| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 1.0% | 1.0% |
| Time in Market | 94.0% | 97.0% |
| Cumulative Return | 0.91% | 1.16% |
| CAGR% | 6.82% | 8.79% |
| Sharpe | 0.39 | 0.81 |
| Sortino | 0.54 | 1.15 |
| Max Drawdown | -5.8% | -3.98% |
| Longest DD Days | 46 | 25 |
| Volatility (ann.) | 26.53% | 11.72% |
| R^2 | 0.35 | 0.35 |
| Calmar | 1.18 | 2.22 |
| Skew | -0.55 | -0.5 |
| Kurtosis | 2.85 | 1.27 |
| Expected Daily % | 0.03% | 0.04% |
| Expected Monthly % | 0.3% | 0.39% |
| Expected Yearly % | 0.91% | 1.16% |
| Kelly Criterion | 0.47% | -5.28% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.71% | -1.18% |
| Expected Shortfall (cVaR) | -5.28% | -5.28% |
| Payoff Ratio | 0.73 | 0.8 |
| Profit Factor | 0.08 | 0.16 |
| Common Sense Ratio | 0.09 | 0.16 |
| CPC Index | 0.03 | 0.07 |
| Tail Ratio | 1.19 | 1.06 |
| Outlier Win Ratio | 2.71 | 4.89 |
| Outlier Loss Ratio | 2.34 | 5.81 |
| MTD | 2.37% | 0.5% |
| 3M | 0.91% | 1.16% |
| 6M | 0.91% | 1.16% |
| YTD | 0.91% | 1.16% |
| 1Y | 0.91% | 1.16% |
| 3Y (ann.) | 6.82% | 8.82% |
| 5Y (ann.) | 6.82% | 8.82% |
| 10Y (ann.) | 6.82% | 8.82% |
| All-time (ann.) | 6.82% | 8.82% |
| Best Day | 3.91% | 1.49% |
| Worst Day | -5.28% | -2.12% |
| Best Month | 2.37% | 0.68% |
| Worst Month | -1.28% | -0.02% |
| Best Year | 0.91% | 1.16% |
| Worst Year | 0.91% | 1.16% |
| Avg. Drawdown | -5.8% | -1.48% |
| Avg. Drawdown Days | 46 | 8 |
| Recovery Factor | 0.16 | 0.29 |
| Ulcer Index | inf | 1.27 |
| Avg. Up Month | 2.37% | 0.5% |
| Avg. Down Month | -1.28% | -0.02% |
| Win Days % | 58.06% | 53.12% |
| Win Month % | 33.33% | 66.67% |
| Win Quarter % | 100.0% | 100.0% |
| Win Year % | 100.0% | 100.0% |
| Beta | 1.34 | - |
| Alpha | -0.02 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.17 | 0.91 | 0.78 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-04-29 | 2021-06-14 | -5.82 | 46 |