| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 99.0% |
| Cumulative Return | -6.65% | 2.36% |
| CAGR% | -16.42% | 6.26% |
| Sharpe | -1.13 | 20.08 |
| Sortino | -1.5 | 36.9 |
| Max Drawdown | -9.53% | -0.1% |
| Longest DD Days | 107 | 1 |
| Volatility (ann.) | 14.43% | 0.29% |
| R^2 | 0.01 | 0.01 |
| Calmar | -1.72 | 62.47 |
| Skew | -0.11 | -0.34 |
| Kurtosis | 0.69 | 36.71 |
| Expected Daily % | -0.07% | 0.02% |
| Expected Monthly % | -1.14% | 0.39% |
| Expected Yearly % | -6.65% | 2.36% |
| Kelly Criterion | 38.61% | 94.68% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.56% | -0.01% |
| Expected Shortfall (cVaR) | -2.11% | -2.11% |
| Payoff Ratio | 6.82 | 0.23 |
| Profit Factor | 0.17 | 23.25 |
| Common Sense Ratio | 0.16 | 46.73 |
| CPC Index | 0.54 | 5.39 |
| Tail Ratio | 0.96 | 2.01 |
| Outlier Win Ratio | 1.78 | 48.48 |
| Outlier Loss Ratio | 1.75 | 12.47 |
| MTD | -2.42% | 0.51% |
| 3M | -4.83% | 1.7% |
| 6M | -6.65% | 2.36% |
| YTD | -6.65% | 2.36% |
| 1Y | -6.65% | 2.36% |
| 3Y (ann.) | -16.42% | 6.26% |
| 5Y (ann.) | -16.42% | 6.26% |
| 10Y (ann.) | -16.42% | 6.26% |
| All-time (ann.) | -16.42% | 6.26% |
| Best Day | 2.4% | 0.14% |
| Worst Day | -2.65% | -0.1% |
| Best Month | 1.5% | 0.51% |
| Worst Month | -5.74% | 0.0% |
| Best Year | -6.65% | 2.36% |
| Worst Year | -6.65% | 2.36% |
| Avg. Drawdown | -7.54% | -0.1% |
| Avg. Drawdown Days | 68 | 1 |
| Recovery Factor | -0.7 | 23.51 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 1.21% | 0.48% |
| Avg. Down Month | nan% | nan% |
| Win Days % | 46.46% | 98.99% |
| Win Month % | 40.0% | 100.0% |
| Win Quarter % | 0.0% | 100.0% |
| Win Year % | 0.0% | 100.0% |
| Beta | -4.72 | - |
| Alpha | 0.11 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.36 | -6.65 | -2.82 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-06-02 | 2021-09-17 | -9.53 | 107 |
| 2021-05-04 | 2021-06-01 | -5.54 | 28 |