| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 99.0% |
| Cumulative Return | -5.7% | 7.09% |
| CAGR% | -23.65% | 37.08% |
| Sharpe | -0.99 | 2.73 |
| Sortino | -1.42 | 4.1 |
| Max Drawdown | -7.08% | -4.09% |
| Longest DD Days | 77 | 33 |
| Volatility (ann.) | 22.99% | 11.13% |
| R^2 | 0.08 | 0.08 |
| Calmar | -3.35 | 9.09 |
| Skew | 0.34 | -0.55 |
| Kurtosis | 0.28 | 0.39 |
| Expected Daily % | -0.1% | 0.12% |
| Expected Monthly % | -1.46% | 1.73% |
| Expected Yearly % | -5.7% | 7.09% |
| Kelly Criterion | 6.24% | 31.56% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.47% | -1.03% |
| Expected Shortfall (cVaR) | -2.78% | -2.78% |
| Payoff Ratio | 1.75 | 1.17 |
| Profit Factor | 0.15 | 0.52 |
| Common Sense Ratio | 0.14 | 0.74 |
| CPC Index | 0.11 | 0.38 |
| Tail Ratio | 0.91 | 1.43 |
| Outlier Win Ratio | 1.86 | 4.2 |
| Outlier Loss Ratio | 2.27 | 3.69 |
| MTD | -2.9% | 3.19% |
| 3M | -5.7% | 7.09% |
| 6M | -5.7% | 7.09% |
| YTD | -5.7% | 7.09% |
| 1Y | -5.7% | 7.09% |
| 3Y (ann.) | -23.74% | 37.23% |
| 5Y (ann.) | -23.74% | 37.23% |
| 10Y (ann.) | -23.74% | 37.23% |
| All-time (ann.) | -23.74% | 37.23% |
| Best Day | 3.89% | 1.4% |
| Worst Day | -2.99% | -1.81% |
| Best Month | 0.0% | 3.89% |
| Worst Month | -2.9% | -0.11% |
| Best Year | -5.7% | 7.09% |
| Worst Year | -5.7% | 7.09% |
| Avg. Drawdown | -7.08% | -1.77% |
| Avg. Drawdown Days | 77 | 11 |
| Recovery Factor | -0.8 | 1.73 |
| Ulcer Index | 1.16 | 1.21 |
| Avg. Up Month | nan% | nan% |
| Avg. Down Month | -2.54% | -0.11% |
| Win Days % | 40.35% | 63.16% |
| Win Month % | 0.0% | 66.67% |
| Win Quarter % | 0.0% | 100.0% |
| Win Year % | 0.0% | 100.0% |
| Beta | 0.57 | - |
| Alpha | -0.4 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.12 | -5.72 | -0.80 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-07-02 | 2021-09-17 | -7.11 | 77 |