| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 94.0% | 97.0% |
| Cumulative Return | -3.21% | -2.92% |
| CAGR% | -24.13% | -22.17% |
| Sharpe | -1.32 | -1.09 |
| Sortino | -1.71 | -1.33 |
| Max Drawdown | -8.15% | -8.42% |
| Longest DD Days | 36 | 37 |
| Volatility (ann.) | 18.81% | 20.25% |
| R^2 | 0.34 | 0.34 |
| Calmar | -2.97 | -2.64 |
| Skew | -0.19 | -0.98 |
| Kurtosis | -0.61 | 1.44 |
| Expected Daily % | -0.11% | -0.1% |
| Expected Monthly % | -1.62% | -1.47% |
| Expected Yearly % | -3.21% | -2.92% |
| Kelly Criterion | 0.55% | -9.1% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.05% | -2.19% |
| Expected Shortfall (cVaR) | -2.22% | -2.22% |
| Payoff Ratio | 0.82 | 0.66 |
| Profit Factor | 0.19 | 0.17 |
| Common Sense Ratio | 0.15 | 0.13 |
| CPC Index | 0.08 | 0.06 |
| Tail Ratio | 0.82 | 0.73 |
| Outlier Win Ratio | 2.78 | 2.86 |
| Outlier Loss Ratio | 2.24 | 2.34 |
| MTD | -0.89% | 0.18% |
| 3M | -3.21% | -2.92% |
| 6M | -3.21% | -2.92% |
| YTD | -3.21% | -2.92% |
| 1Y | -3.21% | -2.92% |
| 3Y (ann.) | -24.21% | -22.25% |
| 5Y (ann.) | -24.21% | -22.25% |
| 10Y (ann.) | -24.21% | -22.25% |
| All-time (ann.) | -24.21% | -22.25% |
| Best Day | 2.22% | 2.04% |
| Worst Day | -2.29% | -3.84% |
| Best Month | -0.89% | 0.18% |
| Worst Month | -2.34% | -3.1% |
| Best Year | -3.21% | -2.92% |
| Worst Year | -3.21% | -2.92% |
| Avg. Drawdown | -8.15% | -8.42% |
| Avg. Drawdown Days | 36 | 37 |
| Recovery Factor | -0.39 | -0.35 |
| Ulcer Index | 1.2 | 1.2 |
| Avg. Up Month | nan% | nan% |
| Avg. Down Month | -2.34% | -3.1% |
| Win Days % | 55.17% | 56.67% |
| Win Month % | 0.0% | 50.0% |
| Win Quarter % | 0.0% | 50.0% |
| Win Year % | 0.0% | 0.0% |
| Beta | 0.54 | - |
| Alpha | -0.13 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | -2.93 | -3.23 | 1.10 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-09-17 | 2020-10-23 | -8.18 | 36 |