| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 51.0% | 100.0% |
| Cumulative Return | 103.91% | 90.73% |
| CAGR﹪ | 104.31% | 91.07% |
| Sharpe | 1.99 | 1.45 |
| Smart Sharpe | 1.96 | 1.43 |
| Sortino | 3.66 | 2.38 |
| Smart Sortino | 3.61 | 2.35 |
| Sortino/√2 | 2.58 | 1.68 |
| Smart Sortino/√2 | 2.55 | 1.66 |
| Omega | 1.57 | 1.57 |
| Max Drawdown | -17.8% | -46.13% |
| Longest DD Days | 94 | 173 |
| Volatility (ann.) | 39.72% | 54.93% |
| R^2 | 0.02 | 0.02 |
| Calmar | 5.86 | 1.97 |
| Skew | 1.74 | 0.96 |
| Kurtosis | 13.72 | 6.43 |
| Expected Daily % | 0.2% | 0.18% |
| Expected Monthly % | 6.12% | 5.53% |
| Expected Yearly % | 103.91% | 90.73% |
| Kelly Criterion | 19.94% | 20.75% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.2% | -4.51% |
| Expected Shortfall (cVaR) | -3.2% | -4.51% |
| Gain/Pain Ratio | 0.57 | 0.27 |
| Gain/Pain (1M) | 4.28 | 1.31 |
| Payoff Ratio | 1.31 | 1.7 |
| Profit Factor | 1.57 | 1.27 |
| Common Sense Ratio | 2.4 | 1.44 |
| CPC Index | 1.12 | 1.08 |
| Tail Ratio | 1.53 | 1.14 |
| Outlier Win Ratio | 11.04 | 4.19 |
| Outlier Loss Ratio | 3.9 | 4.0 |
| MTD | -5.74% | -4.64% |
| 3M | -2.47% | -9.39% |
| 6M | 6.23% | -36.7% |
| YTD | 103.91% | 90.73% |
| 1Y | 103.91% | 90.73% |
| 3Y (ann.) | 104.31% | 91.07% |
| 5Y (ann.) | 104.31% | 91.07% |
| 10Y (ann.) | 104.31% | 91.07% |
| All-time (ann.) | 104.31% | 91.07% |
| Best Day | 14.37% | 18.14% |
| Worst Day | -10.4% | -10.24% |
| Best Month | 34.79% | 50.8% |
| Worst Month | -8.21% | -16.35% |
| Best Year | 103.91% | 90.73% |
| Worst Year | 103.91% | 90.73% |
| Avg. Drawdown | -5.13% | -8.19% |
| Avg. Drawdown Days | 20 | 23 |
| Recovery Factor | 5.84 | 1.97 |
| Ulcer Index | 0.08 | 0.22 |
| Serenity Index | 1.84 | 0.3 |
| Avg. Up Month | 15.32% | 28.05% |
| Avg. Down Month | -2.68% | -7.66% |
| Win Days % | 54.64% | 50.14% |
| Win Month % | 58.33% | 50.0% |
| Win Quarter % | 75.0% | 50.0% |
| Win Year % | 100.0% | 100.0% |
| Beta | 0.1 | - |
| Alpha | 0.71 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 90.73 | 103.91 | 1.15 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2019-06-28 | 2019-09-30 | -17.80 | 94 |
| 2019-11-26 | 2019-12-31 | -12.84 | 35 |
| 2019-10-01 | 2019-11-23 | -12.12 | 53 |
| 2019-05-16 | 2019-06-25 | -8.81 | 40 |
| 2019-02-25 | 2019-04-02 | -6.17 | 36 |
| 2019-01-15 | 2019-02-19 | -5.96 | 35 |
| 2019-04-25 | 2019-05-03 | -5.18 | 8 |
| 2019-04-09 | 2019-04-23 | -3.01 | 14 |
| 2019-05-13 | 2019-05-14 | -2.62 | 1 |
| 2019-05-08 | 2019-05-09 | -2.07 | 1 |