| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
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| Cumulative Return | 660.21% | 255.34% |
| CAGR% | 25.75% | 15.4% |
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| Sharpe | 0.8 | 0.95 |
| Sortino | 1.21 | 1.32 |
| Sortino/√2 | 0.86 | 0.93 |
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| Max Drawdown | -53.62% | -33.72% |
| Longest DD Days | 532 | 272 |
| Volatility (ann.) | 37.32% | 16.6% |
| R^2 | 0.23 | 0.23 |
| Calmar | 0.48 | 0.46 |
| Skew | 0.95 | -0.7 |
| Kurtosis | 18.55 | 17.87 |
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| Expected Daily % | 0.09% | 0.06% |
| Expected Monthly % | 1.91% | 1.19% |
| Expected Yearly % | 22.49% | 13.52% |
| Kelly Criterion | 4.86% | 6.4% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.75% | -1.66% |
| Expected Shortfall (cVaR) | -3.75% | -1.66% |
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| Gain/Pain Ratio | 0.17 | 0.21 |
| Gain/Pain (1M) | 0.97 | 1.55 |
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| Payoff Ratio | 0.98 | 0.88 |
| Profit Factor | 1.17 | 1.21 |
| Common Sense Ratio | 1.23 | 1.16 |
| CPC Index | 0.6 | 0.6 |
| Tail Ratio | 1.05 | 0.96 |
| Outlier Win Ratio | 2.79 | 6.78 |
| Outlier Loss Ratio | 3.02 | 6.72 |
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| MTD | 12.81% | 2.74% |
| 3M | 5.15% | 5.85% |
| 6M | 15.09% | 18.69% |
| YTD | 6.4% | 4.52% |
| 1Y | 94.1% | 72.97% |
| 3Y (ann.) | 20.77% | 15.99% |
| 5Y (ann.) | 20.94% | 15.91% |
| 10Y (ann.) | 25.75% | 15.4% |
| All-time (ann.) | 25.75% | 15.4% |
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| Best Day | 29.61% | 9.06% |
| Worst Day | -18.96% | -10.94% |
| Best Month | 47.91% | 12.7% |
| Worst Month | -30.19% | -12.49% |
| Best Year | 105.3% | 32.31% |
| Worst Year | -30.37% | -4.57% |
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| Avg. Drawdown | -5.17% | -1.53% |
| Avg. Drawdown Days | 29 | 14 |
| Recovery Factor | 12.31 | 7.57 |
| Ulcer Index | inf | 1.02 |
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| Avg. Up Month | 9.12% | 3.34% |
| Avg. Down Month | -6.18% | -4.42% |
| Win Days % | 52.94% | 56.09% |
| Win Month % | 60.75% | 73.83% |
| Win Quarter % | 69.44% | 86.11% |
| Win Year % | 80.0% | 90.0% |
| Beta | 1.08 | - |
| Alpha | 0.13 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2012 | 10.75 | -30.37 | -2.82 | - |
| 2013 | 32.31 | 105.30 | 3.26 | + |
| 2014 | 13.46 | 42.76 | 3.18 | + |
| 2015 | 1.23 | 34.15 | 27.66 | + |
| 2016 | 12.00 | 9.93 | 0.83 | - |
| 2017 | 21.71 | 53.38 | 2.46 | + |
| 2018 | -4.57 | -25.71 | 5.63 | - |
| 2019 | 31.22 | 56.57 | 1.81 | + |
| 2020 | 18.33 | 33.09 | 1.80 | + |
| 2021 | 4.52 | 6.40 | 1.42 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2012-05-21 | 2013-08-05 | -53.62 | 441 |
| 2018-07-26 | 2020-01-09 | -42.96 | 532 |
| 2020-01-30 | 2020-05-20 | -34.59 | 111 |
| 2014-03-11 | 2014-07-24 | -22.06 | 135 |
| 2018-02-02 | 2018-06-01 | -21.17 | 119 |
| 2020-08-27 | 2021-03-23 | -19.17 | 208 |
| 2013-10-21 | 2013-12-17 | -17.34 | 57 |
| 2015-07-22 | 2015-10-19 | -16.57 | 89 |
| 2016-10-25 | 2017-02-08 | -13.68 | 106 |
| 2015-11-12 | 2016-01-28 | -13.62 | 77 |