sense Ratio | 0.25 | 0.05 |
| CPC Index | 0.08 | 0.02 |
| Tail Ratio | 1.14 | 0.85 |
| Outlier Win Ratio | 10.93 | 3.52 |
| Outlier Loss Ratio | 8.84 | 3.26 |
| MTD | 0.5% | 0.98% |
| 3M | 8.79% | 21.65% |
| 6M | 6.07% | -1.79% |
| YTD | 6.07% | -1.79% |
| 1Y | 7.19% | 0.96% |
| 3Y (ann.) | 13.09% | 1.71% |
| 5Y (ann.) | 13.09% | 1.71% |
| 10Y (ann.) | 13.09% | 1.71% |
| All-time (ann.) | 13.09% | 1.71% |
| Best Day | 4.3% | 9.36% |
| Worst Day | -6.03% | -11.93% |
| Best Month | 5.26% | 12.78% |
| Worst Month | -3.51% | -12.29% |
| Best Year | 6.07% | 2.8% |
| Worst Year | 1.06% | -1.79% |
| Avg. Drawdown | -2.05% | -3.53% |
| Avg. Drawdown Days | 15 | 15 |
| Recovery Factor | 0.45 | 0.03 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 2.06% | 3.93% |
| Avg. Down Month | -2.57% | -10.25% |
| Win Days % | 61.9% | 56.82% |
| Win Month % | 75.0% | 75.0% |
| Win Quarter % | 75.0% | 75.0% |
| Win Year % | 100.0% | 50.0% |
| Beta | 0.22 | - |
| Alpha | 0.12 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 2.81 | 1.06 | 0.38 | - |
| 2020 | -1.83 | 6.09 | -3.32 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-25 | 2020-06-10 | -16.18 | 106 |
| 2020-06-11 | 2020-06-19 | -1.10 | 8 |
| 2020-06-25 | 2020-07-02 | -0.99 | 7 |
| 2020-01-06 | 2020-01-16 | -0.82 | 10 |
| 2019-12-17 | 2019-12-23 | -0.32 | 6 |
| 2019-12-30 | 2020-01-03 | -0.31 | 4 |
| 2020-02-03 | 2020-02-07 | -0.31 | 4 |
| 2020-01-27 | 2020-01-29 | -0.20 | 2 |
| 2020-02-12 | 2020-02-13 | -0.20 | 1 |
| 2019-12-10 | 2019-12-12 | -0.11 | 2 |