| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 80.0% | 96.0% |
| Cumulative Return | 650.66% | 171.66% |
| CAGR% | 23.17% | 10.88% |
| Sharpe | 1.21 | 0.58 |
| Sortino | 1.79 | 0.86 |
| Max Drawdown | -19.33% | -33.8% |
| Longest DD Days | 611 | 835 |
| Volatility (ann.) | 18.67% | 21.95% |
| R^2 | 0.02 | 0.02 |
| Calmar | 1.2 | 0.32 |
| Skew | -0.13 | 2.53 |
| Kurtosis | 6.45 | 155.87 |
| Expected Daily % | 0.08% | 0.04% |
| Expected Monthly % | 1.74% | 0.86% |
| Expected Yearly % | 22.33% | 10.51% |
| Kelly Criterion | 12.01% | 3.5% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.84% | -2.22% |
| Expected Shortfall (cVaR) | -1.84% | -2.22% |
| Payoff Ratio | 1.04 | 0.94 |
| Profit Factor | 1.27 | 1.14 |
| Common Sense Ratio | 1.43 | 1.17 |
| CPC Index | 0.73 | 0.57 |
| Tail Ratio | 1.12 | 1.03 |
| Outlier Win Ratio | 4.57 | 3.98 |
| Outlier Loss Ratio | 3.36 | 3.79 |
| MTD | 0.68% | 0.85% |
| 3M | 10.38% | 2.45% |
| 6M | 23.38% | 12.19% |
| YTD | 53.16% | 18.9% |
| 1Y | 49.04% | 36.16% |
| 3Y (ann.) | 31.84% | 6.52% |
| 5Y (ann.) | 34.71% | 12.86% |
| 10Y (ann.) | 23.17% | 10.88% |
| All-time (ann.) | 23.17% | 10.88% |
| Best Day | 8.89% | 31.77% |
| Worst Day | -8.01% | -24.21% |
| Best Month | 20.78% | 16.48% |
| Worst Month | -12.58% | -13.75% |
| Best Year | 53.16% | 23.04% |
| Worst Year | -8.55% | -0.86% |
| Avg. Drawdown | -3.12% | -2.66% |
| Avg. Drawdown Days | 27 | 35 |
| Recovery Factor | 33.66 | 5.08 |
| Ulcer Index | 0.97 | inf |
| Avg. Up Month | 5.77% | 3.05% |
| Avg. Down Month | -3.5% | -3.12% |
| Win Days % | 55.06% | 53.3% |
| Win Month % | 62.5% | 65.81% |
| Win Quarter % | 75.0% | 71.79% |
| Win Year % | 80.0% | 90.0% |
| Beta | 0.11 | - |
| Alpha | 0.21 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2012 | 11.33 | -0.02 | -0.00 | - |
| 2013 | 23.04 | 21.60 | 0.94 | - |
| 2014 | 3.43 | 16.86 | 4.91 | + |
| 2015 | 2.57 | 23.86 | 9.30 | + |
| 2016 | 14.34 | -8.55 | -0.60 | - |
| 2017 | 19.74 | 46.39 | 2.35 | + |
| 2018 | -0.86 | 29.97 | -34.95 | + |
| 2019 | 13.98 | 27.08 | 1.94 | + |
| 2020 | 1.63 | 25.96 | 15.93 | + |
| 2021 | 18.90 | 53.16 | 2.81 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2015-11-09 | 2017-07-12 | -19.33 | 611 |
| 2018-12-04 | 2019-03-01 | -18.65 | 87 |
| 2013-04-01 | 2014-02-07 | -17.95 | 312 |
| 2020-09-02 | 2021-02-03 | -14.77 | 154 |
| 2014-04-04 | 2014-11-05 | -12.85 | 215 |
| 2015-07-31 | 2015-09-25 | -12.40 | 56 |
| 2019-10-22 | 2020-07-08 | -11.53 | 260 |
| 2021-03-15 | 2021-05-07 | -10.89 | 53 |
| 2013-02-04 | 2013-03-12 | -10.38 | 36 |
| 2018-01-29 | 2018-02-15 | -8.61 | 17 |