| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 92.0% | 100.0% |
| Cumulative Return | -29.54% | -20.73% |
| CAGR% | -25.81% | -17.97% |
| Sharpe | -0.58 | -0.42 |
| Sortino | -0.71 | -0.47 |
| Max Drawdown | -44.56% | -39.65% |
| Longest DD Days | 152 | 137 |
| Volatility (ann.) | 46.57% | 39.51% |
| R^2 | 0.54 | 0.54 |
| Calmar | -0.58 | -0.45 |
| Skew | -3.43 | -8.46 |
| Kurtosis | 43.62 | 116.02 |
| Expected Daily % | -0.15% | -0.1% |
| Expected Monthly % | -2.88% | -1.92% |
| Expected Yearly % | -16.06% | -10.96% |
| Kelly Criterion | -28.91% | -7.34% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.93% | -4.16% |
| Expected Shortfall (cVaR) | -13.56% | -13.56% |
| Payoff Ratio | 0.72 | 1.01 |
| Profit Factor | 0.18 | 0.14 |
| Common Sense Ratio | 0.18 | 0.18 |
| CPC Index | 0.06 | 0.07 |
| Tail Ratio | 0.97 | 1.24 |
| Outlier Win Ratio | 7.52 | 8.44 |
| Outlier Loss Ratio | 5.25 | 7.36 |
| MTD | 16.31% | 14.56% |
| 3M | -33.99% | -28.99% |
| 6M | -32.33% | -22.77% |
| YTD | -30.93% | -21.08% |
| 1Y | -30.31% | -20.74% |
| 3Y (ann.) | -25.81% | -17.97% |
| 5Y (ann.) | -25.81% | -17.97% |
| 10Y (ann.) | -25.81% | -17.97% |
| All-time (ann.) | -25.81% | -17.97% |
| Best Day | 15.32% | 10.7% |
| Worst Day | -27.95% | -31.57% |
| Best Month | 16.31% | 14.56% |
| Worst Month | -43.25% | -38.01% |
| Best Year | 2.02% | 0.44% |
| Worst Year | -30.93% | -21.08% |
| Avg. Drawdown | -9.62% | -5.51% |
| Avg. Drawdown Days | 58 | 34 |
| Recovery Factor | -0.66 | -0.52 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 4.61% | 5.12% |
| Avg. Down Month | -12.13% | -10.59% |
| Win Days % | 46.15% | 46.02% |
| Win Month % | 58.33% | 58.33% |
| Win Quarter % | 50.0% | 50.0% |
| Win Year % | 50.0% | 50.0% |
| Beta | 0.87 | - |
| Alpha | -0.13 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.44 | 2.02 | 4.54 | + |
| 2022 | -21.08 | -30.93 | 1.47 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-25 | 2022-07-12 | -44.56 | 137 |
| 2022-01-27 | 2022-02-24 | -8.02 | 28 |
| 2021-07-08 | 2021-12-07 | -6.65 | 152 |
| 2022-01-10 | 2022-01-21 | -2.90 | 11 |
| 2021-05-11 | 2021-07-02 | -2.72 | 52 |
| 2021-12-08 | 2021-12-29 | -2.18 | 21 |
| 2022-01-03 | 2022-01-04 | -0.30 | 1 |