| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 90.0% | 100.0% |
| Cumulative Return | 15.08% | 28.43% |
| CAGR% | 6.16% | 11.23% |
| Sharpe | 3.42 | 3.93 |
| Sortino | 5.49 | 164.72 |
| Max Drawdown | -1.7% | -0.11% |
| Longest DD Days | 5 | 66 |
| Volatility (ann.) | 1.82% | 2.83% |
| R^2 | 0.06 | 0.06 |
| Calmar | 3.62 | 102.15 |
| Skew | 1.74 | 13.42 |
| Kurtosis | 202.7 | 181.17 |
| Expected Daily % | 0.02% | 0.04% |
| Expected Monthly % | 0.49% | 0.87% |
| Expected Yearly % | 4.79% | 8.7% |
| Kelly Criterion | 84.74% | 77.19% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.16% | -0.25% |
| Expected Shortfall (cVaR) | -1.7% | -1.7% |
| Payoff Ratio | 0.35 | 0.51 |
| Profit Factor | 6.71 | 119.6 |
| Common Sense Ratio | inf | 4629.17 |
| CPC Index | 2.24 | 56.72 |
| Tail Ratio | inf | 38.71 |
| Outlier Win Ratio | 3.76 | 2.3 |
| Outlier Loss Ratio | 0.11 | 2.41 |
| MTD | 0.96% | 1.19% |
| 3M | 3.68% | 10.73% |
| 6M | 5.78% | 14.12% |
| YTD | 4.77% | 12.99% |
| 1Y | 8.92% | 18.49% |
| 3Y (ann.) | 6.16% | 11.23% |
| 5Y (ann.) | 6.16% | 11.23% |
| 10Y (ann.) | 6.16% | 11.23% |
| All-time (ann.) | 6.16% | 11.23% |
| Best Day | 1.82% | 2.47% |
| Worst Day | -1.7% | -0.1% |
| Best Month | 1.42% | 7.61% |
| Worst Month | 0.2% | -0.07% |
| Best Year | 5.55% | 12.99% |
| Worst Year | 4.07% | 4.87% |
| Avg. Drawdown | -0.1% | -0.1% |
| Avg. Drawdown Days | 2 | 34 |
| Recovery Factor | 8.85 | 258.56 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 0.5% | 0.94% |
| Avg. Down Month | nan% | nan% |
| Win Days % | 96.07% | 92.25% |
| Win Month % | 100.0% | 93.1% |
| Win Quarter % | 100.0% | 100.0% |
| Win Year % | 100.0% | 100.0% |
| Beta | 0.16 | - |
| Alpha | 0.05 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 4.87 | 4.07 | 0.83 | - |
| 2021 | 8.39 | 5.55 | 0.66 | - |
| 2022 | 12.99 | 4.77 | 0.37 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-21 | 2022-02-22 | -1.70 | 1 |
| 2020-01-21 | 2020-01-23 | -0.10 | 2 |
| 2020-03-30 | 2020-04-02 | -0.05 | 3 |
| 2020-02-18 | 2020-02-19 | -0.03 | 1 |
| 2020-03-24 | 2020-03-25 | -0.03 | 1 |
| 2020-02-28 | 2020-03-02 | -0.02 | 3 |
| 2020-03-16 | 2020-03-17 | -0.02 | 1 |
| 2020-05-08 | 2020-05-13 | -0.02 | 5 |
| 2020-06-08 | 2020-06-09 | -0.02 | 1 |
| 2020-01-27 | 2020-01-28 | -0.01 | 1 |