| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 93.0% | 91.0% |
| Cumulative Return | -2.92% | -3.58% |
| CAGR% | -11.05% | -13.43% |
| Sharpe | -1.32 | -2.34 |
| Sortino | -1.74 | -2.96 |
| Max Drawdown | -5.49% | -4.89% |
| Longest DD Days | 58 | 57 |
| Volatility (ann.) | 8.7% | 6.17% |
| R^2 | 0.28 | 0.28 |
| Calmar | -2.02 | -2.75 |
| Skew | -0.07 | 0.04 |
| Kurtosis | 0.16 | 0.04 |
| Expected Daily % | -0.05% | -0.06% |
| Expected Monthly % | -0.74% | -0.91% |
| Expected Yearly % | -1.47% | -1.81% |
| Kelly Criterion | -4.7% | -27.81% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.95% | -0.7% |
| Expected Shortfall (cVaR) | -1.11% | -1.11% |
| Payoff Ratio | 0.98 | 0.74 |
| Profit Factor | 0.2 | 0.32 |
| Common Sense Ratio | 0.18 | 0.24 |
| CPC Index | 0.09 | 0.11 |
| Tail Ratio | 0.9 | 0.76 |
| Outlier Win Ratio | 2.81 | 4.14 |
| Outlier Loss Ratio | 2.16 | 2.88 |
| MTD | -1.48% | -2.05% |
| 3M | -2.92% | -3.58% |
| 6M | -2.92% | -3.58% |
| YTD | -4.06% | -4.81% |
| 1Y | -2.92% | -3.58% |
| 3Y (ann.) | -11.09% | -13.47% |
| 5Y (ann.) | -11.09% | -13.47% |
| 10Y (ann.) | -11.09% | -13.47% |
| All-time (ann.) | -11.09% | -13.47% |
| Best Day | 1.28% | 0.92% |
| Worst Day | -1.3% | -0.92% |
| Best Month | 2.21% | 1.66% |
| Worst Month | -2.61% | -2.81% |
| Best Year | 1.19% | 1.29% |
| Worst Year | -4.06% | -4.81% |
| Avg. Drawdown | -1.59% | -1.61% |
| Avg. Drawdown Days | 16 | 21 |
| Recovery Factor | -0.53 | -0.73 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 2.21% | 1.66% |
| Avg. Down Month | -1.7% | -1.74% |
| Win Days % | 48.28% | 45.61% |
| Win Month % | 25.0% | 25.0% |
| Win Quarter % | 50.0% | 50.0% |
| Win Year % | 50.0% | 50.0% |
| Beta | 0.74 | - |
| Alpha | -0.01 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.29 | 1.19 | 0.92 | - |
| 2022 | -4.82 | -4.07 | 0.84 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-29 | 2022-02-25 | -5.51 | 58 |
| 2021-11-30 | 2021-12-07 | -1.01 | 7 |
| 2021-12-15 | 2021-12-24 | -0.73 | 9 |
| 2021-12-08 | 2021-12-13 | -0.64 | 5 |
| 2021-11-26 | 2021-11-29 | -0.10 | 3 |