| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 1.0% | 1.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 29.75% | 56.74% |
| CAGR% | 12.99% | 23.44% |
| Sharpe | 0.64 | 1.0 |
| Sortino | 0.87 | 1.4 |
| Max Drawdown | -35.48% | -33.68% |
| Longest DD Days | 293 | 172 |
| Volatility (ann.) | 24.68% | 25.24% |
| R^2 | 0.38 | 0.38 |
| Calmar | 0.37 | 0.7 |
| Skew | -0.98 | -0.63 |
| Kurtosis | 8.63 | 14.83 |
| Expected Daily % | 0.05% | 0.09% |
| Expected Monthly % | 1.01% | 1.74% |
| Expected Yearly % | 9.07% | 16.16% |
| Kelly Criterion | -1.59% | 3.34% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.49% | -2.51% |
| Expected Shortfall (cVaR) | -3.98% | -3.98% |
| Payoff Ratio | 0.76 | 0.79 |
| Profit Factor | 0.13 | 0.24 |
| Common Sense Ratio | 0.12 | 0.19 |
| CPC Index | 0.05 | 0.11 |
| Tail Ratio | 0.98 | 0.81 |
| Outlier Win Ratio | 4.22 | 4.59 |
| Outlier Loss Ratio | 3.9 | 4.67 |
| MTD | -1.62% | -1.9% |
| 3M | -5.36% | 5.3% |
| 6M | -2.0% | 12.29% |
| YTD | 0.8% | 19.96% |
| 1Y | 16.19% | 32.78% |
| 3Y (ann.) | 13.02% | 23.51% |
| 5Y (ann.) | 13.02% | 23.51% |
| 10Y (ann.) | 13.02% | 23.51% |
| All-time (ann.) | 13.02% | 23.51% |
| Best Day | 8.01% | 9.36% |
| Worst Day | -11.54% | -11.93% |
| Best Month | 10.98% | 12.78% |
| Worst Month | -14.5% | -12.29% |
| Best Year | 13.74% | 19.96% |
| Worst Year | 0.8% | 10.76% |
| Avg. Drawdown | -3.63% | -1.65% |
| Avg. Drawdown Days | 30 | 9 |
| Recovery Factor | 0.84 | 1.68 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 4.1% | 4.43% |
| Avg. Down Month | -6.09% | -6.54% |
| Win Days % | 56.11% | 57.23% |
| Win Month % | 69.23% | 76.92% |
| Win Quarter % | 77.78% | 88.89% |
| Win Year % | 100.0% | 100.0% |
| Beta | 0.6 | - |
| Alpha | 0.01 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 10.80 | 13.22 | 1.22 | + |
| 2020 | 17.99 | 13.76 | 0.76 | - |
| 2021 | 20.03 | 0.80 | 0.04 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-01-17 | 2020-11-05 | -35.59 | 293 |
| 2021-02-17 | 2021-09-17 | -13.58 | 212 |
| 2019-09-16 | 2019-10-17 | -5.14 | 31 |
| 2021-01-26 | 2021-02-09 | -4.93 | 14 |
| 2019-11-08 | 2019-12-12 | -4.63 | 34 |
| 2019-08-05 | 2019-09-05 | -3.48 | 31 |
| 2020-11-10 | 2020-11-20 | -2.90 | 10 |
| 2020-12-21 | 2020-12-30 | -2.18 | 9 |
| 2020-11-30 | 2020-12-03 | -2.00 | 3 |
| 2020-01-06 | 2020-01-09 | -1.72 | 3 |