| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 52.0% |
| Cumulative Return | 76.54% |
| CAGR% | 13.59% |
| Sharpe | 1.55 |
| Sortino | 2.17 |
| Max Drawdown | -12.0% |
| Longest DD Days | 204 |
| Volatility (ann.) | 8.24% |
| Calmar | 1.13 |
| Skew | -1.02 |
| Kurtosis | 22.31 |
| Expected Daily % | 0.05% |
| Expected Monthly % | 1.04% |
| Expected Yearly % | 9.94% |
| Kelly Criterion | 22.83% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -0.8% |
| Expected Shortfall (cVaR) | -0.8% |
| Payoff Ratio | 0.81 |
| Profit Factor | 1.53 |
| Common Sense Ratio | 1.89 |
| CPC Index | 0.81 |
| Tail Ratio | 1.23 |
| Outlier Win Ratio | 8.19 |
| Outlier Loss Ratio | 2.94 |
| MTD | 0.0% |
| 3M | 2.83% |
| 6M | 8.53% |
| YTD | 1.12% |
| 1Y | 17.36% |
| 3Y (ann.) | 16.0% |
| 5Y (ann.) | 13.59% |
| 10Y (ann.) | 13.59% |
| All-time (ann.) | 13.59% |
| Best Day | 4.97% |
| Worst Day | -4.56% |
| Best Month | 6.48% |
| Worst Month | -7.16% |
| Best Year | 19.72% |
| Worst Year | 1.12% |
| Avg. Drawdown | -1.3% |
| Avg. Drawdown Days | 21 |
| Recovery Factor | 6.38 |
| Ulcer Index | 1.01 |
| Avg. Up Month | 2.29% |
| Avg. Down Month | -2.15% |
| Win Days % | 65.55% |
| Win Month % | 76.6% |
| Win Quarter % | 88.89% |
| Win Year % | 100.0% |
| Year | Return | Cumulative |
|---|---|---|
| 2017 | 8.96% | 9.26% |
| 2018 | 13.93% | 14.54% |
| 2019 | 2.51% | 2.08% |
| 2020 | 13.43% | 14.14% |
| 2021 | 18.36% | 19.72% |
| 2022 | 1.21% | 1.12% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2018-11-27 | 2019-06-19 | -12.00 | 204 |
| 2019-07-29 | 2019-11-19 | -5.63 | 113 |
| 2022-01-14 | 2022-02-21 | -4.53 | 38 |
| 2020-02-05 | 2020-08-27 | -4.18 | 204 |
| 2017-10-27 | 2017-12-07 | -3.94 | 41 |
| 2018-09-28 | 2018-11-01 | -3.65 | 34 |
| 2018-02-19 | 2018-06-25 | -3.19 | 126 |
| 2021-06-30 | 2021-07-16 | -3.01 | 16 |
| 2018-01-03 | 2018-01-19 | -2.69 | 16 |
| 2021-07-21 | 2021-08-26 | -2.25 | 36 |
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