| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 64.0% | 100.0% |
| Cumulative Return | -39.39% | -5.69% |
| CAGR% | -31.63% | -4.35% |
| Sharpe | -0.92 | -0.19 |
| Sortino | -0.95 | -0.25 |
| Max Drawdown | -44.08% | -21.99% |
| Longest DD Days | 338 | 209 |
| Volatility (ann.) | 32.56% | 16.17% |
| R^2 | 0.0 | 0.0 |
| Calmar | -0.72 | -0.2 |
| Skew | -14.22 | -0.2 |
| Kurtosis | 235.97 | 1.82 |
| Expected Daily % | -0.15% | -0.02% |
| Expected Monthly % | -2.9% | -0.34% |
| Expected Yearly % | -22.15% | -2.89% |
| Kelly Criterion | -17.43% | -8.72% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.49% | -1.69% |
| Expected Shortfall (cVaR) | -21.82% | -21.82% |
| Payoff Ratio | 0.74 | 0.86 |
| Profit Factor | 0.36 | 0.03 |
| Common Sense Ratio | 0.29 | 0.03 |
| CPC Index | 0.13 | 0.01 |
| Tail Ratio | 0.81 | 0.89 |
| Outlier Win Ratio | 6.19 | 2.61 |
| Outlier Loss Ratio | 2.67 | 3.68 |
| MTD | 0.0% | 1.58% |
| 3M | 0.0% | 3.18% |
| 6M | -42.44% | -10.54% |
| YTD | -43.25% | -12.28% |
| 1Y | -42.48% | -10.59% |
| 3Y (ann.) | -31.77% | -4.38% |
| 5Y (ann.) | -31.77% | -4.38% |
| 10Y (ann.) | -31.77% | -4.38% |
| All-time (ann.) | -31.77% | -4.38% |
| Best Day | 2.94% | 4.04% |
| Worst Day | -34.61% | -3.87% |
| Best Month | 4.95% | 5.6% |
| Worst Month | -41.47% | -9.48% |
| Best Year | 6.81% | 7.5% |
| Worst Year | -43.25% | -12.28% |
| Avg. Drawdown | -4.41% | -3.19% |
| Avg. Drawdown Days | 34 | 27 |
| Recovery Factor | -0.89 | -0.26 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 2.72% | 2.65% |
| Avg. Down Month | -10.75% | -2.69% |
| Win Days % | 50.0% | 49.71% |
| Win Month % | 54.55% | 58.82% |
| Win Quarter % | 50.0% | 50.0% |
| Win Year % | 50.0% | 50.0% |
| Beta | -0.01 | - |
| Alpha | -0.3 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.53 | 6.83 | 0.91 | - |
| 2022 | -12.33 | -43.42 | 3.52 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-07 | 2022-08-11 | -44.24 | 338 |
| 2021-06-16 | 2021-08-13 | -4.70 | 58 |
| 2021-08-16 | 2021-09-02 | -2.79 | 17 |
| 2021-05-10 | 2021-05-20 | -2.76 | 10 |
| 2021-04-27 | 2021-05-06 | -1.33 | 9 |
| 2021-06-03 | 2021-06-04 | -0.62 | 1 |
| 2021-05-25 | 2021-05-27 | -0.31 | 2 |
| 2021-06-09 | 2021-06-10 | -0.27 | 1 |
| 2021-05-28 | 2021-05-31 | -0.15 | 3 |
| 2021-06-07 | 2021-06-08 | -0.12 | 1 |