| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 98.0% |
| Cumulative Return | -5.16% | 1.46% |
| CAGR% | -25.73% | 8.49% |
| Sharpe | -1.32 | 16.41 |
| Sortino | -1.76 | 33.23 |
| Max Drawdown | -6.92% | -0.1% |
| Longest DD Days | 53 | 1 |
| Volatility (ann.) | 19.68% | 0.46% |
| R^2 | 0.03 | 0.03 |
| Calmar | -3.72 | 84.82 |
| Skew | 0.01 | 0.5 |
| Kurtosis | -0.0 | 19.43 |
| Expected Daily % | -0.11% | 0.03% |
| Expected Monthly % | -1.75% | 0.48% |
| Expected Yearly % | -5.16% | 1.46% |
| Kelly Criterion | 38.86% | 90.59% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.14% | -0.02% |
| Expected Shortfall (cVaR) | -2.53% | -2.53% |
| Payoff Ratio | 9.51 | 0.29 |
| Profit Factor | 0.2 | 14.5 |
| Common Sense Ratio | 0.15 | 24.92 |
| CPC Index | 0.84 | 4.15 |
| Tail Ratio | 0.78 | 1.72 |
| Outlier Win Ratio | 1.43 | 39.4 |
| Outlier Loss Ratio | 1.38 | 13.25 |
| MTD | -2.97% | 0.51% |
| 3M | -5.16% | 1.46% |
| 6M | -5.16% | 1.46% |
| YTD | -5.16% | 1.46% |
| 1Y | -5.16% | 1.46% |
| 3Y (ann.) | -25.73% | 8.49% |
| 5Y (ann.) | -25.73% | 8.49% |
| 10Y (ann.) | -25.73% | 8.49% |
| All-time (ann.) | -25.73% | 8.49% |
| Best Day | 2.99% | 0.17% |
| Worst Day | -2.71% | -0.1% |
| Best Month | 1.73% | 0.51% |
| Worst Month | -3.92% | 0.43% |
| Best Year | -5.16% | 1.46% |
| Worst Year | -5.16% | 1.46% |
| Avg. Drawdown | -6.44% | -0.1% |
| Avg. Drawdown Days | 32 | 1 |
| Recovery Factor | -0.75 | 14.6 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 1.73% | 0.51% |
| Avg. Down Month | nan% | nan% |
| Win Days % | 44.68% | 97.87% |
| Win Month % | 33.33% | 100.0% |
| Win Quarter % | 0.0% | 100.0% |
| Win Year % | 0.0% | 100.0% |
| Beta | -7.44 | - |
| Alpha | 0.31 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.46 | -5.16 | -3.53 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-07-15 | 2021-09-06 | -6.92 | 53 |
| 2021-09-07 | 2021-09-17 | -5.97 | 10 |