| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | -66.63% | -20.6% |
| CAGR% | -60.43% | -17.71% |
| Sharpe | -1.07 | -0.41 |
| Sortino | -1.21 | -0.47 |
| Max Drawdown | -77.68% | -39.65% |
| Longest DD Days | 376 | 137 |
| Volatility (ann.) | 76.11% | 39.25% |
| R^2 | 0.54 | 0.54 |
| Calmar | -0.78 | -0.45 |
| Skew | -6.01 | -8.52 |
| Kurtosis | 68.71 | 117.5 |
| Expected Daily % | -0.48% | -0.1% |
| Expected Monthly % | -8.74% | -1.9% |
| Expected Yearly % | -42.23% | -10.89% |
| Kelly Criterion | -35.53% | -24.1% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -8.21% | -4.13% |
| Expected Shortfall (cVaR) | -16.65% | -16.65% |
| Payoff Ratio | 0.6 | 0.77 |
| Profit Factor | 0.23 | 0.14 |
| Common Sense Ratio | 0.18 | 0.17 |
| CPC Index | 0.07 | 0.05 |
| Tail Ratio | 0.8 | 1.24 |
| Outlier Win Ratio | 3.21 | 8.05 |
| Outlier Loss Ratio | 2.22 | 7.42 |
| MTD | 24.66% | 14.56% |
| 3M | -50.62% | -28.99% |
| 6M | -59.06% | -22.77% |
| YTD | -62.98% | -21.08% |
| 1Y | -71.07% | -20.74% |
| 3Y (ann.) | -60.43% | -17.71% |
| 5Y (ann.) | -60.43% | -17.71% |
| 10Y (ann.) | -60.43% | -17.71% |
| All-time (ann.) | -60.43% | -17.71% |
| Best Day | 15.79% | 10.7% |
| Worst Day | -54.0% | -31.57% |
| Best Month | 24.66% | 14.56% |
| Worst Month | -60.39% | -38.01% |
| Best Year | -9.84% | 0.61% |
| Worst Year | -62.98% | -21.08% |
| Avg. Drawdown | -15.55% | -5.11% |
| Avg. Drawdown Days | 68 | 32 |
| Recovery Factor | -0.86 | -0.52 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 12.44% | 7.32% |
| Avg. Down Month | -34.93% | -19.34% |
| Win Days % | 49.11% | 45.85% |
| Win Month % | 41.67% | 58.33% |
| Win Quarter % | 33.33% | 50.0% |
| Win Year % | 0.0% | 50.0% |
| Beta | 1.43 | - |
| Alpha | -0.58 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.61 | -9.84 | -16.24 | - |
| 2022 | -21.08 | -62.98 | 2.99 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-07-01 | 2022-07-12 | -77.68 | 376 |
| 2021-05-07 | 2021-05-25 | -7.20 | 18 |
| 2021-05-31 | 2021-06-11 | -3.14 | 11 |
| 2021-06-15 | 2021-06-17 | -2.61 | 2 |
| 2021-06-25 | 2021-06-28 | -2.10 | 3 |
| 2021-05-27 | 2021-05-28 | -0.59 | 1 |