| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 94.0% | 97.0% |
| Cumulative Return | -0.21% | -3.37% |
| CAGR% | -1.71% | -24.73% |
| Sharpe | -0.04 | -4.06 |
| Sortino | -0.05 | -4.83 |
| Max Drawdown | -5.68% | -4.13% |
| Longest DD Days | 42 | 42 |
| Volatility (ann.) | 15.04% | 6.59% |
| R^2 | 0.0 | 0.0 |
| Calmar | -0.3 | -5.99 |
| Skew | -0.8 | 0.18 |
| Kurtosis | 1.61 | -0.33 |
| Expected Daily % | -0.01% | -0.11% |
| Expected Monthly % | -0.1% | -1.7% |
| Expected Yearly % | -0.21% | -3.37% |
| Kelly Criterion | -10.95% | -216.91% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.56% | -0.79% |
| Expected Shortfall (cVaR) | -2.07% | -2.07% |
| Payoff Ratio | 0.73 | 0.21 |
| Profit Factor | 0.01 | 0.49 |
| Common Sense Ratio | 0.0 | 0.41 |
| CPC Index | 0.0 | 0.05 |
| Tail Ratio | 0.56 | 0.82 |
| Outlier Win Ratio | 1.99 | 5.34 |
| Outlier Loss Ratio | 2.03 | 4.04 |
| MTD | 1.05% | -1.51% |
| 3M | -0.21% | -3.37% |
| 6M | -0.21% | -3.37% |
| YTD | -0.21% | -3.37% |
| 1Y | -0.21% | -3.37% |
| 3Y (ann.) | -1.71% | -24.73% |
| 5Y (ann.) | -1.71% | -24.73% |
| 10Y (ann.) | -1.71% | -24.73% |
| All-time (ann.) | -1.71% | -24.73% |
| Best Day | 2.08% | 0.77% |
| Worst Day | -2.77% | -0.84% |
| Best Month | 1.05% | -1.51% |
| Worst Month | -1.24% | -1.89% |
| Best Year | -0.21% | -3.37% |
| Worst Year | -0.21% | -3.37% |
| Avg. Drawdown | -5.68% | -4.13% |
| Avg. Drawdown Days | 42 | 42 |
| Recovery Factor | -0.04 | -0.82 |
| Ulcer Index | 1.57 | 8.27 |
| Avg. Up Month | nan% | nan% |
| Avg. Down Month | -1.24% | -1.89% |
| Win Days % | 53.33% | 45.16% |
| Win Month % | 50.0% | 0.0% |
| Win Quarter % | 0.0% | 0.0% |
| Win Year % | 0.0% | 0.0% |
| Beta | -0.04 | - |
| Alpha | -0.02 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -3.37 | -0.21 | 0.06 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-05-06 | 2021-06-17 | -5.68 | 42 |