| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 86.0% | 97.0% |
| Cumulative Return | -8.13% | -11.24% |
| CAGR% | -7.11% | -9.85% |
| Sharpe | -1.31 | -2.02 |
| Sortino | -1.58 | -2.1 |
| Max Drawdown | -10.34% | -13.03% |
| Longest DD Days | 189 | 190 |
| Volatility (ann.) | 11.87% | 11.03% |
| R^2 | 0.16 | 0.16 |
| Calmar | -0.69 | -0.76 |
| Skew | -1.87 | -6.05 |
| Kurtosis | 10.82 | 47.24 |
| Expected Daily % | -0.06% | -0.09% |
| Expected Monthly % | -0.7% | -0.99% |
| Expected Yearly % | -4.15% | -5.79% |
| Kelly Criterion | -24.96% | -35.45% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.29% | -1.23% |
| Expected Shortfall (cVaR) | -2.33% | -2.33% |
| Payoff Ratio | 0.69 | 0.63 |
| Profit Factor | 0.23 | 0.48 |
| Common Sense Ratio | 0.2 | 0.39 |
| CPC Index | 0.08 | 0.14 |
| Tail Ratio | 0.88 | 0.81 |
| Outlier Win Ratio | 2.8 | 5.24 |
| Outlier Loss Ratio | 4.21 | 7.05 |
| MTD | -4.65% | -3.56% |
| 3M | -3.75% | -9.44% |
| 6M | -10.15% | -12.7% |
| YTD | -9.95% | -12.87% |
| 1Y | -9.62% | -12.56% |
| 3Y (ann.) | -7.14% | -9.89% |
| 5Y (ann.) | -7.14% | -9.89% |
| 10Y (ann.) | -7.14% | -9.89% |
| All-time (ann.) | -7.14% | -9.89% |
| Best Day | 2.05% | 1.13% |
| Worst Day | -4.65% | -6.09% |
| Best Month | 3.56% | 2.42% |
| Worst Month | -4.77% | -6.09% |
| Best Year | 2.02% | 1.87% |
| Worst Year | -9.95% | -12.87% |
| Avg. Drawdown | -1.94% | -1.78% |
| Avg. Drawdown Days | 38 | 39 |
| Recovery Factor | -0.79 | -0.86 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 1.45% | 0.94% |
| Avg. Down Month | -2.46% | -1.56% |
| Win Days % | 49.11% | 47.62% |
| Win Month % | 41.67% | 41.67% |
| Win Quarter % | 66.67% | 50.0% |
| Win Year % | 50.0% | 50.0% |
| Beta | 0.43 | - |
| Alpha | -0.06 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.87 | 2.02 | 1.08 | + |
| 2022 | -12.91 | -9.99 | 0.77 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-29 | 2022-07-06 | -10.38 | 189 |
| 2021-09-14 | 2021-12-28 | -3.80 | 105 |
| 2021-07-06 | 2021-09-01 | -1.33 | 57 |
| 2021-09-07 | 2021-09-13 | -1.03 | 6 |
| 2021-05-19 | 2021-05-24 | -0.97 | 5 |
| 2021-06-14 | 2021-06-24 | -0.82 | 10 |
| 2021-05-31 | 2021-06-03 | -0.37 | 3 |
| 2021-06-10 | 2021-06-11 | -0.37 | 1 |
| 2021-06-25 | 2021-06-29 | -0.30 | 4 |
| 2021-05-17 | 2021-05-18 | -0.10 | 1 |