| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 46.07% | 46.56% |
| CAGR% | 55.79% | 56.4% |
| Sharpe | 1.96 | 1.96 |
| Sortino | 2.9 | 2.94 |
| Max Drawdown | -13.54% | -15.4% |
| Longest DD Days | 90 | 90 |
| Volatility (ann.) | 24.87% | 25.17% |
| R^2 | 0.95 | 0.95 |
| Calmar | 4.13 | 3.68 |
| Skew | -0.42 | -0.18 |
| Kurtosis | 7.46 | 7.68 |
| Expected Daily % | 0.18% | 0.18% |
| Expected Monthly % | 3.5% | 3.54% |
| Expected Yearly % | 20.86% | 21.06% |
| Kelly Criterion | 16.95% | 17.85% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.38% | -2.41% |
| Expected Shortfall (cVaR) | -4.23% | -4.23% |
| Payoff Ratio | 1.03 | 1.01 |
| Profit Factor | 0.44 | 0.44 |
| Common Sense Ratio | 0.52 | 0.47 |
| CPC Index | 0.26 | 0.26 |
| Tail Ratio | 1.19 | 1.07 |
| Outlier Win Ratio | 3.28 | 3.27 |
| Outlier Loss Ratio | 4.32 | 4.33 |
| MTD | 4.86% | 5.04% |
| 3M | 21.45% | 21.64% |
| 6M | 29.13% | 28.76% |
| YTD | 4.86% | 5.04% |
| 1Y | 46.07% | 46.56% |
| 3Y (ann.) | 56.0% | 56.61% |
| 5Y (ann.) | 56.0% | 56.61% |
| 10Y (ann.) | 56.0% | 56.61% |
| All-time (ann.) | 56.0% | 56.61% |
| Best Day | 7.25% | 7.69% |
| Worst Day | -8.53% | -8.25% |
| Best Month | 15.06% | 15.46% |
| Worst Month | -5.74% | -5.83% |
| Best Year | 39.3% | 39.53% |
| Worst Year | 4.86% | 5.04% |
| Avg. Drawdown | -2.63% | -2.85% |
| Avg. Drawdown Days | 11 | 12 |
| Recovery Factor | 3.4 | 3.02 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 5.26% | 5.35% |
| Avg. Down Month | -3.68% | -3.88% |
| Win Days % | 57.84% | 58.65% |
| Win Month % | 81.82% | 81.82% |
| Win Quarter % | 100.0% | 100.0% |
| Win Year % | 100.0% | 100.0% |
| Beta | 0.96 | - |
| Alpha | 0.01 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 39.67 | 39.44 | 0.99 | - |
| 2021 | 5.06 | 4.87 | 0.96 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-03-11 | 2020-03-26 | -13.59 | 15 |
| 2020-08-14 | 2020-11-12 | -10.59 | 90 |
| 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 |
| 2020-12-18 | 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 |
| 2021-01-15 | 2021-01-15 | -1.32 | 0 |