| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 46.24% | 3.14% |
| CAGR% | 56.22% | 3.7% |
| Sharpe | 1.96 | 0.3 |
| Sortino | 2.89 | 0.49 |
| Max Drawdown | -13.59% | -15.67% |
| Longest DD Days | 90 | 302 |
| Volatility (ann.) | 24.96% | 17.74% |
| R^2 | 0.31 | 0.31 |
| Calmar | 4.14 | 0.24 |
| Skew | -0.42 | 1.39 |
| Kurtosis | 7.46 | 7.7 |
| Expected Daily % | 0.18% | 0.01% |
| Expected Monthly % | 3.52% | 0.28% |
| Expected Yearly % | 20.93% | 1.56% |
| Kelly Criterion | 20.19% | -2.8% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.39% | -1.82% |
| Expected Shortfall (cVaR) | -4.24% | -4.24% |
| Payoff Ratio | 1.12 | 1.1 |
| Profit Factor | 0.44 | 0.05 |
| Common Sense Ratio | 0.52 | 0.07 |
| CPC Index | 0.28 | 0.03 |
| Tail Ratio | 1.19 | 1.27 |
| Outlier Win Ratio | 2.71 | 3.31 |
| Outlier Loss Ratio | 3.03 | 4.48 |
| MTD | 4.87% | -1.03% |
| 3M | 21.53% | -5.15% |
| 6M | 29.25% | 3.74% |
| YTD | 4.87% | -1.03% |
| 1Y | 46.24% | 3.14% |
| 3Y (ann.) | 56.22% | 3.7% |
| 5Y (ann.) | 56.22% | 3.7% |
| 10Y (ann.) | 56.22% | 3.7% |
| All-time (ann.) | 56.22% | 3.7% |
| Best Day | 7.27% | 7.19% |
| Worst Day | -8.56% | -3.01% |
| Best Month | 15.12% | 9.77% |
| Worst Month | -5.76% | -5.72% |
| Best Year | 39.44% | 4.22% |
| Worst Year | 4.87% | -1.03% |
| Avg. Drawdown | -2.64% | -9.34% |
| Avg. Drawdown Days | 11 | 153 |
| Recovery Factor | 3.4 | 0.2 |
| Ulcer Index | inf | 1.01 |
| Avg. Up Month | 3.47% | 5.26% |
| Avg. Down Month | nan% | nan% |
| Win Days % | 57.84% | 46.15% |
| Win Month % | 81.82% | 45.45% |
| Win Quarter % | 100.0% | 40.0% |
| Win Year % | 100.0% | 50.0% |
| Beta | -0.78 | - |
| Alpha | 0.53 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 4.22 | 39.44 | 9.34 | + |
| 2021 | -1.03 | 4.87 | -4.71 | + |
| 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 |