| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 76.21% | 16.89% |
| CAGR% | 23.47% | 5.98% |
| Sharpe | 0.89 | 19.61 |
| Sortino | 1.35 | 80.13 |
| Max Drawdown | -28.62% | -0.4% |
| Longest DD Days | 105 | 120 |
| Volatility (ann.) | 28.11% | 0.3% |
| R^2 | 0.0 | 0.0 |
| Calmar | 0.82 | 14.96 |
| Skew | 1.69 | -0.18 |
| Kurtosis | 127.8 | 2.59 |
| Expected Daily % | 0.08% | 0.02% |
| Expected Monthly % | 1.73% | 0.47% |
| Expected Yearly % | 15.22% | 3.98% |
| Kelly Criterion | 18.25% | 83.11% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.81% | -0.01% |
| Expected Shortfall (cVaR) | -6.53% | -6.53% |
| Payoff Ratio | 1.19 | 3.22 |
| Profit Factor | 0.27 | 25.57 |
| Common Sense Ratio | 0.3 | 176.33 |
| CPC Index | 0.18 | 71.83 |
| Tail Ratio | 1.11 | 6.9 |
| Outlier Win Ratio | 2.03 | 62.17 |
| Outlier Loss Ratio | 1.71 | 204.3 |
| MTD | -5.23% | 1.17% |
| 3M | -6.68% | 3.2% |
| 6M | -1.23% | 5.82% |
| YTD | -7.9% | 2.17% |
| 1Y | 14.79% | 9.24% |
| 3Y (ann.) | 23.47% | 5.98% |
| 5Y (ann.) | 23.47% | 5.98% |
| 10Y (ann.) | 23.47% | 5.98% |
| All-time (ann.) | 23.47% | 5.98% |
| Best Day | 27.14% | 0.11% |
| Worst Day | -23.62% | -0.1% |
| Best Month | 10.28% | 1.17% |
| Worst Month | -5.63% | -0.24% |
| Best Year | 37.71% | 8.39% |
| Worst Year | -7.9% | 0.6% |
| Avg. Drawdown | -2.51% | -0.2% |
| Avg. Drawdown Days | 15 | 63 |
| Recovery Factor | 2.66 | 42.26 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 3.93% | 0.55% |
| Avg. Down Month | -1.46% | -0.16% |
| Win Days % | 55.51% | 87.11% |
| Win Month % | 66.67% | 87.88% |
| Win Quarter % | 75.0% | 91.67% |
| Win Year % | 75.0% | 100.0% |
| Beta | -0.01 | - |
| Alpha | 0.25 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 0.60 | 9.36 | 15.49 | + |
| 2020 | 4.91 | 37.71 | 7.68 | + |
| 2021 | 8.39 | 27.04 | 3.22 | + |
| 2022 | 2.17 | -7.90 | -3.64 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-06 | 2022-02-25 | -28.62 | 50 |
| 2020-02-21 | 2020-06-05 | -18.08 | 105 |
| 2020-09-03 | 2020-10-12 | -7.86 | 39 |
| 2021-08-26 | 2021-11-03 | -6.36 | 69 |
| 2021-11-25 | 2021-12-29 | -5.47 | 34 |
| 2021-04-13 | 2021-07-05 | -5.44 | 83 |
| 2020-10-19 | 2020-11-09 | -5.31 | 21 |
| 2021-01-26 | 2021-03-18 | -4.39 | 51 |
| 2019-09-06 | 2019-11-11 | -4.34 | 66 |
| 2020-06-09 | 2020-07-02 | -3.81 | 23 |