| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 87.0% |
| Cumulative Return | 42.62% |
| CAGR% | 8.99% |
| Sharpe | 0.95 |
| Sortino | 1.27 |
| Max Drawdown | -11.7% |
| Longest DD Days | 391 |
| Volatility (ann.) | 9.31% |
| Calmar | 0.77 |
| Skew | -1.11 |
| Kurtosis | 12.49 |
| Expected Daily % | 0.03% |
| Expected Monthly % | 0.7% |
| Expected Yearly % | 7.36% |
| Kelly Criterion | 11.44% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -0.93% |
| Expected Shortfall (cVaR) | -0.93% |
| Payoff Ratio | 0.75 |
| Profit Factor | 1.23 |
| Common Sense Ratio | 1.24 |
| CPC Index | 0.57 |
| Tail Ratio | 1.01 |
| Outlier Win Ratio | 5.3 |
| Outlier Loss Ratio | 4.02 |
| MTD | 0.0% |
| 3M | -2.88% |
| 6M | -7.35% |
| YTD | -0.62% |
| 1Y | -2.15% |
| 3Y (ann.) | 10.69% |
| 5Y (ann.) | 8.99% |
| 10Y (ann.) | 8.99% |
| All-time (ann.) | 8.99% |
| Best Day | 4.19% |
| Worst Day | -4.72% |
| Best Month | 5.6% |
| Worst Month | -4.83% |
| Best Year | 18.35% |
| Worst Year | -1.1% |
| Avg. Drawdown | -1.37% |
| Avg. Drawdown Days | 28 |
| Recovery Factor | 3.64 |
| Ulcer Index | 1.01 |
| Avg. Up Month | 2.27% |
| Avg. Down Month | -1.63% |
| Win Days % | 61.94% |
| Win Month % | 61.22% |
| Win Quarter % | 70.59% |
| Win Year % | 60.0% |
| Year | Return | Cumulative |
|---|---|---|
| 2018 | 8.34% | 7.94% |
| 2019 | 13.07% | 13.59% |
| 2020 | 17.12% | 18.35% |
| 2021 | -0.56% | -1.1% |
| 2022 | -0.62% | -0.62% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2018-08-28 | 2019-09-23 | -11.70 | 391 |
| 2021-05-14 | 2022-03-04 | -8.02 | 294 |
| 2018-02-28 | 2018-06-05 | -4.65 | 97 |
| 2020-05-29 | 2020-08-31 | -4.60 | 94 |
| 2018-02-09 | 2018-02-27 | -3.71 | 18 |
| 2018-07-03 | 2018-07-25 | -3.29 | 22 |
| 2021-01-18 | 2021-03-18 | -3.09 | 59 |
| 2020-09-28 | 2020-12-08 | -2.77 | 71 |
| 2019-12-12 | 2020-02-14 | -1.85 | 64 |
| 2020-05-12 | 2020-05-22 | -1.80 | 10 |
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