| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 83.0% |
| Cumulative Return | 6.16% |
| CAGR% | 1.96% |
| Sharpe | 0.23 |
| Sortino | 0.33 |
| Max Drawdown | -26.99% |
| Longest DD Days | 620 |
| Volatility (ann.) | 10.59% |
| Calmar | 0.07 |
| Skew | 0.22 |
| Kurtosis | 7.39 |
| Expected Daily % | 0.01% |
| Expected Monthly % | 0.16% |
| Expected Yearly % | 1.51% |
| Kelly Criterion | 2.74% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -1.09% |
| Expected Shortfall (cVaR) | -1.09% |
| Payoff Ratio | 0.75 |
| Profit Factor | 1.05 |
| Common Sense Ratio | 0.85 |
| CPC Index | 0.46 |
| Tail Ratio | 0.81 |
| Outlier Win Ratio | 6.51 |
| Outlier Loss Ratio | 3.51 |
| MTD | -3.17% |
| 3M | -3.44% |
| 6M | -11.12% |
| YTD | -3.44% |
| 1Y | -16.36% |
| 3Y (ann.) | 0.94% |
| 5Y (ann.) | 1.96% |
| 10Y (ann.) | 1.96% |
| All-time (ann.) | 1.96% |
| Best Day | 4.28% |
| Worst Day | -3.86% |
| Best Month | 5.02% |
| Worst Month | -6.23% |
| Best Year | 36.02% |
| Worst Year | -16.06% |
| Avg. Drawdown | -2.19% |
| Avg. Drawdown Days | 23 |
| Recovery Factor | 0.23 |
| Ulcer Index | 1.04 |
| Avg. Up Month | 2.45% |
| Avg. Down Month | -2.43% |
| Win Days % | 58.17% |
| Win Month % | 54.05% |
| Win Quarter % | 53.85% |
| Win Year % | 25.0% |
| Year | Return | Cumulative |
|---|---|---|
| 2019 | 31.55% | 36.02% |
| 2020 | -3.2% | -3.71% |
| 2021 | -17.17% | -16.06% |
| 2022 | -3.44% | -3.44% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-06-22 | 2022-03-04 | -26.99 | 620 |
| 2020-01-29 | 2020-04-06 | -12.70 | 68 |
| 2019-06-17 | 2019-07-03 | -7.16 | 16 |
| 2019-04-02 | 2019-05-03 | -5.45 | 31 |
| 2019-12-10 | 2020-01-06 | -3.45 | 27 |
| 2019-11-11 | 2019-11-22 | -3.04 | 11 |
| 2019-07-12 | 2019-07-17 | -2.58 | 5 |
| 2020-01-20 | 2020-01-28 | -2.08 | 8 |
| 2019-09-02 | 2019-09-09 | -1.83 | 7 |
| 2019-02-15 | 2019-02-19 | -1.60 | 4 |
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