| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 95.0% | 99.0% |
| Cumulative Return | 20.92% | 21.55% |
| CAGR% | 7.44% | 7.65% |
| Sharpe | 2.05 | 2.84 |
| Sortino | 3.01 | 4.04 |
| Max Drawdown | -6.22% | -5.44% |
| Longest DD Days | 216 | 236 |
| Volatility (ann.) | 3.54% | 2.62% |
| R^2 | 0.6 | 0.6 |
| Calmar | 1.2 | 1.41 |
| Skew | -0.26 | -1.48 |
| Kurtosis | 34.21 | 36.25 |
| Expected Daily % | 0.03% | 0.03% |
| Expected Monthly % | 0.6% | 0.61% |
| Expected Yearly % | 6.54% | 6.72% |
| Kelly Criterion | 16.82% | 29.14% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.34% | -0.24% |
| Expected Shortfall (cVaR) | -0.74% | -0.74% |
| Payoff Ratio | 0.9 | 0.95 |
| Profit Factor | 0.58 | 0.92 |
| Common Sense Ratio | 0.77 | 1.4 |
| CPC Index | 0.32 | 0.57 |
| Tail Ratio | 1.32 | 1.52 |
| Outlier Win Ratio | 3.52 | 4.73 |
| Outlier Loss Ratio | 3.67 | 5.18 |
| MTD | -0.21% | -0.15% |
| 3M | 0.89% | 0.75% |
| 6M | 1.02% | 0.72% |
| YTD | 0.25% | 0.6% |
| 1Y | 1.9% | 2.01% |
| 3Y (ann.) | 7.47% | 7.68% |
| 5Y (ann.) | 7.47% | 7.68% |
| 10Y (ann.) | 7.47% | 7.68% |
| All-time (ann.) | 7.47% | 7.68% |
| Best Day | 2.36% | 1.53% |
| Worst Day | -2.09% | -1.53% |
| Best Month | 3.97% | 3.43% |
| Worst Month | -1.53% | -1.63% |
| Best Year | 11.47% | 11.85% |
| Worst Year | 0.25% | 0.6% |
| Avg. Drawdown | -0.23% | -0.17% |
| Avg. Drawdown Days | 8 | 7 |
| Recovery Factor | 3.36 | 3.96 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 0.97% | 0.95% |
| Avg. Down Month | -0.55% | -0.41% |
| Win Days % | 60.57% | 65.5% |
| Win Month % | 75.0% | 78.12% |
| Win Quarter % | 75.0% | 75.0% |
| Win Year % | 100.0% | 100.0% |
| Beta | 1.05 | - |
| Alpha | -0.01 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 11.89 | 11.52 | 0.97 | - |
| 2020 | 8.06 | 8.24 | 1.02 | + |
| 2021 | 0.60 | 0.25 | 0.41 | - |
| 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 | 2019-03-21 | -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 |
| 2020-10-02 | 2020-10-12 | -0.31 | 10 |