ETH momentum 6 Jul, 2020 – 1 Jul, 2021
Generated by QuantStats (v. 0.0.34)
Key Performance Metrics
| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 71.0% |
| Cumulative Return | 159.27% |
| CAGR% | 162.72% |
| Sharpe | 3.39 |
| Sortino | 10.28 |
| Sortino/√2 | 7.27 |
| Max Drawdown | -8.28% |
| Longest DD Days | 69 |
| Volatility (ann.) | 20.23% |
| Calmar | 19.65 |
| Skew | 3.33 |
| Kurtosis | 19.87 |
| Expected Daily % | 0.26% |
| Expected Monthly % | 7.6% |
| Expected Yearly % | 61.02% |
| Kelly Criterion | 31.4% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -1.82% |
| Expected Shortfall (cVaR) | -1.82% |
| Gain/Pain Ratio | 2.2 |
| Gain/Pain (1M) | 121.59 |
| Payoff Ratio | 3.81 |
| Profit Factor | 3.2 |
| Common Sense Ratio | 14.12 |
| CPC Index | 5.56 |
| Tail Ratio | 4.41 |
| Outlier Win Ratio | 8.64 |
| Outlier Loss Ratio | 5.07 |
| MTD | -0.81% |
| 3M | 19.71% |
| 6M | 62.03% |
| YTD | 62.17% |
| 1Y | 159.27% |
| 3Y (ann.) | 162.72% |
| 5Y (ann.) | 162.72% |
| 10Y (ann.) | 162.72% |
| All-time (ann.) | 162.72% |
| Best Day | 10.95% |
| Worst Day | -5.17% |
| Best Month | 22.58% |
| Worst Month | -0.81% |
| Best Year | 62.17% |
| Worst Year | 59.87% |
| Avg. Drawdown | -1.28% |
| Avg. Drawdown Days | 11 |
| Recovery Factor | 19.23 |
| Ulcer Index | inf |
| Avg. Up Month | 8.5% |
| Avg. Down Month | -0.81% |
| Win Days % | 45.67% |
| Win Month % | 92.31% |
| Win Quarter % | 80.0% |
| Win Year % | 100.0% |
EOY Returns
| Year | Return | Cumulative |
|---|---|---|
| 2020 | 48.22% | 59.87% |
| 2021 | 50.01% | 62.17% |
Worst 10 Drawdowns
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-09-13 | 2020-11-21 | -8.28 | 69 |
| 2021-02-04 | 2021-03-13 | -4.04 | 37 |
| 2021-01-05 | 2021-01-19 | -2.87 | 14 |
| 2021-05-12 | 2021-06-28 | -2.37 | 47 |
| 2021-04-21 | 2021-05-01 | -2.22 | 10 |
| 2020-07-27 | 2020-08-01 | -1.86 | 5 |
| 2021-03-17 | 2021-03-29 | -1.65 | 12 |
| 2020-08-06 | 2020-08-30 | -1.64 | 24 |
| 2021-04-12 | 2021-04-13 | -1.54 | 1 |
| 2020-12-01 | 2020-12-13 | -1.35 | 12 |