| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -2.44% | 6.53% |
| CAGR% | -3.59% | 9.85% |
| Sharpe | -0.36 | 1.77 |
| Sortino | -0.42 | 2.77 |
| Max Drawdown | -9.57% | -3.22% |
| Longest DD Days | 83 | 52 |
| Volatility (ann.) | 9.73% | 5.81% |
| R^2 | 0.09 | 0.09 |
| Calmar | -0.38 | 3.07 |
| Skew | -3.51 | 0.16 |
| Kurtosis | 24.88 | 1.15 |
| Expected Daily % | -0.02% | 0.04% |
| Expected Monthly % | -0.27% | 0.71% |
| Expected Yearly % | -1.23% | 3.21% |
| Kelly Criterion | 1.89% | 13.31% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.02% | -0.56% |
| Expected Shortfall (cVaR) | -2.53% | -2.53% |
| Payoff Ratio | 0.99 | 1.06 |
| Profit Factor | 0.07 | 0.35 |
| Common Sense Ratio | 0.08 | 0.38 |
| CPC Index | 0.04 | 0.21 |
| Tail Ratio | 1.13 | 1.08 |
| Outlier Win Ratio | 3.5 | 4.16 |
| Outlier Loss Ratio | 3.65 | 5.42 |
| MTD | -8.02% | -0.08% |
| 3M | -8.31% | -0.02% |
| 6M | -6.26% | 2.23% |
| YTD | -9.57% | -1.55% |
| 1Y | -2.44% | 6.53% |
| 3Y (ann.) | -3.61% | 9.89% |
| 5Y (ann.) | -3.61% | 9.89% |
| 10Y (ann.) | -3.61% | 9.89% |
| All-time (ann.) | -3.61% | 9.89% |
| Best Day | 1.26% | 1.21% |
| Worst Day | -4.77% | -1.02% |
| Best Month | 3.76% | 3.78% |
| Worst Month | -8.02% | -1.48% |
| Best Year | 7.89% | 8.21% |
| Worst Year | -9.57% | -1.55% |
| Avg. Drawdown | -1.72% | -0.86% |
| Avg. Drawdown Days | 21 | 15 |
| Recovery Factor | -0.25 | 2.03 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 1.38% | 1.42% |
| Avg. Down Month | -3.44% | -0.7% |
| Win Days % | 51.28% | 55.41% |
| Win Month % | 66.67% | 66.67% |
| Win Quarter % | 75.0% | 75.0% |
| Win Year % | 50.0% | 50.0% |
| Beta | 0.51 | - |
| Alpha | -0.09 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 8.24 | 7.92 | 0.96 | - |
| 2022 | -1.56 | -9.61 | 6.16 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-04 | 2022-02-25 | -9.61 | 52 |
| 2021-08-04 | 2021-10-26 | -2.13 | 83 |
| 2021-11-16 | 2021-12-30 | -1.44 | 44 |
| 2021-10-28 | 2021-11-08 | -1.39 | 11 |
| 2021-07-20 | 2021-07-23 | -0.93 | 3 |
| 2021-07-29 | 2021-07-30 | -0.73 | 1 |
| 2021-07-05 | 2021-07-12 | -0.64 | 7 |
| 2021-11-10 | 2021-11-15 | -0.21 | 5 |
| 2021-07-16 | 2021-07-19 | -0.14 | 3 |
| 2021-06-28 | 2021-06-29 | -0.10 | 1 |