| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 0.09% | -1.59% |
| CAGR% | 0.21% | -3.56% |
| Sharpe | 0.09 | -1.6 |
| Sortino | 0.12 | -1.92 |
| Max Drawdown | -2.32% | -3.39% |
| Longest DD Days | 69 | 75 |
| Volatility (ann.) | 2.7% | 2.18% |
| R^2 | 0.15 | 0.15 |
| Calmar | 0.09 | -1.05 |
| Skew | -0.72 | -1.03 |
| Kurtosis | 4.53 | 3.99 |
| Expected Daily % | 0.0% | -0.01% |
| Expected Monthly % | 0.01% | -0.23% |
| Expected Yearly % | 0.09% | -1.59% |
| Kelly Criterion | -11.63% | -35.83% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.28% | -0.24% |
| Expected Shortfall (cVaR) | -0.47% | -0.47% |
| Payoff Ratio | 0.64 | 0.51 |
| Profit Factor | 0.02 | 0.26 |
| Common Sense Ratio | 0.01 | 0.15 |
| CPC Index | 0.01 | 0.07 |
| Tail Ratio | 0.85 | 0.6 |
| Outlier Win Ratio | 4.03 | 5.57 |
| Outlier Loss Ratio | 2.98 | 3.48 |
| MTD | -0.18% | -0.04% |
| 3M | -1.92% | -2.94% |
| 6M | 0.09% | -1.59% |
| YTD | 0.09% | -1.59% |
| 1Y | 0.09% | -1.59% |
| 3Y (ann.) | 0.21% | -3.57% |
| 5Y (ann.) | 0.21% | -3.57% |
| 10Y (ann.) | 0.21% | -3.57% |
| All-time (ann.) | 0.21% | -3.57% |
| Best Day | 0.56% | 0.36% |
| Worst Day | -0.77% | -0.65% |
| Best Month | 1.12% | 0.74% |
| Worst Month | -1.34% | -1.99% |
| Best Year | 0.09% | -1.59% |
| Worst Year | 0.09% | -1.59% |
| Avg. Drawdown | -0.23% | -0.29% |
| Avg. Drawdown Days | 6 | 7 |
| Recovery Factor | 0.04 | -0.47 |
| Ulcer Index | 1.07 | inf |
| Avg. Up Month | 0.74% | 0.54% |
| Avg. Down Month | -0.7% | -1.06% |
| Win Days % | 56.36% | 54.39% |
| Win Month % | 50.0% | 50.0% |
| Win Quarter % | 50.0% | 50.0% |
| Win Year % | 100.0% | 0.0% |
| Beta | 0.47 | - |
| Alpha | 0.02 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -1.60 | 0.09 | -0.06 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-30 | 2021-12-08 | -2.32 | 69 |
| 2021-07-19 | 2021-07-22 | -0.36 | 3 |
| 2021-08-06 | 2021-08-09 | -0.17 | 3 |
| 2021-09-15 | 2021-09-16 | -0.12 | 1 |
| 2021-09-24 | 2021-09-29 | -0.12 | 5 |
| 2021-08-03 | 2021-08-04 | -0.09 | 1 |
| 2021-07-07 | 2021-07-09 | -0.07 | 2 |
| 2021-07-13 | 2021-07-14 | -0.07 | 1 |
| 2021-09-01 | 2021-09-02 | -0.07 | 1 |
| 2021-08-19 | 2021-08-24 | -0.04 | 5 |