| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 57.0% | 100.0% |
| Cumulative Return | 86.88% | 90.73% |
| CAGR﹪ | 87.21% | 91.07% |
| Sharpe | 1.75 | 1.45 |
| Smart Sharpe | 1.75 | 1.44 |
| Sortino | 3.77 | 2.38 |
| Smart Sortino | 3.76 | 2.38 |
| Sortino/√2 | 2.66 | 1.68 |
| Smart Sortino/√2 | 2.66 | 1.68 |
| Omega | 1.48 | 1.48 |
| Max Drawdown | -17.76% | -46.13% |
| Longest DD Days | 185 | 173 |
| Volatility (ann.) | 40.28% | 54.93% |
| R^2 | 0.25 | 0.25 |
| Calmar | 4.91 | 1.97 |
| Skew | 3.01 | 0.96 |
| Kurtosis | 19.79 | 6.43 |
| Expected Daily % | 0.17% | 0.18% |
| Expected Monthly % | 5.35% | 5.53% |
| Expected Yearly % | 86.88% | 90.73% |
| Kelly Criterion | 11.22% | 28.44% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.28% | -4.51% |
| Expected Shortfall (cVaR) | -3.28% | -4.51% |
| Gain/Pain Ratio | 0.48 | 0.27 |
| Gain/Pain (1M) | 3.94 | 1.31 |
| Payoff Ratio | 2.16 | 2.3 |
| Profit Factor | 1.48 | 1.27 |
| Common Sense Ratio | 2.54 | 1.44 |
| CPC Index | 1.26 | 1.46 |
| Tail Ratio | 1.71 | 1.14 |
| Outlier Win Ratio | 9.54 | 4.23 |
| Outlier Loss Ratio | 4.98 | 3.57 |
| MTD | 0.34% | -4.64% |
| 3M | 7.88% | -9.39% |
| 6M | -4.65% | -36.7% |
| YTD | 86.88% | 90.73% |
| 1Y | 86.88% | 90.73% |
| 3Y (ann.) | 87.21% | 91.07% |
| 5Y (ann.) | 87.21% | 91.07% |
| 10Y (ann.) | 87.21% | 91.07% |
| All-time (ann.) | 87.21% | 91.07% |
| Best Day | 18.65% | 18.14% |
| Worst Day | -6.57% | -10.24% |
| Best Month | 34.56% | 50.8% |
| Worst Month | -12.49% | -16.35% |
| Best Year | 86.88% | 90.73% |
| Worst Year | 86.88% | 90.73% |
| Avg. Drawdown | -4.99% | -8.19% |
| Avg. Drawdown Days | 28 | 23 |
| Recovery Factor | 4.89 | 1.97 |
| Ulcer Index | 0.09 | 0.22 |
| Serenity Index | 1.31 | 0.3 |
| Avg. Up Month | 17.69% | 29.49% |
| Avg. Down Month | -4.49% | -10.59% |
| Win Days % | 39.32% | 50.14% |
| Win Month % | 58.33% | 50.0% |
| Win Quarter % | 75.0% | 50.0% |
| Win Year % | 100.0% | 100.0% |
| Beta | 0.37 | - |
| Alpha | 0.41 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 90.73 | 86.88 | 0.96 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2019-06-29 | 2019-12-31 | -17.76 | 185 |
| 2019-01-08 | 2019-02-19 | -9.00 | 42 |
| 2019-02-20 | 2019-04-03 | -8.34 | 42 |
| 2019-05-28 | 2019-06-17 | -7.60 | 20 |
| 2019-04-04 | 2019-05-04 | -6.25 | 30 |
| 2019-05-17 | 2019-05-27 | -3.83 | 10 |
| 2019-06-24 | 2019-06-26 | -2.63 | 2 |
| 2019-01-04 | 2019-01-07 | -1.39 | 3 |
| 2019-05-10 | 2019-05-11 | -1.21 | 1 |
| 2019-06-19 | 2019-06-21 | -0.77 | 2 |