| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 92.0% |
| Cumulative Return | 74.63% |
| CAGR% | 8.31% |
| Sharpe | 0.75 |
| Sortino | 1.16 |
| Max Drawdown | -17.38% |
| Longest DD Days | 687 |
| Volatility (ann.) | 11.17% |
| Calmar | 0.48 |
| Skew | 0.63 |
| Kurtosis | 11.3 |
| Expected Daily % | 0.03% |
| Expected Monthly % | 0.66% |
| Expected Yearly % | 7.22% |
| Kelly Criterion | 7.83% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -1.12% |
| Expected Shortfall (cVaR) | -1.12% |
| Payoff Ratio | 1.14 |
| Profit Factor | 1.18 |
| Common Sense Ratio | 1.47 |
| CPC Index | 0.69 |
| Tail Ratio | 1.25 |
| Outlier Win Ratio | 5.62 |
| Outlier Loss Ratio | 4.87 |
| MTD | 0.0% |
| 3M | -12.36% |
| 6M | -13.9% |
| YTD | -8.8% |
| 1Y | -14.5% |
| 3Y (ann.) | -0.5% |
| 5Y (ann.) | 4.23% |
| 10Y (ann.) | 8.31% |
| All-time (ann.) | 8.31% |
| Best Day | 6.95% |
| Worst Day | -4.55% |
| Best Month | 8.83% |
| Worst Month | -7.26% |
| Best Year | 33.27% |
| Worst Year | -8.8% |
| Avg. Drawdown | -1.96% |
| Avg. Drawdown Days | 29 |
| Recovery Factor | 4.29 |
| Ulcer Index | 1.01 |
| Avg. Up Month | 2.54% |
| Avg. Down Month | -2.25% |
| Win Days % | 50.85% |
| Win Month % | 62.2% |
| Win Quarter % | 68.97% |
| Win Year % | 75.0% |
| Year | Return | Cumulative |
|---|---|---|
| 2015 | 11.62% | 11.94% |
| 2016 | 20.16% | 21.62% |
| 2017 | -6.53% | -6.93% |
| 2018 | 29.35% | 33.27% |
| 2019 | 11.12% | 10.66% |
| 2020 | 1.11% | 0.6% |
| 2021 | 2.42% | 1.86% |
| 2022 | -9.03% | -8.8% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2017-03-31 | 2018-06-25 | -17.38 | 451 |
| 2020-04-16 | 2022-03-04 | -16.93 | 687 |
| 2019-12-18 | 2020-01-31 | -7.42 | 44 |
| 2019-04-23 | 2019-10-31 | -7.28 | 191 |
| 2016-11-24 | 2017-01-13 | -5.71 | 50 |
| 2015-07-23 | 2015-08-14 | -5.54 | 22 |
| 2018-06-26 | 2018-08-06 | -4.47 | 41 |
| 2017-03-07 | 2017-03-21 | -3.99 | 14 |
| 2016-04-13 | 2016-04-27 | -3.91 | 14 |
| 2019-03-27 | 2019-04-18 | -3.64 | 22 |
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