| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 87.0% | 99.0% |
| Cumulative Return | -0.9% | -2.66% |
| CAGR% | -2.41% | -6.98% |
| Sharpe | -0.27 | -0.97 |
| Sortino | -0.4 | -1.35 |
| Max Drawdown | -3.4% | -4.13% |
| Longest DD Days | 71 | 134 |
| Volatility (ann.) | 7.5% | 6.9% |
| R^2 | 0.33 | 0.33 |
| Calmar | -0.71 | -1.69 |
| Skew | 0.31 | 0.23 |
| Kurtosis | 0.32 | -0.07 |
| Expected Daily % | -0.01% | -0.03% |
| Expected Monthly % | -0.18% | -0.54% |
| Expected Yearly % | -0.9% | -2.66% |
| Kelly Criterion | -0.87% | -12.08% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.78% | -0.74% |
| Expected Shortfall (cVaR) | -1.1% | -1.1% |
| Payoff Ratio | 1.05 | 0.82 |
| Profit Factor | 0.04 | 0.14 |
| Common Sense Ratio | 0.06 | 0.13 |
| CPC Index | 0.02 | 0.06 |
| Tail Ratio | 1.29 | 0.95 |
| Outlier Win Ratio | 3.26 | 3.28 |
| Outlier Loss Ratio | 2.11 | 2.34 |
| MTD | -0.5% | -0.5% |
| 3M | 2.07% | 0.4% |
| 6M | -0.9% | -2.66% |
| YTD | -0.9% | -2.66% |
| 1Y | -0.9% | -2.66% |
| 3Y (ann.) | -2.41% | -6.98% |
| 5Y (ann.) | -2.41% | -6.98% |
| 10Y (ann.) | -2.41% | -6.98% |
| All-time (ann.) | -2.41% | -6.98% |
| Best Day | 1.34% | 1.31% |
| Worst Day | -1.31% | -0.94% |
| Best Month | 0.92% | 0.08% |
| Worst Month | -1.61% | -1.89% |
| Best Year | -0.9% | -2.66% |
| Worst Year | -0.9% | -2.66% |
| Avg. Drawdown | -2.89% | -4.13% |
| Avg. Drawdown Days | 66 | 134 |
| Recovery Factor | -0.27 | -0.64 |
| Ulcer Index | 1.22 | 4.75 |
| Avg. Up Month | 0.51% | 0.08% |
| Avg. Down Month | -1.06% | -1.19% |
| Win Days % | 48.24% | 49.48% |
| Win Month % | 40.0% | 40.0% |
| Win Quarter % | 0.0% | 0.0% |
| Win Year % | 0.0% | 0.0% |
| Beta | 0.63 | - |
| Alpha | 0.02 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -2.66 | -0.90 | 0.34 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-05-06 | 2021-07-06 | -3.40 | 61 |
| 2021-07-08 | 2021-09-17 | -2.38 | 71 |