| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 87.0% | 99.0% |
| Cumulative Return | -0.9% | 17.28% |
| CAGR% | -2.39% | 53.15% |
| Sharpe | -0.27 | 3.81 |
| Sortino | -0.4 | 6.21 |
| Max Drawdown | -3.39% | -4.09% |
| Longest DD Days | 71 | 33 |
| Volatility (ann.) | 7.47% | 10.93% |
| R^2 | 0.0 | 0.0 |
| Calmar | -0.71 | 13.04 |
| Skew | 0.31 | -0.32 |
| Kurtosis | 0.32 | 0.43 |
| Expected Daily % | -0.01% | 0.16% |
| Expected Monthly % | -0.18% | 3.24% |
| Expected Yearly % | -0.9% | 17.28% |
| Kelly Criterion | -13.63% | 32.47% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.78% | -0.97% |
| Expected Shortfall (cVaR) | -1.1% | -1.1% |
| Payoff Ratio | 0.84 | 1.02 |
| Profit Factor | 0.04 | 0.82 |
| Common Sense Ratio | 0.06 | 1.2 |
| CPC Index | 0.02 | 0.55 |
| Tail Ratio | 1.29 | 1.46 |
| Outlier Win Ratio | 4.05 | 2.4 |
| Outlier Loss Ratio | 3.24 | 2.28 |
| MTD | -0.5% | 3.19% |
| 3M | 2.06% | 7.57% |
| 6M | -0.9% | 17.28% |
| YTD | -0.9% | 17.28% |
| 1Y | -0.9% | 17.28% |
| 3Y (ann.) | -2.4% | 53.38% |
| 5Y (ann.) | -2.4% | 53.38% |
| 10Y (ann.) | -2.4% | 53.38% |
| All-time (ann.) | -2.4% | 53.38% |
| Best Day | 1.34% | 1.85% |
| Worst Day | -1.31% | -1.81% |
| Best Month | 0.92% | 5.86% |
| Worst Month | -1.6% | -0.11% |
| Best Year | -0.9% | 17.28% |
| Worst Year | -0.9% | 17.28% |
| Avg. Drawdown | -2.88% | -1.15% |
| Avg. Drawdown Days | 66 | 8 |
| Recovery Factor | -0.27 | 4.22 |
| Ulcer Index | 1.22 | 0.98 |
| Avg. Up Month | 0.71% | 3.67% |
| Avg. Down Month | -0.2% | -0.11% |
| Win Days % | 48.24% | 65.98% |
| Win Month % | 40.0% | 80.0% |
| Win Quarter % | 0.0% | 100.0% |
| Win Year % | 0.0% | 100.0% |
| Beta | -0.01 | - |
| Alpha | -0.02 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 17.34 | -0.90 | -0.05 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-05-06 | 2021-07-06 | -3.40 | 61 |
| 2021-07-08 | 2021-09-17 | -2.38 | 71 |