| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 21.51% | 16.76% |
| CAGR% | 7.57% | 5.98% |
| Sharpe | 2.08 | 25.92 |
| Sortino | 3.05 | 94.95 |
| Max Drawdown | -6.25% | -0.1% |
| Longest DD Days | 216 | 3 |
| Volatility (ann.) | 3.55% | 0.22% |
| R^2 | 0.0 | 0.0 |
| Calmar | 1.21 | 59.77 |
| Skew | -0.27 | 12.83 |
| Kurtosis | 34.24 | 277.16 |
| Expected Daily % | 0.03% | 0.02% |
| Expected Monthly % | 0.59% | 0.47% |
| Expected Yearly % | 6.71% | 5.3% |
| Kelly Criterion | 30.2% | 99.22% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.34% | -0.0% |
| Expected Shortfall (cVaR) | -0.74% | -0.74% |
| Payoff Ratio | 1.31 | 0.24 |
| Profit Factor | 0.59 | 154.93 |
| Common Sense Ratio | 0.78 | 293.78 |
| CPC Index | 0.47 | 36.46 |
| Tail Ratio | 1.33 | 1.9 |
| Outlier Win Ratio | 2.18 | 12.24 |
| Outlier Loss Ratio | 2.22 | 2.79 |
| MTD | -0.21% | 0.54% |
| 3M | 0.89% | 1.74% |
| 6M | 1.03% | 3.08% |
| YTD | 0.25% | 4.5% |
| 1Y | 1.91% | 5.4% |
| 3Y (ann.) | 7.57% | 5.98% |
| 5Y (ann.) | 7.57% | 5.98% |
| 10Y (ann.) | 7.57% | 5.98% |
| All-time (ann.) | 7.57% | 5.98% |
| Best Day | 2.36% | 0.31% |
| Worst Day | -2.09% | -0.1% |
| Best Month | 3.99% | 0.63% |
| Worst Month | -1.54% | 0.37% |
| Best Year | 11.98% | 6.44% |
| Worst Year | 0.25% | 4.5% |
| Avg. Drawdown | -0.23% | -0.1% |
| Avg. Drawdown Days | 7 | 3 |
| Recovery Factor | 3.44 | 167.55 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 0.92% | 0.48% |
| Avg. Down Month | nan% | nan% |
| Win Days % | 60.45% | 99.85% |
| Win Month % | 75.76% | 100.0% |
| Win Quarter % | 75.0% | 100.0% |
| Win Year % | 100.0% | 100.0% |
| Beta | 0.53 | - |
| Alpha | 0.04 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 6.44 | 11.98 | 1.86 | + |
| 2020 | 4.97 | 8.24 | 1.66 | + |
| 2021 | 4.50 | 0.25 | 0.05 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-25 | 2020-04-24 | -6.25 | 59 |
| 2021-01-05 | 2021-08-09 | -1.19 | 216 |
| 2021-09-06 | 2021-10-22 | -0.76 | 46 |
| 2019-04-01 | 2019-04-02 | -0.49 | 1 |
| 2019-03-18 | 2019-03-25 | -0.47 | 7 |
| 2020-05-29 | 2020-06-17 | -0.44 | 19 |
| 2019-12-06 | 2019-12-16 | -0.40 | 10 |
| 2020-07-03 | 2020-07-16 | -0.36 | 13 |
| 2019-03-14 | 2019-03-15 | -0.35 | 1 |
| 2020-10-02 | 2020-10-12 | -0.31 | 10 |