| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -37.78% | -40.93% |
| CAGR% | -34.4% | -37.31% |
| Sharpe | -1.26 | -0.77 |
| Sortino | -1.52 | -0.94 |
| Max Drawdown | -47.81% | -51.09% |
| Longest DD Days | 295 | 294 |
| Volatility (ann.) | 32.03% | 48.51% |
| R^2 | 0.09 | 0.09 |
| Calmar | -0.72 | -0.73 |
| Skew | -2.19 | -3.87 |
| Kurtosis | 23.43 | 58.99 |
| Expected Daily % | -0.18% | -0.2% |
| Expected Monthly % | -3.11% | -3.45% |
| Expected Yearly % | -21.12% | -23.14% |
| Kelly Criterion | -9.87% | -23.02% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.48% | -5.17% |
| Expected Shortfall (cVaR) | -7.05% | -7.05% |
| Payoff Ratio | 0.78 | 0.69 |
| Profit Factor | 0.24 | 0.18 |
| Common Sense Ratio | 0.15 | 0.13 |
| CPC Index | 0.1 | 0.06 |
| Tail Ratio | 0.65 | 0.74 |
| Outlier Win Ratio | 4.58 | 3.33 |
| Outlier Loss Ratio | 4.01 | 3.48 |
| MTD | -0.13% | -3.63% |
| 3M | -6.66% | -9.72% |
| 6M | -32.02% | -38.88% |
| YTD | -38.11% | -42.36% |
| 1Y | -40.7% | -42.49% |
| 3Y (ann.) | -34.52% | -37.48% |
| 5Y (ann.) | -34.52% | -37.48% |
| 10Y (ann.) | -34.52% | -37.48% |
| All-time (ann.) | -34.52% | -37.48% |
| Best Day | 10.85% | 19.97% |
| Worst Day | -16.75% | -33.14% |
| Best Month | 10.85% | 9.4% |
| Worst Month | -26.69% | -29.87% |
| Best Year | 0.53% | 2.49% |
| Worst Year | -38.11% | -42.36% |
| Avg. Drawdown | -6.76% | -5.88% |
| Avg. Drawdown Days | 43 | 34 |
| Recovery Factor | -0.79 | -0.8 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 3.67% | 3.37% |
| Avg. Down Month | -7.4% | -8.36% |
| Win Days % | 51.94% | 49.81% |
| Win Month % | 40.0% | 40.0% |
| Win Quarter % | 50.0% | 33.33% |
| Win Year % | 50.0% | 50.0% |
| Beta | 0.2 | - |
| Alpha | -0.33 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.49 | 0.53 | 0.21 | - |
| 2022 | -42.54 | -38.24 | 0.90 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-20 | 2022-08-11 | -47.95 | 295 |
| 2021-09-08 | 2021-10-19 | -6.25 | 41 |
| 2021-07-13 | 2021-08-04 | -3.13 | 22 |
| 2021-08-18 | 2021-08-31 | -2.22 | 13 |
| 2021-08-11 | 2021-08-16 | -0.52 | 5 |
| 2021-07-06 | 2021-07-08 | -0.46 | 2 |
| 2021-08-06 | 2021-08-10 | -0.33 | 4 |
| 2021-06-29 | 2021-06-30 | -0.10 | 1 |
| 2021-07-09 | 2021-07-12 | -0.08 | 3 |