| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 96.0% | 98.0% |
| Cumulative Return | -5.52% | -5.16% |
| CAGR% | -24.36% | -22.94% |
| Sharpe | -1.75 | -1.8 |
| Sortino | -2.39 | -2.64 |
| Max Drawdown | -5.91% | -5.89% |
| Longest DD Days | 73 | 73 |
| Volatility (ann.) | 17.37% | 15.83% |
| R^2 | 0.49 | 0.49 |
| Calmar | -4.13 | -3.91 |
| Skew | 0.33 | 1.01 |
| Kurtosis | 0.5 | 1.43 |
| Expected Daily % | -0.13% | -0.12% |
| Expected Monthly % | -1.88% | -1.75% |
| Expected Yearly % | -5.52% | -5.16% |
| Kelly Criterion | -12.91% | -9.8% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.92% | -1.75% |
| Expected Shortfall (cVaR) | -2.46% | -2.46% |
| Payoff Ratio | 1.15 | 1.27 |
| Profit Factor | 0.25 | 0.25 |
| Common Sense Ratio | 0.3 | 0.27 |
| CPC Index | 0.11 | 0.12 |
| Tail Ratio | 1.22 | 1.05 |
| Outlier Win Ratio | 2.99 | 3.13 |
| Outlier Loss Ratio | 2.34 | 2.66 |
| MTD | -2.79% | -2.49% |
| 3M | -5.52% | -5.16% |
| 6M | -5.52% | -5.16% |
| YTD | -5.52% | -5.16% |
| 1Y | -5.52% | -5.16% |
| 3Y (ann.) | -24.44% | -23.01% |
| 5Y (ann.) | -24.44% | -23.01% |
| 10Y (ann.) | -24.44% | -23.01% |
| All-time (ann.) | -24.44% | -23.01% |
| Best Day | 2.89% | 2.79% |
| Worst Day | -2.56% | -1.47% |
| Best Month | 1.31% | 0.84% |
| Worst Month | -4.07% | -3.56% |
| Best Year | -5.52% | -5.16% |
| Worst Year | -5.52% | -5.16% |
| Avg. Drawdown | -5.91% | -5.89% |
| Avg. Drawdown Days | 73 | 73 |
| Recovery Factor | -0.93 | -0.88 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 1.31% | 0.84% |
| Avg. Down Month | -3.43% | -3.02% |
| Win Days % | 39.53% | 38.64% |
| Win Month % | 33.33% | 33.33% |
| Win Quarter % | 0.0% | 0.0% |
| Win Year % | 0.0% | 0.0% |
| Beta | 0.77 | - |
| Alpha | -0.08 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -5.18 | -5.54 | 1.07 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-07-06 | 2021-09-17 | -5.93 | 73 |