| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | 13.17% | 90.73% |
| CAGR﹪ | 13.21% | 91.07% |
| Sharpe | 0.5 | 1.45 |
| Smart Sharpe | 0.47 | 1.36 |
| Sortino | 0.71 | 2.38 |
| Smart Sortino | 0.67 | 2.23 |
| Sortino/√2 | 0.5 | 1.68 |
| Smart Sortino/√2 | 0.47 | 1.58 |
| Omega | 1.09 | 1.09 |
| Max Drawdown | -51.72% | -46.13% |
| Longest DD Days | 186 | 173 |
| Volatility (ann.) | 51.09% | 54.93% |
| R^2 | 0.23 | 0.23 |
| Calmar | 0.26 | 1.97 |
| Skew | -0.05 | 0.96 |
| Kurtosis | 6.81 | 6.43 |
| Expected Daily % | 0.03% | 0.18% |
| Expected Monthly % | 1.04% | 5.53% |
| Expected Yearly % | 13.17% | 90.73% |
| Kelly Criterion | 4.51% | 7.2% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.33% | -4.51% |
| Expected Shortfall (cVaR) | -4.33% | -4.51% |
| Gain/Pain Ratio | 0.09 | 0.27 |
| Gain/Pain (1M) | 0.42 | 1.31 |
| Payoff Ratio | 0.92 | 1.16 |
| Profit Factor | 1.09 | 1.27 |
| Common Sense Ratio | 1.16 | 1.44 |
| CPC Index | 0.54 | 0.74 |
| Tail Ratio | 1.06 | 1.14 |
| Outlier Win Ratio | 6.59 | 4.73 |
| Outlier Loss Ratio | 4.69 | 5.09 |
| MTD | 2.66% | -4.64% |
| 3M | -6.17% | -9.39% |
| 6M | -41.48% | -36.7% |
| YTD | 13.17% | 90.73% |
| 1Y | 13.17% | 90.73% |
| 3Y (ann.) | 13.21% | 91.07% |
| 5Y (ann.) | 13.21% | 91.07% |
| 10Y (ann.) | 13.21% | 91.07% |
| All-time (ann.) | 13.21% | 91.07% |
| Best Day | 12.16% | 18.14% |
| Worst Day | -12.82% | -10.24% |
| Best Month | 39.08% | 50.8% |
| Worst Month | -35.75% | -16.35% |
| Best Year | 13.17% | 90.73% |
| Worst Year | 13.17% | 90.73% |
| Avg. Drawdown | -6.08% | -8.19% |
| Avg. Drawdown Days | 19 | 23 |
| Recovery Factor | 0.25 | 1.97 |
| Ulcer Index | 0.29 | 0.22 |
| Serenity Index | 0.02 | 0.3 |
| Avg. Up Month | 12.91% | 25.63% |
| Avg. Down Month | -14.14% | -13.89% |
| Win Days % | 54.23% | 50.14% |
| Win Month % | 66.67% | 50.0% |
| Win Quarter % | 50.0% | 50.0% |
| Win Year % | 100.0% | 100.0% |
| Beta | 0.45 | - |
| Alpha | -0.1 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 90.73 | 13.17 | 0.15 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2019-06-28 | 2019-12-31 | -51.72 | 186 |
| 2019-06-04 | 2019-06-25 | -12.21 | 21 |
| 2019-01-08 | 2019-02-24 | -8.21 | 47 |
| 2019-04-12 | 2019-04-26 | -5.48 | 14 |
| 2019-05-17 | 2019-05-20 | -5.47 | 3 |
| 2019-02-27 | 2019-03-21 | -3.86 | 22 |
| 2019-05-23 | 2019-05-27 | -3.00 | 4 |
| 2019-05-28 | 2019-06-01 | -2.89 | 4 |
| 2019-01-04 | 2019-01-07 | -2.34 | 3 |
| 2019-03-22 | 2019-03-30 | -2.06 | 8 |