| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 98.0% |
| Cumulative Return | 5.91% | 3.26% |
| CAGR% | 34.37% | 17.93% |
| Sharpe | 1.96 | 29.38 |
| Sortino | 3.12 | 73.48 |
| Max Drawdown | -3.22% | -0.1% |
| Longest DD Days | 37 | 5 |
| Volatility (ann.) | 16.04% | 0.57% |
| R^2 | 0.12 | 0.12 |
| Calmar | 10.66 | 179.15 |
| Skew | 0.26 | -0.02 |
| Kurtosis | 1.72 | 19.97 |
| Expected Daily % | 0.12% | 0.07% |
| Expected Monthly % | 1.93% | 1.07% |
| Expected Yearly % | 2.91% | 1.62% |
| Kelly Criterion | 49.92% | 95.02% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.54% | -0.01% |
| Expected Shortfall (cVaR) | -2.07% | -2.07% |
| Payoff Ratio | 8.27 | 0.75 |
| Profit Factor | 0.39 | 32.07 |
| Common Sense Ratio | 0.35 | 32.33 |
| CPC Index | 1.77 | 23.45 |
| Tail Ratio | 0.92 | 1.01 |
| Outlier Win Ratio | 1.81 | 20.53 |
| Outlier Loss Ratio | 1.45 | 10.71 |
| MTD | 0.3% | 0.82% |
| 3M | 5.91% | 3.26% |
| 6M | 5.91% | 3.26% |
| YTD | 0.3% | 0.82% |
| 1Y | 5.91% | 3.26% |
| 3Y (ann.) | 34.37% | 17.93% |
| 5Y (ann.) | 34.37% | 17.93% |
| 10Y (ann.) | 34.37% | 17.93% |
| All-time (ann.) | 34.37% | 17.93% |
| Best Day | 3.42% | 0.24% |
| Worst Day | -2.33% | -0.1% |
| Best Month | 4.61% | 1.51% |
| Worst Month | 0.3% | 0.82% |
| Best Year | 5.6% | 2.42% |
| Worst Year | 0.3% | 0.82% |
| Avg. Drawdown | -1.8% | -0.1% |
| Avg. Drawdown Days | 12 | 5 |
| Recovery Factor | 1.83 | 32.57 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 1.95% | 1.08% |
| Avg. Down Month | nan% | nan% |
| Win Days % | 55.32% | 97.87% |
| Win Month % | 100.0% | 100.0% |
| Win Quarter % | 100.0% | 100.0% |
| Win Year % | 100.0% | 100.0% |
| Beta | 9.81 | - |
| Alpha | -1.34 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.42 | 5.60 | 2.32 | + |
| 2022 | 0.82 | 0.30 | 0.36 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-29 | 2022-01-05 | -3.22 | 37 |
| 2022-01-06 | 2022-01-19 | -2.96 | 13 |
| 2021-11-23 | 2021-11-26 | -1.38 | 3 |
| 2021-11-17 | 2021-11-19 | -1.35 | 2 |
| 2021-11-10 | 2021-11-15 | -0.10 | 5 |