| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 19.95% | 3.25% |
| CAGR% | 37.19% | 5.71% |
| Sharpe | 1.38 | 22.2 |
| Sortino | 2.03 | 42.55 |
| Max Drawdown | -9.6% | -0.1% |
| Longest DD Days | 75 | 1 |
| Volatility (ann.) | 25.91% | 0.26% |
| R^2 | 0.0 | 0.0 |
| Calmar | 3.87 | 57.08 |
| Skew | -0.51 | 1.58 |
| Kurtosis | 8.67 | 64.5 |
| Expected Daily % | 0.13% | 0.02% |
| Expected Monthly % | 2.3% | 0.4% |
| Expected Yearly % | 9.52% | 1.61% |
| Kelly Criterion | 46.76% | 96.15% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.54% | -0.0% |
| Expected Shortfall (cVaR) | -5.19% | -5.19% |
| Payoff Ratio | 11.32 | 0.23 |
| Profit Factor | 0.33 | 31.94 |
| Common Sense Ratio | 0.48 | 49.97 |
| CPC Index | 1.93 | 7.16 |
| Tail Ratio | 1.44 | 1.56 |
| Outlier Win Ratio | 1.95 | 90.76 |
| Outlier Loss Ratio | 3.0 | 26.61 |
| MTD | 0.5% | 0.1% |
| 3M | 2.66% | 1.31% |
| 6M | 20.52% | 2.74% |
| YTD | 21.25% | 2.76% |
| 1Y | 19.95% | 3.25% |
| 3Y (ann.) | 37.19% | 5.71% |
| 5Y (ann.) | 37.19% | 5.71% |
| 10Y (ann.) | 37.19% | 5.71% |
| All-time (ann.) | 37.19% | 5.71% |
| Best Day | 7.44% | 0.16% |
| Worst Day | -8.04% | -0.1% |
| Best Month | 11.75% | 0.48% |
| Worst Month | -5.72% | 0.1% |
| Best Year | 21.25% | 2.76% |
| Worst Year | -1.08% | 0.47% |
| Avg. Drawdown | -3.52% | -0.1% |
| Avg. Drawdown Days | 16 | 1 |
| Recovery Factor | 2.08 | 32.45 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 4.35% | 0.39% |
| Avg. Down Month | nan% | nan% |
| Win Days % | 51.08% | 99.29% |
| Win Month % | 75.0% | 100.0% |
| Win Quarter % | 50.0% | 100.0% |
| Win Year % | 50.0% | 100.0% |
| Beta | -1.83 | - |
| Alpha | 0.46 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 0.47 | -1.08 | -2.29 | - |
| 2020 | 2.76 | 21.25 | 7.69 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-04-22 | 2020-07-06 | -9.60 | 75 |
| 2020-03-13 | 2020-03-18 | -8.04 | 5 |
| 2020-03-19 | 2020-03-27 | -6.93 | 8 |
| 2020-03-31 | 2020-04-21 | -5.51 | 21 |
| 2020-02-03 | 2020-02-10 | -2.24 | 7 |
| 2019-12-10 | 2020-01-21 | -2.14 | 42 |
| 2020-02-11 | 2020-02-18 | -1.33 | 7 |
| 2020-02-26 | 2020-03-05 | -1.24 | 8 |
| 2020-01-28 | 2020-01-30 | -1.18 | 2 |
| 2020-02-19 | 2020-02-20 | -0.37 | 1 |