| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-free rate | 0.0% | 0.0% |
| Exposure % | 100.0% | 100.0% |
| Total Return | 402.17% | 155.79% |
| CAGR% | 22.16% | 6.58% |
| Sharpe | 0.81 | 1.11 |
| Sortino | 1.15 | 1.43 |
| Max Drawdown | -36.54% | -13.89% |
| Longest DD Days | 441 | 272 |
| Volatility (ann.) | 37.02% | 12.89% |
| R^2 | 0.15 | 0.15 |
| Calmar | 0.41 | 0.34 |
| Skew | 1.31 | -0.36 |
| Kurtosis | 22.95 | 3.52 |
| Expected Daily % | 0.09% | 0.05% |
| Expected Monthly % | 1.92% | 1.11% |
| Expected Yearly % | 22.35% | 12.46% |
| Kelly Criterion | 93.06% | 91.98% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | 5.54% | 1.95% |
| Expected Shortfall (cVaR) | 6.33% | 2.22% |
| Payoff Ratio | -1.17 | -1.22 |
| Profit Factor | 0.17 | 0.22 |
| Common Sense Ratio | 0.19 | 0.21 |
| CPC Index | -0.11 | -0.15 |
| Tail Ratio | 1.11 | 0.96 |
| Outlier Win Ratio | 2.64 | 7.26 |
| Outlier Loss Ratio | 2.82 | 7.08 |
| MTD | -0.73% | -1.13% |
| 3M | 13.43% | 7.36% |
| 6M | 29.12% | 7.43% |
| YTD | 46.45% | 16.84% |
| 1Y | 8.7% | 11.4% |
| 3Y (ann.) | -15.38% | -20.77% |
| 5Y (ann.) | 17.94% | -6.4% |
| 10Y (ann.) | 22.16% | 6.58% |
| All-time (ann.) | 22.16% | 6.58% |
| Best Day | 29.61% | 5.05% |
| Worst Day | -18.96% | -4.18% |
| Best Month | 47.91% | 8.53% |
| Worst Month | -30.19% | -8.81% |
| Best Year | 105.3% | 32.3% |
| Worst Year | -30.37% | -4.57% |
| Avg. Drawdown | -3.35% | -0.85% |
| Avg. Drawdown Days | 26 | 15 |
| Recovery Factor | 7.5 | 8.05 |
| Avg. Up Month | 5.14% | 1.86% |
| Avg. Down Month | -2.66% | -0.7% |
| Win Days % | 52.64% | 55.84% |
| Win Month % | 61.18% | 75.29% |
| Win Quarter % | 68.97% | 86.21% |
| Win Year % | 75.0% | 87.5% |
| Beta | 1.11 | - |
| Alpha | 0.14 | - |
| Year | Benchmark | Strategy | Diff% | Won |
|---|---|---|---|---|
| 2012 | 10.75 | -30.37 | -2.82 | - |
| 2013 | 32.30 | 105.30 | 3.26 | + |
| 2014 | 13.46 | 42.76 | 3.18 | + |
| 2015 | 1.24 | 34.15 | 27.57 | + |
| 2016 | 12.00 | 9.93 | 0.83 | - |
| 2017 | 21.70 | 53.38 | 2.46 | + |
| 2018 | -4.57 | -25.71 | 5.62 | - |
| 2019 | 16.84 | 46.45 | 2.76 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2018-07-26 | 2019-05-07 | -36.54 | 285 |
| 2012-05-21 | 2013-08-05 | -26.81 | 441 |
| 2018-02-02 | 2018-06-01 | -17.67 | 119 |
| 2014-03-11 | 2014-07-24 | -14.41 | 135 |
| 2015-07-22 | 2015-10-19 | -11.93 | 89 |
| 2016-10-25 | 2017-02-08 | -10.63 | 106 |
| 2013-10-21 | 2013-12-17 | -10.17 | 57 |
| 2016-02-02 | 2016-03-29 | -10.14 | 56 |
| 2015-11-12 | 2016-01-28 | -10.09 | 77 |
| 2016-05-11 | 2016-07-19 | -7.26 | 69 |