| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 93.0% |
| Cumulative Return | 52.3% |
| CAGR% | 11.68% |
| Sharpe | 0.85 |
| Sortino | 1.26 |
| Max Drawdown | -22.36% |
| Longest DD Days | 423 |
| Volatility (ann.) | 13.71% |
| Calmar | 0.52 |
| Skew | -0.09 |
| Kurtosis | 7.19 |
| Expected Daily % | 0.04% |
| Expected Monthly % | 0.9% |
| Expected Yearly % | 8.78% |
| Kelly Criterion | 8.37% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -1.37% |
| Expected Shortfall (cVaR) | -1.37% |
| Payoff Ratio | 1.09 |
| Profit Factor | 1.19 |
| Common Sense Ratio | 1.31 |
| CPC Index | 0.68 |
| Tail Ratio | 1.1 |
| Outlier Win Ratio | 5.36 |
| Outlier Loss Ratio | 4.11 |
| MTD | 1.36% |
| 3M | -1.03% |
| 6M | -9.36% |
| YTD | -1.31% |
| 1Y | -4.26% |
| 3Y (ann.) | 19.18% |
| 5Y (ann.) | 11.68% |
| 10Y (ann.) | 11.68% |
| All-time (ann.) | 11.68% |
| Best Day | 5.14% |
| Worst Day | -5.57% |
| Best Month | 11.3% |
| Worst Month | -10.59% |
| Best Year | 36.84% |
| Worst Year | -8.77% |
| Avg. Drawdown | -2.58% |
| Avg. Drawdown Days | 41 |
| Recovery Factor | 2.34 |
| Ulcer Index | inf |
| Avg. Up Month | 3.4% |
| Avg. Down Month | -2.9% |
| Win Days % | 52.15% |
| Win Month % | 61.7% |
| Win Quarter % | 62.5% |
| Win Year % | 40.0% |
| Year | Return | Cumulative |
|---|---|---|
| 2018 | -4.64% | -5.92% |
| 2019 | 28.48% | 31.4% |
| 2020 | 31.93% | 36.84% |
| 2021 | -8.8% | -8.77% |
| 2022 | -1.23% | -1.31% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2018-05-16 | 2019-06-11 | -22.36 | 391 |
| 2021-01-05 | 2022-03-04 | -13.45 | 423 |
| 2019-09-04 | 2020-01-21 | -9.60 | 139 |
| 2020-03-20 | 2020-05-26 | -6.73 | 67 |
| 2020-10-20 | 2020-11-03 | -2.44 | 14 |
| 2020-02-06 | 2020-02-24 | -2.40 | 18 |
| 2019-07-22 | 2019-07-31 | -2.33 | 9 |
| 2020-06-09 | 2020-07-06 | -2.31 | 27 |
| 2019-07-05 | 2019-07-17 | -2.05 | 12 |
| 2020-03-11 | 2020-03-12 | -1.62 | 1 |
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