| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 79.0% | 99.0% |
| Cumulative Return | 910.07% | 89.49% |
| CAGR% | 50.05% | 11.87% |
| Sharpe | 1.29 | 0.73 |
| Sortino | 2.1 | 1.01 |
| Max Drawdown | -30.11% | -33.8% |
| Longest DD Days | 364 | 835 |
| Volatility (ann.) | 36.64% | 17.62% |
| R^2 | 0.08 | 0.08 |
| Calmar | 1.66 | 0.35 |
| Skew | 0.83 | -0.72 |
| Kurtosis | 8.5 | 5.8 |
| Expected Daily % | 0.16% | 0.04% |
| Expected Monthly % | 3.41% | 0.93% |
| Expected Yearly % | 47.03% | 11.24% |
| Kelly Criterion | 12.73% | 7.94% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.61% | -1.77% |
| Expected Shortfall (cVaR) | -3.61% | -1.77% |
| Payoff Ratio | 1.23 | 1.02 |
| Profit Factor | 1.31 | 1.14 |
| Common Sense Ratio | 1.59 | 1.17 |
| CPC Index | 0.84 | 0.62 |
| Tail Ratio | 1.21 | 1.03 |
| Outlier Win Ratio | 4.11 | 6.68 |
| Outlier Loss Ratio | 2.88 | 5.7 |
| MTD | 1.24% | 0.55% |
| 3M | -2.93% | 1.5% |
| 6M | 49.81% | 7.95% |
| YTD | 65.36% | 18.55% |
| 1Y | 197.37% | 35.02% |
| 3Y (ann.) | 67.76% | 6.47% |
| 5Y (ann.) | 60.08% | 13.61% |
| 10Y (ann.) | 50.05% | 11.87% |
| All-time (ann.) | 50.05% | 11.87% |
| Best Day | 18.08% | 5.08% |
| Worst Day | -14.45% | -8.29% |
| Best Month | 39.87% | 16.48% |
| Worst Month | -25.7% | -13.75% |
| Best Year | 146.25% | 19.74% |
| Worst Year | 9.29% | -0.86% |
| Avg. Drawdown | -5.75% | -2.46% |
| Avg. Drawdown Days | 28 | 27 |
| Recovery Factor | 30.22 | 2.65 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 10.97% | 3.53% |
| Avg. Down Month | -11.18% | -3.9% |
| Win Days % | 51.92% | 53.48% |
| Win Month % | 72.73% | 68.12% |
| Win Quarter % | 68.18% | 78.26% |
| Win Year % | 100.0% | 83.33% |
| Beta | 0.59 | - |
| Alpha | 0.4 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2016 | 16.24 | 27.00 | 1.66 | + |
| 2017 | 19.74 | 9.29 | 0.47 | - |
| 2018 | -0.86 | 31.23 | -36.41 | + |
| 2019 | 13.98 | 36.19 | 2.59 | + |
| 2020 | 1.63 | 146.25 | 89.72 | + |
| 2021 | 18.55 | 65.36 | 3.52 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2017-06-07 | 2017-08-25 | -30.11 | 79 |
| 2018-05-23 | 2019-05-22 | -25.42 | 364 |
| 2020-10-19 | 2020-11-13 | -22.81 | 25 |
| 2021-06-24 | 2021-09-14 | -21.89 | 82 |
| 2019-05-28 | 2019-10-15 | -19.37 | 140 |
| 2019-11-08 | 2020-04-20 | -18.11 | 164 |
| 2016-12-29 | 2017-03-24 | -16.16 | 85 |
| 2017-11-22 | 2018-03-27 | -15.97 | 125 |
| 2016-10-26 | 2016-12-01 | -14.38 | 36 |
| 2021-05-04 | 2021-05-25 | -13.24 | 21 |