AMIN USD[Strategy] vs ^SP500TR USD[Benchmark]

23 Apr, 2021 - 11 Jul, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	1.0%	1.0%
Time in Market	98.0%	100.0%
Cumulative Return	-62.47%	-6.1%
CAGR%	-55.14%	-5.02%
Sharpe	-1.65	-0.27
Sortino	-1.95	-0.32
Max Drawdown	-70.12%	-22.92%
Longest DD Days	375	188
Volatility (ann.)	57.11%	19.37%
R^2	0.37	0.37
Calmar	-0.79	-0.22
Skew	-2.33	-3.45
Kurtosis	17.66	27.08
Expected Daily %	-0.44%	-0.03%
Expected Monthly %	-7.26%	-0.48%
Expected Yearly %	-38.74%	-3.1%
Kelly Criterion	-22.42%	-8.2%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-6.29%	-2.03%
Expected Shortfall (cVaR)	-10.51%	-10.51%
Payoff Ratio	0.72	0.71
Profit Factor	0.28	0.05
Common Sense Ratio	0.19	0.04
CPC Index	0.1	0.02
Tail Ratio	0.67	0.8
Outlier Win Ratio	2.29	6.8
Outlier Loss Ratio	2.04	6.39
MTD	11.85%	1.86%
3M	-27.47%	-11.52%
6M	-45.54%	-17.2%
YTD	-51.64%	-18.61%
1Y	-62.59%	-10.44%
3Y (ann.)	-55.32%	-5.04%
5Y (ann.)	-55.32%	-5.04%
10Y (ann.)	-55.32%	-5.04%
All-time (ann.)	-55.32%	-5.04%
Best Day	12.01%	3.29%
Worst Day	-28.54%	-10.59%
Best Month	15.71%	6.98%
Worst Month	-35.15%	-13.14%
Best Year	-22.39%	15.37%
Worst Year	-51.64%	-18.61%
Avg. Drawdown	-30.39%	-2.05%
Avg. Drawdown Days	146	14
Recovery Factor	-0.89	-0.27
Ulcer Index	inf	inf
Avg. Up Month	9.33%	3.55%
Avg. Down Month	-18.24%	-5.32%
Win Days %	48.6%	55.25%
Win Month %	30.77%	61.54%
Win Quarter %	33.33%	66.67%
Win Year %	0.0%	50.0%
Beta	1.78	-
Alpha	-0.85	-