| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 20.34% | 12.23% |
| CAGR% | 38.6% | 22.57% |
| Sharpe | 1.41 | 1.16 |
| Sortino | 2.08 | 2.18 |
| Max Drawdown | -9.6% | -15.67% |
| Longest DD Days | 72 | 106 |
| Volatility (ann.) | 26.18% | 19.6% |
| R^2 | 0.62 | 0.62 |
| Calmar | 4.02 | 1.44 |
| Skew | -0.52 | 1.75 |
| Kurtosis | 8.45 | 7.74 |
| Expected Daily % | 0.13% | 0.08% |
| Expected Monthly % | 2.34% | 1.45% |
| Expected Yearly % | 9.7% | 5.94% |
| Kelly Criterion | 14.53% | 7.34% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.57% | -1.94% |
| Expected Shortfall (cVaR) | -5.19% | -5.19% |
| Payoff Ratio | 1.31 | 1.47 |
| Profit Factor | 0.34 | 0.24 |
| Common Sense Ratio | 0.49 | 0.34 |
| CPC Index | 0.23 | 0.16 |
| Tail Ratio | 1.44 | 1.41 |
| Outlier Win Ratio | 3.52 | 3.82 |
| Outlier Loss Ratio | 4.21 | 5.49 |
| MTD | 0.83% | 0.13% |
| 3M | -0.34% | -9.42% |
| 6M | 21.64% | 15.14% |
| YTD | 21.64% | 15.14% |
| 1Y | 20.34% | 12.23% |
| 3Y (ann.) | 38.6% | 22.57% |
| 5Y (ann.) | 38.6% | 22.57% |
| 10Y (ann.) | 38.6% | 22.57% |
| All-time (ann.) | 38.6% | 22.57% |
| Best Day | 7.44% | 7.19% |
| Worst Day | -8.04% | -3.01% |
| Best Month | 11.75% | 17.19% |
| Worst Month | -5.72% | -5.72% |
| Best Year | 21.64% | 15.14% |
| Worst Year | -1.08% | -2.52% |
| Avg. Drawdown | -3.52% | -3.88% |
| Avg. Drawdown Days | 16 | 26 |
| Recovery Factor | 2.12 | 0.78 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 5.08% | 5.34% |
| Avg. Down Month | -3.4% | -4.12% |
| Win Days % | 51.45% | 44.93% |
| Win Month % | 75.0% | 62.5% |
| Win Quarter % | 50.0% | 50.0% |
| Win Year % | 50.0% | 50.0% |
| Beta | 1.05 | - |
| Alpha | 0.13 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | -2.52 | -1.08 | 0.43 | + |
| 2020 | 15.14 | 21.64 | 1.43 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-04-22 | 2020-07-03 | -9.60 | 72 |
| 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 |