| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 55.0% |
| Cumulative Return | 19.59% |
| CAGR% | 19.71% |
| Sharpe | 0.95 |
| Sortino | 1.45 |
| Max Drawdown | -24.79% |
| Longest DD Days | 175 |
| Volatility (ann.) | 20.33% |
| Calmar | 0.8 |
| Skew | 0.43 |
| Kurtosis | 7.94 |
| Expected Daily % | 0.07% |
| Expected Monthly % | 1.5% |
| Expected Yearly % | 19.59% |
| Kelly Criterion | 12.1% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -2.03% |
| Expected Shortfall (cVaR) | -2.03% |
| Payoff Ratio | 0.99 |
| Profit Factor | 1.27 |
| Common Sense Ratio | 1.65 |
| CPC Index | 0.71 |
| Tail Ratio | 1.3 |
| Outlier Win Ratio | 7.91 |
| Outlier Loss Ratio | 3.17 |
| MTD | -1.2% |
| 3M | 6.19% |
| 6M | 6.19% |
| YTD | 19.59% |
| 1Y | 19.59% |
| Best Day | 7.16% |
| Worst Day | -5.14% |
| Best Month | 17.52% |
| Worst Month | -11.73% |
| Avg. Drawdown | -3.79% |
| Avg. Drawdown Days | 27 |
| Recovery Factor | 0.79 |
| Ulcer Index | 1.08 |
| Avg. Up Month | 8.37% |
| Avg. Down Month | -5.15% |
| Win Days % | 56.34% |
| Win Month % | 55.56% |
| Win Quarter % | 66.67% |
| Year | Return | Cumulative |
|---|---|---|
| 2020 | 20.02% | 19.59% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-17 | 2020-05-12 | -24.79 | 85 |
| 2020-05-25 | 2020-11-16 | -9.23 | 175 |
| 2020-12-14 | 2020-12-29 | -3.39 | 15 |
| 2020-02-07 | 2020-02-10 | -2.44 | 3 |
| 2020-01-23 | 2020-02-04 | -1.92 | 12 |
| 2020-11-17 | 2020-11-23 | -1.33 | 6 |
| 2020-05-15 | 2020-05-18 | -0.92 | 3 |
| 2020-11-27 | 2020-12-07 | -0.44 | 10 |
| 2020-01-03 | 2020-01-08 | -0.43 | 5 |
| 2020-01-17 | 2020-01-22 | -0.42 | 5 |