| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 73.0% | 97.0% |
| Cumulative Return | -15.26% | -1.94% |
| CAGR% | -15.93% | -2.03% |
| Sharpe | -0.93 | -0.26 |
| Sortino | -1.04 | -0.36 |
| Max Drawdown | -23.14% | -8.86% |
| Longest DD Days | 212 | 117 |
| Volatility (ann.) | 16.49% | 6.77% |
| R^2 | 0.01 | 0.01 |
| Calmar | -0.69 | -0.23 |
| Skew | -6.18 | -0.08 |
| Kurtosis | 68.85 | 2.18 |
| Expected Daily % | -0.07% | -0.01% |
| Expected Monthly % | -1.37% | -0.16% |
| Expected Yearly % | -7.95% | -0.98% |
| Kelly Criterion | -1.4% | -16.56% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.77% | -0.71% |
| Expected Shortfall (cVaR) | -3.6% | -3.6% |
| Payoff Ratio | 0.89 | 0.8 |
| Profit Factor | 0.22 | 0.04 |
| Common Sense Ratio | 0.17 | 0.04 |
| CPC Index | 0.1 | 0.02 |
| Tail Ratio | 0.79 | 0.86 |
| Outlier Win Ratio | 4.32 | 4.95 |
| Outlier Loss Ratio | 2.08 | 5.45 |
| MTD | 0.0% | -0.67% |
| 3M | -12.15% | -3.2% |
| 6M | -17.12% | -5.29% |
| YTD | -18.6% | -6.28% |
| 1Y | -15.26% | -1.94% |
| 3Y (ann.) | -15.99% | -2.04% |
| 5Y (ann.) | -15.99% | -2.04% |
| 10Y (ann.) | -15.99% | -2.04% |
| All-time (ann.) | -15.99% | -2.04% |
| Best Day | 2.38% | 1.71% |
| Worst Day | -11.94% | -1.71% |
| Best Month | 4.32% | 3.25% |
| Worst Month | -14.29% | -2.85% |
| Best Year | 4.1% | 4.63% |
| Worst Year | -18.6% | -6.28% |
| Avg. Drawdown | -3.99% | -1.81% |
| Avg. Drawdown Days | 40 | 32 |
| Recovery Factor | -0.66 | -0.22 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 4.02% | 2.14% |
| Avg. Down Month | -5.03% | -2.26% |
| Win Days % | 52.22% | 48.33% |
| Win Month % | 44.44% | 50.0% |
| Win Quarter % | 50.0% | 60.0% |
| Win Year % | 50.0% | 50.0% |
| Beta | 0.18 | - |
| Alpha | -0.15 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 4.65 | 4.11 | 0.88 | - |
| 2022 | -6.31 | -18.67 | 2.96 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-27 | 2022-05-27 | -23.21 | 212 |
| 2021-08-04 | 2021-09-15 | -3.67 | 42 |
| 2021-06-15 | 2021-07-23 | -2.40 | 38 |
| 2021-09-16 | 2021-10-07 | -1.87 | 21 |
| 2021-10-18 | 2021-10-20 | -0.39 | 2 |
| 2021-07-29 | 2021-07-30 | -0.29 | 1 |
| 2021-10-08 | 2021-10-12 | -0.16 | 4 |
| 2021-10-21 | 2021-10-22 | -0.07 | 1 |