| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 99.0% |
| Cumulative Return | -6.2% | 2.02% |
| CAGR% | -15.38% | 5.36% |
| Sharpe | -0.3 | 13.82 |
| Sortino | -0.39 | 31.77 |
| Max Drawdown | -18.72% | -0.1% |
| Longest DD Days | 78 | 1 |
| Volatility (ann.) | 34.31% | 0.37% |
| R^2 | 0.02 | 0.02 |
| Calmar | -0.82 | 53.55 |
| Skew | -0.5 | 1.64 |
| Kurtosis | 0.74 | 26.35 |
| Expected Daily % | -0.06% | 0.02% |
| Expected Monthly % | -1.06% | 0.33% |
| Expected Yearly % | -6.2% | 2.02% |
| Kelly Criterion | 52.48% | 93.97% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.6% | -0.02% |
| Expected Shortfall (cVaR) | -5.14% | -5.14% |
| Payoff Ratio | 14.45 | 0.2 |
| Profit Factor | 0.05 | 20.01 |
| Common Sense Ratio | 0.04 | 97.97 |
| CPC Index | 0.39 | 3.99 |
| Tail Ratio | 0.8 | 4.9 |
| Outlier Win Ratio | 1.63 | 108.94 |
| Outlier Loss Ratio | 1.58 | 30.01 |
| MTD | -2.83% | 0.1% |
| 3M | 3.84% | 0.9% |
| 6M | -6.2% | 2.02% |
| YTD | -6.2% | 2.02% |
| 1Y | -6.2% | 2.02% |
| 3Y (ann.) | -15.38% | 5.36% |
| 5Y (ann.) | -15.38% | 5.36% |
| 10Y (ann.) | -15.38% | 5.36% |
| All-time (ann.) | -15.38% | 5.36% |
| Best Day | 4.83% | 0.17% |
| Worst Day | -6.72% | -0.1% |
| Best Month | 16.84% | 0.74% |
| Worst Month | -10.09% | 0.0% |
| Best Year | -6.2% | 2.02% |
| Worst Year | -6.2% | 2.02% |
| Avg. Drawdown | -11.04% | -0.1% |
| Avg. Drawdown Days | 44 | 1 |
| Recovery Factor | -0.33 | 20.21 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 8.53% | 0.43% |
| Avg. Down Month | nan% | nan% |
| Win Days % | 55.56% | 98.99% |
| Win Month % | 40.0% | 100.0% |
| Win Quarter % | 50.0% | 100.0% |
| Win Year % | 0.0% | 100.0% |
| Beta | -13.76 | - |
| Alpha | 0.59 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.02 | -6.20 | -3.06 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-05-04 | 2021-06-24 | -18.72 | 51 |
| 2021-07-01 | 2021-09-17 | -12.31 | 78 |
| 2021-06-25 | 2021-06-28 | -2.10 | 3 |