| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 77.0% |
| Cumulative Return | 15.54% |
| CAGR% | 15.59% |
| Sharpe | 0.61 |
| Sortino | 1.0 |
| Max Drawdown | -33.53% |
| Longest DD Days | 308 |
| Volatility (ann.) | 31.78% |
| Calmar | 0.46 |
| Skew | 1.88 |
| Kurtosis | 24.49 |
| Expected Daily % | 0.06% |
| Expected Monthly % | 1.12% |
| Expected Yearly % | 7.49% |
| Kelly Criterion | 7.15% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -3.22% |
| Expected Shortfall (cVaR) | -3.22% |
| Payoff Ratio | 1.35 |
| Profit Factor | 1.18 |
| Common Sense Ratio | 1.29 |
| CPC Index | 0.75 |
| Tail Ratio | 1.09 |
| Outlier Win Ratio | 7.91 |
| Outlier Loss Ratio | 4.9 |
| MTD | -1.04% |
| 3M | -9.65% |
| 6M | -21.71% |
| YTD | 5.91% |
| 1Y | 15.54% |
| Best Day | 16.82% |
| Worst Day | -9.81% |
| Best Month | 46.06% |
| Worst Month | -12.6% |
| Avg. Drawdown | -5.25% |
| Avg. Drawdown Days | 37 |
| Recovery Factor | 0.46 |
| Ulcer Index | 1.01 |
| Avg. Up Month | 16.58% |
| Avg. Down Month | -4.56% |
| Win Days % | 46.6% |
| Win Month % | 30.77% |
| Win Quarter % | 40.0% |
| Year | Return | Cumulative |
|---|---|---|
| 2014 | 8.89% | 9.09% |
| 2015 | 10.47% | 5.91% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2015-01-27 | 2015-12-01 | -33.53 | 308 |
| 2014-12-05 | 2014-12-19 | -3.74 | 14 |
| 2015-01-12 | 2015-01-14 | -3.16 | 2 |
| 2015-01-22 | 2015-01-23 | -3.13 | 1 |
| 2015-01-20 | 2015-01-21 | -2.17 | 1 |
| 2015-01-07 | 2015-01-08 | -0.85 | 1 |
| 2014-12-29 | 2014-12-30 | -0.24 | 1 |
| 2015-01-02 | 2015-01-05 | -0.22 | 3 |
| 2015-01-15 | 2015-01-16 | -0.19 | 1 |