| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 79.0% | 100.0% |
| Cumulative Return | 3.85% | 9.59% |
| CAGR% | 1.51% | 3.67% |
| Sharpe | 0.18 | 0.28 |
| Sortino | 0.23 | 0.38 |
| Max Drawdown | -31.0% | -30.56% |
| Longest DD Days | 277 | 268 |
| Volatility (ann.) | 22.24% | 19.34% |
| R^2 | 0.29 | 0.29 |
| Calmar | 0.05 | 0.12 |
| Skew | -2.26 | -0.75 |
| Kurtosis | 24.49 | 9.91 |
| Expected Daily % | 0.01% | 0.01% |
| Expected Monthly % | 0.12% | 0.29% |
| Expected Yearly % | 1.27% | 3.1% |
| Kelly Criterion | -2.46% | 0.59% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.29% | -1.98% |
| Expected Shortfall (cVaR) | -3.98% | -3.98% |
| Payoff Ratio | 0.8 | 0.88 |
| Profit Factor | 0.04 | 0.05 |
| Common Sense Ratio | 0.03 | 0.05 |
| CPC Index | 0.02 | 0.03 |
| Tail Ratio | 0.88 | 1.01 |
| Outlier Win Ratio | 4.91 | 4.1 |
| Outlier Loss Ratio | 3.27 | 4.28 |
| MTD | 0.0% | 2.05% |
| 3M | 0.0% | 4.22% |
| 6M | -16.78% | -13.9% |
| YTD | -19.36% | -15.75% |
| 1Y | -18.58% | -14.85% |
| 3Y (ann.) | 1.5% | 3.67% |
| 5Y (ann.) | 1.5% | 3.67% |
| 10Y (ann.) | 1.5% | 3.67% |
| All-time (ann.) | 1.5% | 3.67% |
| Best Day | 7.59% | 7.55% |
| Worst Day | -15.23% | -8.49% |
| Best Month | 11.19% | 11.41% |
| Worst Month | -15.69% | -10.76% |
| Best Year | 16.51% | 16.53% |
| Worst Year | -19.36% | -15.75% |
| Avg. Drawdown | -2.92% | -3.15% |
| Avg. Drawdown Days | 24 | 25 |
| Recovery Factor | 0.12 | 0.31 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 3.83% | 4.03% |
| Avg. Down Month | -4.93% | -4.06% |
| Win Days % | 54.58% | 53.47% |
| Win Month % | 57.69% | 62.5% |
| Win Quarter % | 66.67% | 63.64% |
| Win Year % | 66.67% | 66.67% |
| Beta | 0.62 | - |
| Alpha | 0.01 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 16.57 | 16.54 | 1.00 | - |
| 2021 | 11.67 | 10.57 | 0.91 | - |
| 2022 | -15.81 | -19.44 | 1.23 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-13 | 2020-08-12 | -31.09 | 181 |
| 2021-11-08 | 2022-08-12 | -22.95 | 277 |
| 2020-08-28 | 2020-11-09 | -7.56 | 73 |
| 2021-02-18 | 2021-04-16 | -5.90 | 57 |
| 2021-09-16 | 2021-11-05 | -5.64 | 50 |
| 2021-01-27 | 2021-02-08 | -3.99 | 12 |
| 2021-07-15 | 2021-09-01 | -3.35 | 48 |
| 2021-04-19 | 2021-06-01 | -3.34 | 43 |
| 2021-07-06 | 2021-07-14 | -1.81 | 8 |
| 2020-08-20 | 2020-08-24 | -1.81 | 4 |