| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -2.3% | 6.98% |
| CAGR% | -3.21% | 9.89% |
| Sharpe | -0.3 | 25.06 |
| Sortino | -0.36 | 78.97 |
| Max Drawdown | -9.61% | -0.1% |
| Longest DD Days | 83 | 1 |
| Volatility (ann.) | 9.23% | 0.37% |
| R^2 | 0.01 | 0.01 |
| Calmar | -0.33 | 98.94 |
| Skew | -3.56 | 0.21 |
| Kurtosis | 26.99 | 14.1 |
| Expected Daily % | -0.01% | 0.04% |
| Expected Monthly % | -0.26% | 0.75% |
| Expected Yearly % | -1.16% | 3.43% |
| Kelly Criterion | 36.65% | 97.99% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.97% | -0.0% |
| Expected Shortfall (cVaR) | -3.05% | -3.05% |
| Payoff Ratio | 3.3 | 0.37 |
| Profit Factor | 0.06 | 67.48 |
| Common Sense Ratio | 0.07 | 564.99 |
| CPC Index | 0.1 | 25.05 |
| Tail Ratio | 1.17 | 8.37 |
| Outlier Win Ratio | 1.94 | 16.61 |
| Outlier Loss Ratio | 2.31 | 8.59 |
| MTD | -8.05% | 1.17% |
| 3M | -8.34% | 3.2% |
| 6M | -6.29% | 5.82% |
| YTD | -9.61% | 2.17% |
| 1Y | -2.3% | 6.98% |
| 3Y (ann.) | -3.21% | 9.89% |
| 5Y (ann.) | -3.21% | 9.89% |
| 10Y (ann.) | -3.21% | 9.89% |
| All-time (ann.) | -3.21% | 9.89% |
| Best Day | 1.27% | 0.19% |
| Worst Day | -4.78% | -0.1% |
| Best Month | 3.78% | 1.17% |
| Worst Month | -8.05% | 0.17% |
| Best Year | 8.08% | 4.71% |
| Worst Year | -9.61% | 2.17% |
| Avg. Drawdown | -1.57% | -0.1% |
| Avg. Drawdown Days | 19 | 1 |
| Recovery Factor | -0.24 | 69.79 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 1.41% | 0.67% |
| Avg. Down Month | nan% | nan% |
| Win Days % | 51.38% | 99.45% |
| Win Month % | 66.67% | 100.0% |
| Win Quarter % | 75.0% | 100.0% |
| Win Year % | 50.0% | 100.0% |
| Beta | -2.71 | - |
| Alpha | 0.22 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 4.71 | 8.08 | 1.72 | + |
| 2022 | 2.17 | -9.61 | -4.42 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-03 | 2022-02-25 | -9.61 | 53 |
| 2021-08-04 | 2021-10-26 | -2.13 | 83 |
| 2021-11-16 | 2021-12-30 | -1.57 | 44 |
| 2021-10-28 | 2021-11-08 | -1.39 | 11 |
| 2021-06-16 | 2021-06-29 | -0.94 | 13 |
| 2021-07-20 | 2021-07-23 | -0.93 | 3 |
| 2021-07-29 | 2021-07-30 | -0.73 | 1 |
| 2021-07-05 | 2021-07-07 | -0.64 | 2 |
| 2021-07-08 | 2021-07-14 | -0.46 | 6 |
| 2021-11-10 | 2021-11-15 | -0.21 | 5 |