| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 16.86% | -12.27% |
| CAGR% | 7.39% | -5.81% |
| Sharpe | 0.74 | -0.17 |
| Sortino | 0.94 | -0.26 |
| Max Drawdown | -16.61% | -39.65% |
| Longest DD Days | 154 | 478 |
| Volatility (ann.) | 10.87% | 22.31% |
| R^2 | 0.04 | 0.04 |
| Calmar | 0.44 | -0.15 |
| Skew | -5.49 | 1.4 |
| Kurtosis | 126.46 | 15.98 |
| Expected Daily % | 0.03% | -0.02% |
| Expected Monthly % | 0.6% | -0.5% |
| Expected Yearly % | 5.33% | -4.27% |
| Kelly Criterion | 22.9% | 4.3% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.09% | -2.33% |
| Expected Shortfall (cVaR) | -2.97% | -2.97% |
| Payoff Ratio | 1.11 | 1.21 |
| Profit Factor | 0.28 | 0.04 |
| Common Sense Ratio | 0.36 | 0.03 |
| CPC Index | 0.19 | 0.02 |
| Tail Ratio | 1.28 | 0.94 |
| Outlier Win Ratio | 11.43 | 3.24 |
| Outlier Loss Ratio | 9.59 | 3.42 |
| MTD | 0.74% | -1.54% |
| 3M | 12.92% | -12.58% |
| 6M | 5.98% | -19.11% |
| YTD | 3.69% | -18.76% |
| 1Y | 5.62% | -17.92% |
| 3Y (ann.) | 7.39% | -5.81% |
| 5Y (ann.) | 7.39% | -5.81% |
| 10Y (ann.) | 7.39% | -5.81% |
| All-time (ann.) | 7.39% | -5.81% |
| Best Day | 6.66% | 10.7% |
| Worst Day | -10.58% | -6.67% |
| Best Month | 7.66% | 19.77% |
| Worst Month | -9.27% | -16.34% |
| Best Year | 6.23% | 7.61% |
| Worst Year | 3.69% | -18.76% |
| Avg. Drawdown | -0.45% | -4.77% |
| Avg. Drawdown Days | 7 | 50 |
| Recovery Factor | 1.02 | -0.31 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 0.9% | 3.87% |
| Avg. Down Month | -0.5% | -1.97% |
| Win Days % | 59.38% | 47.54% |
| Win Month % | 80.77% | 50.0% |
| Win Quarter % | 90.0% | 60.0% |
| Win Year % | 100.0% | 66.67% |
| Beta | -0.09 | - |
| Alpha | 0.08 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 7.61 | 6.23 | 0.82 | - |
| 2021 | 0.36 | 6.09 | 17.10 | + |
| 2022 | -18.76 | 3.69 | -0.20 | + |
| 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 |