| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 87.0% |
| Cumulative Return | 50.98% |
| CAGR% | 19.33% |
| Sharpe | 1.49 |
| Sortino | 2.28 |
| Max Drawdown | -11.77% |
| Longest DD Days | 416 |
| Volatility (ann.) | 12.02% |
| Calmar | 1.64 |
| Skew | -0.11 |
| Kurtosis | 6.62 |
| Expected Daily % | 0.07% |
| Expected Monthly % | 1.43% |
| Expected Yearly % | 10.85% |
| Kelly Criterion | 14.57% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -1.17% |
| Expected Shortfall (cVaR) | -1.17% |
| Payoff Ratio | 1.1 |
| Profit Factor | 1.36 |
| Common Sense Ratio | 2.15 |
| CPC Index | 0.82 |
| Tail Ratio | 1.59 |
| Outlier Win Ratio | 5.05 |
| Outlier Loss Ratio | 4.36 |
| MTD | 0.0% |
| 3M | 3.44% |
| 6M | 10.66% |
| YTD | 2.03% |
| 1Y | 21.99% |
| 3Y (ann.) | 19.33% |
| 5Y (ann.) | 19.33% |
| 10Y (ann.) | 19.33% |
| All-time (ann.) | 19.33% |
| Best Day | 4.31% |
| Worst Day | -4.16% |
| Best Month | 8.37% |
| Worst Month | -7.06% |
| Best Year | 20.27% |
| Worst Year | 2.03% |
| Avg. Drawdown | -1.36% |
| Avg. Drawdown Days | 15 |
| Recovery Factor | 4.33 |
| Ulcer Index | inf |
| Avg. Up Month | 2.77% |
| Avg. Down Month | -1.84% |
| Win Days % | 55.34% |
| Win Month % | 74.07% |
| Win Quarter % | 70.0% |
| Win Year % | 100.0% |
| Year | Return | Cumulative |
|---|---|---|
| 2019 | 5.92% | 5.98% |
| 2020 | 19.74% | 20.27% |
| 2021 | 15.24% | 16.09% |
| 2022 | 2.04% | 2.03% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-07-13 | 2021-09-02 | -11.77 | 416 |
| 2020-02-03 | 2020-02-18 | -5.97 | 15 |
| 2020-04-22 | 2020-05-13 | -4.68 | 21 |
| 2020-06-10 | 2020-07-03 | -4.16 | 23 |
| 2021-11-16 | 2021-11-25 | -3.47 | 9 |
| 2020-02-26 | 2020-03-19 | -3.09 | 22 |
| 2021-09-07 | 2021-09-13 | -2.68 | 6 |
| 2021-10-08 | 2021-10-25 | -2.66 | 17 |
| 2020-03-26 | 2020-04-01 | -2.37 | 6 |
| 2019-12-17 | 2019-12-24 | -2.21 | 7 |
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