| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 868.07% | 272.2% |
| CAGR% | 25.42% | 14.01% |
| Sharpe | 1.82 | 0.97 |
| Sortino | 2.74 | 1.36 |
| Max Drawdown | -13.2% | -19.35% |
| Longest DD Days | 254 | 277 |
| Volatility (ann.) | 12.95% | 14.65% |
| R^2 | 0.34 | 0.34 |
| Calmar | 1.93 | 0.72 |
| Skew | -0.14 | -0.43 |
| Kurtosis | 2.62 | 4.44 |
| Expected Daily % | 0.09% | 0.05% |
| Expected Monthly % | 1.89% | 1.09% |
| Expected Yearly % | 22.92% | 12.69% |
| Kelly Criterion | 13.56% | 7.35% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -1.46% |
| Expected Shortfall (cVaR) | -1.25% | -1.46% |
| Payoff Ratio | 1.02 | 0.91 |
| Profit Factor | 1.36 | 1.19 |
| Common Sense Ratio | 1.45 | 1.11 |
| CPC Index | 0.78 | 0.61 |
| Tail Ratio | 1.06 | 0.93 |
| Outlier Win Ratio | 3.62 | 3.66 |
| Outlier Loss Ratio | 3.99 | 3.59 |
| MTD | 4.61% | 4.03% |
| 3M | 15.16% | 8.86% |
| 6M | 24.54% | 15.86% |
| YTD | 8.49% | 3.98% |
| 1Y | 44.82% | 26.08% |
| 3Y (ann.) | 28.64% | 15.39% |
| 5Y (ann.) | 26.62% | 12.53% |
| 10Y (ann.) | 25.57% | 14.31% |
| All-time (ann.) | 25.42% | 14.01% |
| Best Day | 5.22% | 5.05% |
| Worst Day | -3.98% | -6.51% |
| Best Month | 9.2% | 10.92% |
| Worst Month | -7.16% | -8.8% |
| Best Year | 38.44% | 32.31% |
| Worst Year | 3.32% | -4.57% |
| Avg. Drawdown | -1.47% | -1.47% |
| Avg. Drawdown Days | 15 | 16 |
| Recovery Factor | 65.76 | 14.07 |
| Ulcer Index | 1.0 | 1.01 |
| Avg. Up Month | 3.74% | 3.15% |
| Avg. Down Month | -2.55% | -3.24% |
| Win Days % | 56.37% | 55.75% |
| Win Month % | 70.25% | 71.67% |
| Win Quarter % | 85.37% | 82.93% |
| Win Year % | 100.0% | 90.91% |
| Beta | 0.51 | - |
| Alpha | 0.16 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2010 | 16.75 | 21.08 | 1.26 | + |
| 2011 | 1.90 | 33.71 | 17.78 | + |
| 2012 | 15.99 | 16.44 | 1.03 | + |
| 2013 | 32.31 | 24.33 | 0.75 | - |
| 2014 | 13.46 | 29.69 | 2.21 | + |
| 2015 | 1.23 | 3.32 | 2.69 | + |
| 2016 | 12.00 | 35.66 | 2.97 | + |
| 2017 | 21.71 | 37.83 | 1.74 | + |
| 2018 | -4.57 | 9.76 | -2.14 | + |
| 2019 | 31.22 | 38.44 | 1.23 | + |
| 2020 | 3.98 | 8.49 | 2.13 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2018-08-28 | 2019-02-15 | -13.20 | 171 |
| 2015-07-22 | 2016-04-01 | -11.55 | 254 |
| 2010-04-16 | 2010-09-13 | -9.91 | 150 |
| 2018-01-29 | 2018-03-12 | -7.92 | 42 |
| 2012-10-04 | 2013-04-10 | -7.88 | 188 |
| 2018-03-16 | 2018-07-09 | -7.59 | 115 |
| 2011-08-04 | 2011-08-29 | -7.50 | 25 |
| 2013-05-22 | 2013-10-18 | -7.30 | 149 |
| 2014-12-01 | 2015-04-24 | -6.63 | 144 |
| 2012-03-28 | 2012-07-09 | -5.99 | 103 |