| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 16.65% | -12.89% |
| CAGR% | 7.33% | -6.09% |
| Sharpe | 0.74 | 0.02 |
| Sortino | 0.93 | 0.02 |
| Max Drawdown | -16.55% | -51.09% |
| Longest DD Days | 154 | 294 |
| Volatility (ann.) | 10.87% | 36.22% |
| R^2 | 0.34 | 0.34 |
| Calmar | 0.44 | -0.12 |
| Skew | -5.47 | -4.66 |
| Kurtosis | 125.6 | 97.24 |
| Expected Daily % | 0.03% | -0.03% |
| Expected Monthly % | 0.59% | -0.53% |
| Expected Yearly % | 5.27% | -4.5% |
| Kelly Criterion | 3.97% | -13.11% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.09% | -3.75% |
| Expected Shortfall (cVaR) | -2.96% | -2.96% |
| Payoff Ratio | 0.74 | 0.69 |
| Profit Factor | 0.28 | 0.0 |
| Common Sense Ratio | 0.36 | 0.0 |
| CPC Index | 0.12 | 0.0 |
| Tail Ratio | 1.28 | 0.84 |
| Outlier Win Ratio | 9.84 | 2.27 |
| Outlier Loss Ratio | 10.64 | 2.49 |
| MTD | 0.74% | -3.63% |
| 3M | 12.87% | -9.72% |
| 6M | 5.96% | -38.88% |
| YTD | 3.68% | -42.36% |
| 1Y | 5.61% | -42.49% |
| 3Y (ann.) | 7.36% | -6.16% |
| 5Y (ann.) | 7.36% | -6.16% |
| 10Y (ann.) | 7.36% | -6.16% |
| All-time (ann.) | 7.36% | -6.16% |
| Best Day | 6.64% | 19.97% |
| Worst Day | -10.54% | -33.14% |
| Best Month | 7.63% | 15.46% |
| Worst Month | -9.23% | -29.87% |
| Best Year | 6.07% | 24.16% |
| Worst Year | 3.68% | -42.36% |
| Avg. Drawdown | -0.45% | -3.03% |
| Avg. Drawdown Days | 7 | 18 |
| Recovery Factor | 1.01 | -0.25 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 0.79% | 5.37% |
| Avg. Down Month | -4.03% | -14.12% |
| Win Days % | 59.26% | 53.82% |
| Win Month % | 80.77% | 50.0% |
| Win Quarter % | 90.0% | 50.0% |
| Win Year % | 100.0% | 66.67% |
| Beta | 0.18 | - |
| Alpha | 0.08 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 24.25 | 6.09 | 0.25 | - |
| 2021 | 21.79 | 6.09 | 0.28 | - |
| 2022 | -42.54 | 3.69 | -0.09 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-06 | 2022-06-09 | -16.61 | 154 |
| 2021-09-30 | 2021-12-27 | -3.04 | 88 |
| 2022-06-21 | 2022-06-30 | -1.42 | 9 |
| 2022-07-19 | 2022-07-25 | -1.03 | 6 |
| 2022-06-14 | 2022-06-15 | -0.82 | 1 |
| 2022-07-08 | 2022-07-12 | -0.72 | 4 |
| 2021-02-09 | 2021-04-20 | -0.72 | 70 |
| 2022-07-26 | 2022-08-02 | -0.67 | 7 |
| 2020-08-20 | 2020-08-27 | -0.58 | 7 |
| 2022-07-04 | 2022-07-07 | -0.48 | 3 |