| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 73.0% |
| Cumulative Return | 55.85% |
| CAGR﹪ | 10.9% |
| Sharpe | 0.85 |
| Prob. Sharpe Ratio | 95.96% |
| Smart Sharpe | 0.8 |
| Sortino | 1.24 |
| Smart Sortino | 1.16 |
| Sortino/√2 | 0.87 |
| Smart Sortino/√2 | 0.82 |
| Omega | 1.2 |
| Max Drawdown | -16.44% |
| Max DD Date | 2020-03-16 |
| Max DD Period Start | 2019-07-02 |
| Max DD Period End | 2020-04-23 |
| Longest DD Days | 310 |
| Volatility (ann.) | 13.15% |
| Calmar | 0.66 |
| Skew | -0.32 |
| Kurtosis | 8.0 |
| Expected Daily | 0.04% |
| Expected Monthly | 0.84% |
| Expected Yearly | 9.28% |
| Kelly Criterion | 8.75% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -1.32% |
| Expected Shortfall (cVaR) | -2.14% |
| Max Consecutive Wins | 8 |
| Max Consecutive Losses | 7 |
| Gain/Pain Ratio | 0.2 |
| Gain/Pain (1M) | 1.12 |
| Payoff Ratio | 1.06 |
| Profit Factor | 1.2 |
| Common Sense Ratio | 1.36 |
| CPC Index | 0.67 |
| Tail Ratio | 1.14 |
| Outlier Win Ratio | 5.71 |
| Outlier Loss Ratio | 3.63 |
| MTD | -0.81% |
| 3M | 1.11% |
| 6M | -1.87% |
| YTD | 19.01% |
| 1Y | 19.93% |
| 3Y (ann.) | 13.5% |
| 5Y (ann.) | 10.9% |
| 10Y (ann.) | 10.9% |
| All-time (ann.) | 10.9% |
| Best Day | 4.92% |
| Worst Day | -5.78% |
| Best Month | 10.82% |
| Worst Month | -7.26% |
| Best Year | 20.98% |
| Worst Year | -2.21% |
| Avg. Drawdown | -2.48% |
| Avg. Drawdown Days | 40 |
| Recovery Factor | 2.93 |
| Ulcer Index | 0.05 |
| Serenity Index | 0.62 |
| Avg. Up Month | 3.16% |
| Avg. Down Month | -2.0% |
| Win Days | 53.11% |
| Win Month | 56.86% |
| Win Quarter | 66.67% |
| Win Year | 80.0% |
| Year | Return | Cumulative |
|---|---|---|
| 2017 | 6.81% | 6.83% |
| 2018 | -1.43% | -2.21% |
| 2019 | 3.93% | 3.62% |
| 2020 | 20.77% | 20.98% |
| 2021 | 18.02% | 19.01% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2019-07-02 | 2020-04-23 | -16.44 | 297 |
| 2018-01-22 | 2018-11-27 | -15.05 | 310 |
| 2020-08-20 | 2021-03-09 | -11.55 | 202 |
| 2018-12-04 | 2019-06-26 | -8.98 | 205 |
| 2021-05-11 | 2021-11-10 | -6.27 | 184 |
| 2017-10-02 | 2017-12-19 | -4.76 | 79 |
| 2017-08-10 | 2017-08-21 | -2.46 | 12 |
| 2020-06-03 | 2020-06-15 | -2.46 | 13 |
| 2020-05-18 | 2020-05-21 | -1.92 | 4 |
| 2020-07-27 | 2020-07-31 | -1.59 | 5 |