| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 56.03% | 56.95% |
| CAGR% | 69.13% | 70.32% |
| Sharpe | 2.49 | 2.44 |
| Sortino | 4.04 | 4.0 |
| Max Drawdown | -10.55% | -10.99% |
| Longest DD Days | 90 | 90 |
| Volatility (ann.) | 22.93% | 23.82% |
| R^2 | 0.96 | 0.96 |
| Calmar | 6.58 | 6.42 |
| Skew | 0.44 | 0.53 |
| Kurtosis | 4.97 | 5.43 |
| Expected Daily % | 0.22% | 0.22% |
| Expected Monthly % | 4.13% | 4.18% |
| Expected Yearly % | 24.91% | 25.28% |
| Kelly Criterion | 20.19% | 20.48% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.15% | -2.24% |
| Expected Shortfall (cVaR) | -3.46% | -3.46% |
| Payoff Ratio | 1.1 | 1.09 |
| Profit Factor | 0.56 | 0.55 |
| Common Sense Ratio | 0.69 | 0.63 |
| CPC Index | 0.36 | 0.35 |
| Tail Ratio | 1.22 | 1.14 |
| Outlier Win Ratio | 3.38 | 3.27 |
| Outlier Loss Ratio | 3.97 | 3.9 |
| MTD | 4.86% | 5.05% |
| 3M | 21.45% | 21.37% |
| 6M | 29.13% | 29.17% |
| YTD | 4.86% | 5.05% |
| 1Y | 56.03% | 56.95% |
| 3Y (ann.) | 69.41% | 70.61% |
| 5Y (ann.) | 69.41% | 70.61% |
| 10Y (ann.) | 69.41% | 70.61% |
| All-time (ann.) | 69.41% | 70.61% |
| Best Day | 7.25% | 7.53% |
| Worst Day | -4.77% | -5.07% |
| Best Month | 15.06% | 15.23% |
| Worst Month | -5.74% | -5.86% |
| Best Year | 48.8% | 49.41% |
| Worst Year | 4.86% | 5.05% |
| Avg. Drawdown | -2.42% | -2.61% |
| Avg. Drawdown Days | 10 | 10 |
| Recovery Factor | 5.31 | 5.18 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 6.02% | 6.14% |
| Avg. Down Month | -3.68% | -3.84% |
| Win Days % | 58.21% | 58.54% |
| Win Month % | 81.82% | 81.82% |
| Win Quarter % | 100.0% | 100.0% |
| Win Year % | 100.0% | 100.0% |
| Beta | 0.94 | - |
| Alpha | 0.02 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 49.60 | 48.99 | 0.99 | - |
| 2021 | 5.07 | 4.87 | 0.96 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-08-14 | 2020-11-12 | -10.59 | 90 |
| 2020-03-16 | 2020-03-20 | -7.68 | 4 |
| 2020-04-10 | 2020-05-19 | -7.23 | 39 |
| 2020-06-04 | 2020-07-06 | -4.10 | 32 |
| 2020-03-27 | 2020-03-31 | -3.89 | 4 |
| 2020-03-23 | 2020-03-24 | -3.59 | 1 |
| 2020-12-18 | 2020-12-29 | -2.85 | 11 |
| 2020-07-07 | 2020-07-17 | -2.03 | 10 |
| 2020-05-21 | 2020-05-28 | -1.70 | 7 |
| 2020-04-01 | 2020-04-02 | -1.49 | 1 |