| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -1.47% | -17.13% |
| CAGR% | -0.96% | -11.93% |
| Sharpe | 0.16 | 0.02 |
| Sortino | 0.2 | 0.02 |
| Max Drawdown | -46.02% | -60.6% |
| Longest DD Days | 122 | 122 |
| Volatility (ann.) | 36.15% | 48.63% |
| R^2 | 0.67 | 0.67 |
| Calmar | -0.02 | -0.2 |
| Skew | -2.11 | -4.38 |
| Kurtosis | 17.23 | 87.16 |
| Expected Daily % | -0.0% | -0.05% |
| Expected Monthly % | -0.08% | -1.04% |
| Expected Yearly % | -0.49% | -6.07% |
| Kelly Criterion | -1.5% | -2.68% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.72% | -5.04% |
| Expected Shortfall (cVaR) | -7.08% | -7.08% |
| Payoff Ratio | 0.74 | 0.68 |
| Profit Factor | 0.03 | 0.0 |
| Common Sense Ratio | 0.03 | 0.0 |
| CPC Index | 0.01 | 0.0 |
| Tail Ratio | 0.96 | 0.84 |
| Outlier Win Ratio | 4.14 | 4.26 |
| Outlier Loss Ratio | 3.69 | 3.53 |
| MTD | -23.06% | -34.52% |
| 3M | -31.57% | -42.63% |
| 6M | -31.24% | -42.03% |
| YTD | -29.8% | -40.82% |
| 1Y | -19.31% | -31.6% |
| 3Y (ann.) | -1.01% | -12.07% |
| 5Y (ann.) | -1.01% | -12.07% |
| 10Y (ann.) | -1.01% | -12.07% |
| All-time (ann.) | -1.01% | -12.07% |
| Best Day | 9.33% | 26.03% |
| Worst Day | -17.51% | -39.26% |
| Best Month | 19.69% | 20.13% |
| Worst Month | -23.06% | -34.52% |
| Best Year | 20.68% | 20.57% |
| Worst Year | -29.8% | -40.82% |
| Avg. Drawdown | -3.99% | -4.92% |
| Avg. Drawdown Days | 15 | 17 |
| Recovery Factor | -0.03 | -0.28 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 6.31% | 6.35% |
| Avg. Down Month | -7.12% | -8.73% |
| Win Days % | 56.95% | 58.27% |
| Win Month % | 55.56% | 55.56% |
| Win Quarter % | 57.14% | 57.14% |
| Win Year % | 66.67% | 66.67% |
| Beta | 0.61 | - |
| Alpha | 0.05 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 16.19 | 16.35 | 1.01 | + |
| 2021 | 20.63 | 20.74 | 1.01 | + |
| 2022 | -41.02 | -29.92 | 0.73 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-26 | 2022-02-25 | -46.17 | 122 |
| 2020-09-17 | 2020-11-13 | -13.27 | 57 |
| 2021-01-15 | 2021-03-11 | -9.39 | 55 |
| 2021-03-16 | 2021-05-07 | -9.04 | 52 |
| 2021-09-16 | 2021-09-27 | -7.18 | 11 |
| 2021-06-15 | 2021-08-11 | -6.50 | 57 |
| 2020-12-18 | 2021-01-05 | -6.06 | 18 |
| 2021-08-18 | 2021-09-01 | -3.53 | 14 |
| 2021-10-21 | 2021-10-25 | -2.06 | 4 |
| 2020-11-19 | 2020-11-24 | -1.85 | 5 |