| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 75.0% | 100.0% |
| Cumulative Return | 70.6% | 90.73% |
| CAGR﹪ | 70.85% | 91.07% |
| Sharpe | 1.28 | 1.45 |
| Smart Sharpe | 1.25 | 1.41 |
| Sortino | 2.25 | 2.38 |
| Smart Sortino | 2.19 | 2.32 |
| Sortino/√2 | 1.59 | 1.68 |
| Smart Sortino/√2 | 1.55 | 1.64 |
| Omega | 1.27 | 1.27 |
| Max Drawdown | -28.78% | -46.13% |
| Longest DD Days | 186 | 173 |
| Volatility (ann.) | 52.02% | 54.93% |
| R^2 | 0.3 | 0.3 |
| Calmar | 2.46 | 1.97 |
| Skew | 1.45 | 0.96 |
| Kurtosis | 8.5 | 6.43 |
| Expected Daily % | 0.15% | 0.18% |
| Expected Monthly % | 4.55% | 5.53% |
| Expected Yearly % | 70.6% | 90.73% |
| Kelly Criterion | 6.41% | 20.54% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.3% | -4.51% |
| Expected Shortfall (cVaR) | -4.3% | -4.51% |
| Gain/Pain Ratio | 0.27 | 0.27 |
| Gain/Pain (1M) | 1.98 | 1.31 |
| Payoff Ratio | 1.45 | 1.68 |
| Profit Factor | 1.27 | 1.27 |
| Common Sense Ratio | 1.77 | 1.44 |
| CPC Index | 0.82 | 1.07 |
| Tail Ratio | 1.4 | 1.14 |
| Outlier Win Ratio | 6.31 | 4.61 |
| Outlier Loss Ratio | 4.25 | 4.34 |
| MTD | -10.15% | -4.64% |
| 3M | -3.8% | -9.39% |
| 6M | -19.31% | -36.7% |
| YTD | 70.6% | 90.73% |
| 1Y | 70.6% | 90.73% |
| 3Y (ann.) | 70.85% | 91.07% |
| 5Y (ann.) | 70.85% | 91.07% |
| 10Y (ann.) | 70.85% | 91.07% |
| All-time (ann.) | 70.85% | 91.07% |
| Best Day | 18.79% | 18.14% |
| Worst Day | -9.91% | -10.24% |
| Best Month | 44.26% | 50.8% |
| Worst Month | -14.53% | -16.35% |
| Best Year | 70.6% | 90.73% |
| Worst Year | 70.6% | 90.73% |
| Avg. Drawdown | -6.14% | -8.19% |
| Avg. Drawdown Days | 24 | 23 |
| Recovery Factor | 2.45 | 1.97 |
| Ulcer Index | 0.17 | 0.22 |
| Serenity Index | 0.39 | 0.3 |
| Avg. Up Month | 17.41% | 25.63% |
| Avg. Down Month | -7.07% | -9.27% |
| Win Days % | 44.69% | 50.14% |
| Win Month % | 58.33% | 50.0% |
| Win Quarter % | 25.0% | 50.0% |
| Win Year % | 100.0% | 100.0% |
| Beta | 0.52 | - |
| Alpha | 0.25 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 90.73 | 70.60 | 0.78 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2019-06-28 | 2019-12-31 | -28.78 | 186 |
| 2019-01-08 | 2019-04-03 | -14.91 | 85 |
| 2019-04-12 | 2019-05-04 | -9.88 | 22 |
| 2019-05-28 | 2019-06-17 | -9.47 | 20 |
| 2019-05-17 | 2019-05-27 | -9.42 | 10 |
| 2019-01-04 | 2019-01-07 | -4.57 | 3 |
| 2019-06-24 | 2019-06-25 | -2.01 | 1 |
| 2019-06-19 | 2019-06-21 | -1.41 | 2 |
| 2019-04-05 | 2019-04-06 | -1.37 | 1 |
| 2019-05-05 | 2019-05-09 | -1.36 | 4 |