| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 86.0% |
| Cumulative Return | 47.35% |
| CAGR% | 12.95% |
| Sharpe | 0.94 |
| Sortino | 1.45 |
| Max Drawdown | -32.49% |
| Longest DD Days | 529 |
| Volatility (ann.) | 13.68% |
| Calmar | 0.4 |
| Skew | 0.2 |
| Kurtosis | 6.46 |
| Expected Daily % | 0.05% |
| Expected Monthly % | 0.97% |
| Expected Yearly % | 8.06% |
| Kelly Criterion | 8.92% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -1.37% |
| Expected Shortfall (cVaR) | -1.37% |
| Payoff Ratio | 1.28 |
| Profit Factor | 1.22 |
| Common Sense Ratio | 1.52 |
| CPC Index | 0.76 |
| Tail Ratio | 1.24 |
| Outlier Win Ratio | 5.97 |
| Outlier Loss Ratio | 4.14 |
| MTD | 0.0% |
| 3M | -6.02% |
| 6M | -15.16% |
| YTD | 0.0% |
| 1Y | -16.47% |
| 3Y (ann.) | 10.66% |
| 5Y (ann.) | 12.95% |
| 10Y (ann.) | 12.95% |
| All-time (ann.) | 12.95% |
| Best Day | 4.12% |
| Worst Day | -5.16% |
| Best Month | 16.5% |
| Worst Month | -11.44% |
| Best Year | 78.83% |
| Worst Year | -28.21% |
| Avg. Drawdown | -2.2% |
| Avg. Drawdown Days | 30 |
| Recovery Factor | 1.46 |
| Ulcer Index | 1.01 |
| Avg. Up Month | 5.56% |
| Avg. Down Month | -4.1% |
| Win Days % | 48.93% |
| Win Month % | 55.56% |
| Win Quarter % | 50.0% |
| Win Year % | 66.67% |
| Year | Return | Cumulative |
|---|---|---|
| 2018 | 0.0% | 0.0% |
| 2019 | 59.17% | 78.83% |
| 2020 | 14.85% | 14.77% |
| 2021 | -32.21% | -28.21% |
| 2022 | 0.0% | 0.0% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-09-21 | 2022-03-04 | -32.49 | 529 |
| 2019-06-24 | 2019-12-30 | -9.30 | 189 |
| 2020-03-19 | 2020-07-31 | -4.15 | 134 |
| 2019-01-22 | 2019-02-15 | -3.65 | 24 |
| 2020-01-03 | 2020-01-22 | -2.80 | 19 |
| 2020-01-23 | 2020-01-28 | -2.31 | 5 |
| 2020-09-02 | 2020-09-17 | -1.96 | 15 |
| 2020-02-20 | 2020-03-06 | -1.86 | 15 |
| 2019-01-11 | 2019-01-17 | -1.70 | 6 |
| 2019-01-04 | 2019-01-09 | -1.34 | 5 |
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