| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 73.0% |
| Cumulative Return | 96.4% |
| CAGR% | 10.8% |
| Sharpe | 1.2 |
| Sortino | 1.54 |
| Max Drawdown | -11.14% |
| Longest DD Days | 361 |
| Volatility (ann.) | 8.69% |
| Calmar | 0.97 |
| Skew | -2.31 |
| Kurtosis | 48.68 |
| Expected Daily % | 0.04% |
| Expected Monthly % | 0.85% |
| Expected Yearly % | 8.8% |
| Kelly Criterion | 20.52% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -0.86% |
| Expected Shortfall (cVaR) | -0.86% |
| Payoff Ratio | 0.58 |
| Profit Factor | 1.41 |
| Common Sense Ratio | 1.41 |
| CPC Index | 0.58 |
| Tail Ratio | 1.0 |
| Outlier Win Ratio | 7.04 |
| Outlier Loss Ratio | 4.09 |
| MTD | -1.15% |
| 3M | -8.57% |
| 6M | -7.1% |
| YTD | 0.64% |
| 1Y | -2.27% |
| 3Y (ann.) | 1.1% |
| 5Y (ann.) | 7.58% |
| 10Y (ann.) | 10.8% |
| All-time (ann.) | 10.8% |
| Best Day | 6.21% |
| Worst Day | -7.01% |
| Best Month | 6.04% |
| Worst Month | -9.04% |
| Best Year | 23.62% |
| Worst Year | -1.98% |
| Avg. Drawdown | -1.13% |
| Avg. Drawdown Days | 20 |
| Recovery Factor | 8.65 |
| Ulcer Index | 1.0 |
| Avg. Up Month | 2.13% |
| Avg. Down Month | -2.32% |
| Win Days % | 70.78% |
| Win Month % | 73.33% |
| Win Quarter % | 73.08% |
| Win Year % | 87.5% |
| Year | Return | Cumulative |
|---|---|---|
| 2015 | 20.47% | 22.55% |
| 2016 | 7.22% | 6.87% |
| 2017 | 12.36% | 12.26% |
| 2018 | 21.9% | 23.62% |
| 2019 | 1.13% | 1.06% |
| 2020 | 8.2% | 8.4% |
| 2021 | -1.85% | -1.98% |
| 2022 | 0.66% | 0.64% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2017-03-31 | 2017-12-04 | -11.14 | 248 |
| 2021-11-23 | 2022-03-04 | -9.86 | 101 |
| 2016-07-25 | 2017-02-10 | -8.29 | 200 |
| 2018-10-31 | 2019-01-25 | -8.08 | 86 |
| 2019-11-15 | 2020-11-10 | -5.73 | 361 |
| 2016-01-19 | 2016-03-29 | -5.17 | 70 |
| 2018-01-29 | 2018-02-02 | -3.66 | 4 |
| 2016-04-04 | 2016-05-04 | -3.00 | 30 |
| 2016-06-24 | 2016-07-12 | -2.53 | 18 |
| 2018-05-15 | 2018-06-21 | -2.51 | 37 |
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