ADA 5 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 | 44.0% |
| Cumulative Return | 70.36% |
| CAGR% | 71.62% |
| Sharpe | 2.82 |
| Sortino | 7.61 |
| Sortino/√2 | 5.38 |
| Max Drawdown | -7.5% |
| Longest DD Days | 115 |
| Volatility (ann.) | 13.53% |
| Calmar | 9.55 |
| Skew | 2.83 |
| Kurtosis | 12.47 |
| Expected Daily % | 0.15% |
| Expected Monthly % | 4.18% |
| Expected Yearly % | 30.52% |
| Kelly Criterion | 28.4% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -1.25% |
| Expected Shortfall (cVaR) | -1.25% |
| Gain/Pain Ratio | 1.57 |
| Gain/Pain (1M) | 5.85 |
| Payoff Ratio | 2.96 |
| Profit Factor | 2.57 |
| Common Sense Ratio | 7.15 |
| CPC Index | 3.53 |
| Tail Ratio | 2.78 |
| Outlier Win Ratio | 12.01 |
| Outlier Loss Ratio | 3.22 |
| MTD | 0.0% |
| 3M | 4.22% |
| 6M | 51.05% |
| YTD | 51.3% |
| 1Y | 70.36% |
| 3Y (ann.) | 71.62% |
| 5Y (ann.) | 71.62% |
| 10Y (ann.) | 71.62% |
| All-time (ann.) | 71.62% |
| Best Day | 5.5% |
| Worst Day | -2.88% |
| Best Month | 27.97% |
| Worst Month | -4.9% |
| Best Year | 51.3% |
| Worst Year | 12.6% |
| Avg. Drawdown | -1.85% |
| Avg. Drawdown Days | 21 |
| Recovery Factor | 9.38 |
| Ulcer Index | inf |
| Avg. Up Month | 7.5% |
| Avg. Down Month | -3.09% |
| Win Days % | 46.5% |
| Win Month % | 75.0% |
| Win Quarter % | 75.0% |
| Win Year % | 100.0% |
EOY Returns
| Year | Return | Cumulative |
|---|---|---|
| 2020 | 12.2% | 12.6% |
| 2021 | 42.4% | 51.3% |
Worst 10 Drawdowns
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-07-29 | 2020-11-21 | -7.50 | 115 |
| 2021-03-27 | 2021-05-09 | -4.55 | 43 |
| 2020-11-29 | 2021-01-03 | -3.22 | 35 |
| 2021-02-25 | 2021-03-16 | -3.01 | 19 |
| 2021-01-19 | 2021-02-01 | -2.44 | 13 |
| 2021-05-30 | 2021-07-01 | -1.63 | 32 |
| 2021-01-15 | 2021-01-16 | -0.59 | 1 |
| 2021-05-14 | 2021-05-15 | -0.51 | 1 |
| 2021-05-16 | 2021-05-26 | -0.47 | 10 |
| 2020-11-22 | 2020-11-23 | -0.08 | 1 |