Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 7.0% | 7.0% |
Time in Market | 96.0% | 99.0% |
Cumulative Return | 26.14% | 27.0% |
CAGR% | 7.08% | 7.29% |
Sharpe | 0.88 | 1.87 |
Sortino | 1.06 | 2.36 |
Max Drawdown | -15.81% | -8.25% |
Longest DD Days | 270 | 270 |
Volatility (ann.) | 8.53% | 3.95% |
R^2 | 0.59 | 0.59 |
Calmar | 0.45 | 0.89 |
Skew | -10.77 | -5.21 |
Kurtosis | 299.01 | 78.67 |
Expected Daily % | 0.03% | 0.03% |
Expected Monthly % | 0.57% | 0.58% |
Expected Yearly % | 5.98% | 6.16% |
Kelly Criterion | 7.74% | 21.03% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -0.85% | -0.38% |
Expected Shortfall (cVaR) | -2.27% | -2.27% |
Payoff Ratio | 0.77 | 0.85 |
Profit Factor | 0.39 | 0.62 |
Common Sense Ratio | 0.61 | 0.94 |
CPC Index | 0.18 | 0.34 |
Tail Ratio | 1.53 | 1.53 |
Outlier Win Ratio | 4.28 | 6.08 |
Outlier Loss Ratio | 4.16 | 6.18 |
MTD | 1.12% | 1.11% |
3M | 10.5% | 10.07% |
6M | 6.21% | 6.27% |
YTD | 4.4% | 4.71% |
1Y | 5.35% | 5.29% |
3Y (ann.) | 6.46% | 6.57% |
5Y (ann.) | 7.11% | 7.32% |
10Y (ann.) | 7.11% | 7.32% |
All-time (ann.) | 7.11% | 7.32% |
Best Day | 6.2% | 1.53% |
Worst Day | -11.72% | -3.82% |
Best Month | 5.59% | 5.26% |
Worst Month | -8.52% | -5.65% |
Best Year | 11.47% | 11.85% |
Worst Year | 0.16% | 0.38% |
Avg. Drawdown | -0.4% | -0.25% |
Avg. Drawdown Days | 10 | 9 |
Recovery Factor | 1.65 | 3.27 |
Ulcer Index | inf | inf |
Avg. Up Month | 1.34% | 1.3% |
Avg. Down Month | -1.76% | -1.33% |
Win Days % | 59.8% | 63.68% |
Win Month % | 73.17% | 73.17% |
Win Quarter % | 73.33% | 73.33% |
Win Year % | 100.0% | 100.0% |
Beta | 1.66 | - |
Alpha | -0.05 | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | 11.89 | 11.52 | 0.97 | - |
2020 | 8.06 | 8.24 | 1.02 | + |
2021 | 0.38 | 0.16 | 0.43 | - |
2022 | 4.73 | 4.41 | 0.93 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-09-06 | 2022-06-03 | -15.87 | 270 |
2020-02-25 | 2020-04-24 | -6.25 | 59 |
2021-01-05 | 2021-08-09 | -1.19 | 216 |
2022-06-14 | 2022-06-28 | -0.51 | 14 |
2019-04-01 | 2019-04-02 | -0.49 | 1 |
2019-03-18 | 2019-03-21 | -0.47 | 3 |
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 |