| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 96.0% | 96.0% |
| Cumulative Return | 32.02% | 48.89% |
| CAGR% | 11.47% | 16.81% |
| Sharpe | 0.52 | 0.82 |
| Sortino | 0.69 | 1.12 |
| Max Drawdown | -34.6% | -34.69% |
| Longest DD Days | 185 | 185 |
| Volatility (ann.) | 29.8% | 22.09% |
| R^2 | 0.58 | 0.58 |
| Calmar | 0.33 | 0.49 |
| Skew | -2.82 | -0.78 |
| Kurtosis | 76.91 | 8.89 |
| Expected Daily % | 0.04% | 0.06% |
| Expected Monthly % | 0.9% | 1.29% |
| Expected Yearly % | 7.19% | 10.46% |
| Kelly Criterion | 5.23% | 4.85% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.03% | -2.22% |
| Expected Shortfall (cVaR) | -5.95% | -5.95% |
| Payoff Ratio | 0.76 | 0.8 |
| Profit Factor | 0.14 | 0.18 |
| Common Sense Ratio | 0.13 | 0.18 |
| CPC Index | 0.06 | 0.08 |
| Tail Ratio | 0.95 | 1.01 |
| Outlier Win Ratio | 4.69 | 4.95 |
| Outlier Loss Ratio | 3.87 | 4.48 |
| MTD | -14.72% | -3.1% |
| 3M | -19.07% | -7.72% |
| 6M | -15.32% | -3.91% |
| YTD | -20.63% | -9.93% |
| 1Y | -2.1% | 10.94% |
| 3Y (ann.) | 11.48% | 16.85% |
| 5Y (ann.) | 11.48% | 16.85% |
| 10Y (ann.) | 11.48% | 16.85% |
| All-time (ann.) | 11.48% | 16.85% |
| Best Day | 19.23% | 8.28% |
| Worst Day | -26.13% | -8.96% |
| Best Month | 11.07% | 11.11% |
| Worst Month | -14.72% | -11.75% |
| Best Year | 27.32% | 27.54% |
| Worst Year | -20.63% | -9.93% |
| Avg. Drawdown | -2.29% | -1.97% |
| Avg. Drawdown Days | 11 | 11 |
| Recovery Factor | 0.93 | 1.41 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 3.82% | 3.69% |
| Avg. Down Month | -7.79% | -5.99% |
| Win Days % | 59.12% | 57.79% |
| Win Month % | 74.19% | 77.42% |
| Win Quarter % | 81.82% | 81.82% |
| Win Year % | 75.0% | 75.0% |
| Beta | 1.03 | - |
| Alpha | -0.03 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 13.64 | 13.80 | 1.01 | + |
| 2020 | 14.12 | 14.87 | 1.05 | + |
| 2021 | 27.64 | 27.43 | 0.99 | - |
| 2022 | -9.97 | -20.74 | 2.08 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-21 | 2020-08-24 | -34.71 | 185 |
| 2022-01-03 | 2022-02-25 | -33.56 | 53 |
| 2020-09-03 | 2020-11-09 | -9.02 | 67 |
| 2021-09-07 | 2021-10-25 | -5.28 | 48 |
| 2021-02-16 | 2021-03-16 | -5.05 | 28 |
| 2021-11-26 | 2021-12-27 | -4.55 | 31 |
| 2019-09-20 | 2019-10-28 | -4.54 | 38 |
| 2021-01-22 | 2021-02-05 | -3.00 | 14 |
| 2021-05-11 | 2021-06-01 | -2.96 | 21 |
| 2021-07-14 | 2021-07-23 | -2.91 | 9 |