| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 1.0% | 1.0% |
| Time in Market | 98.0% | 98.0% |
| Cumulative Return | 0.62% | 8.41% |
| CAGR% | 3.58% | 58.28% |
| Sharpe | 0.27 | 3.64 |
| Sortino | 0.41 | 5.65 |
| Max Drawdown | -9.23% | -4.01% |
| Longest DD Days | 22 | 19 |
| Volatility (ann.) | 22.67% | 13.25% |
| R^2 | 0.46 | 0.46 |
| Calmar | 0.39 | 14.6 |
| Skew | 0.21 | -0.59 |
| Kurtosis | -0.03 | 1.57 |
| Expected Daily % | 0.01% | 0.19% |
| Expected Monthly % | 0.21% | 2.73% |
| Expected Yearly % | 0.62% | 8.41% |
| Kelly Criterion | -5.66% | 38.1% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.32% | -1.18% |
| Expected Shortfall (cVaR) | -3.04% | -3.04% |
| Payoff Ratio | 1.18 | 1.17 |
| Profit Factor | 0.04 | 0.85 |
| Common Sense Ratio | 0.07 | 1.06 |
| CPC Index | 0.02 | 0.66 |
| Tail Ratio | 1.53 | 1.25 |
| Outlier Win Ratio | 1.9 | 4.02 |
| Outlier Loss Ratio | 2.62 | 3.75 |
| MTD | 3.94% | 2.96% |
| 3M | 0.62% | 8.41% |
| 6M | 0.62% | 8.41% |
| YTD | 0.62% | 8.41% |
| 1Y | 0.62% | 8.41% |
| 3Y (ann.) | 3.57% | 58.53% |
| 5Y (ann.) | 3.57% | 58.53% |
| 10Y (ann.) | 3.57% | 58.53% |
| All-time (ann.) | 3.57% | 58.53% |
| Best Day | 3.17% | 2.06% |
| Worst Day | -3.38% | -2.26% |
| Best Month | 3.94% | 6.02% |
| Worst Month | -4.84% | -0.69% |
| Best Year | 0.62% | 8.41% |
| Worst Year | 0.62% | 8.41% |
| Avg. Drawdown | -2.83% | -1.18% |
| Avg. Drawdown Days | 9 | 6 |
| Recovery Factor | 0.07 | 2.1 |
| Ulcer Index | inf | 1.02 |
| Avg. Up Month | 2.84% | 4.49% |
| Avg. Down Month | -4.84% | -0.69% |
| Win Days % | 42.86% | 66.67% |
| Win Month % | 66.67% | 66.67% |
| Win Quarter % | 100.0% | 100.0% |
| Win Year % | 100.0% | 100.0% |
| Beta | 1.16 | - |
| Alpha | -0.5 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 8.45 | 0.62 | 0.07 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-16 | 2021-12-08 | -9.26 | 22 |
| 2021-10-21 | 2021-11-08 | -2.22 | 18 |
| 2021-11-09 | 2021-11-15 | -1.80 | 6 |
| 2021-10-06 | 2021-10-07 | -1.49 | 1 |
| 2021-10-08 | 2021-10-15 | -1.16 | 7 |
| 2021-10-18 | 2021-10-19 | -1.12 | 1 |