| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 1.0% | 1.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | -4.79% | 6.65% |
| CAGR% | -11.39% | 17.27% |
| Sharpe | -0.16 | 1.62 |
| Sortino | -0.2 | 2.41 |
| Max Drawdown | -20.94% | -3.98% |
| Longest DD Days | 78 | 25 |
| Volatility (ann.) | 35.94% | 10.15% |
| R^2 | 0.06 | 0.06 |
| Calmar | -0.55 | 4.36 |
| Skew | -0.76 | -0.31 |
| Kurtosis | 1.36 | 0.92 |
| Expected Daily % | -0.05% | 0.06% |
| Expected Monthly % | -0.81% | 1.08% |
| Expected Yearly % | -4.79% | 6.65% |
| Kelly Criterion | 3.02% | 6.74% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.75% | -0.99% |
| Expected Shortfall (cVaR) | -5.77% | -5.77% |
| Payoff Ratio | 0.86 | 0.91 |
| Profit Factor | 0.03 | 0.31 |
| Common Sense Ratio | 0.03 | 0.37 |
| CPC Index | 0.01 | 0.16 |
| Tail Ratio | 1.1 | 1.17 |
| Outlier Win Ratio | 1.9 | 5.8 |
| Outlier Loss Ratio | 2.03 | 8.71 |
| MTD | -3.23% | -1.9% |
| 3M | 2.69% | 5.3% |
| 6M | -4.79% | 6.65% |
| YTD | -4.79% | 6.65% |
| 1Y | -4.79% | 6.65% |
| 3Y (ann.) | -11.47% | 17.33% |
| 5Y (ann.) | -11.47% | 17.33% |
| 10Y (ann.) | -11.47% | 17.33% |
| All-time (ann.) | -11.47% | 17.33% |
| Best Day | 4.39% | 1.51% |
| Worst Day | -8.41% | -2.12% |
| Best Month | 15.71% | 3.03% |
| Worst Month | -8.31% | -1.9% |
| Best Year | -4.79% | 6.65% |
| Worst Year | -4.79% | 6.65% |
| Avg. Drawdown | -16.89% | -1.16% |
| Avg. Drawdown Days | 70 | 6 |
| Recovery Factor | -0.23 | 1.67 |
| Ulcer Index | 1.25 | 1.11 |
| Avg. Up Month | 8.33% | 2.68% |
| Avg. Down Month | -3.23% | -1.9% |
| Win Days % | 55.1% | 55.45% |
| Win Month % | 33.33% | 83.33% |
| Win Quarter % | 50.0% | 100.0% |
| Win Year % | 0.0% | 100.0% |
| Beta | 0.84 | - |
| Alpha | -0.19 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 6.67 | -4.82 | -0.72 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-04-28 | 2021-06-28 | -21.01 | 61 |
| 2021-07-01 | 2021-09-17 | -12.88 | 78 |