| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 98.0% |
| Cumulative Return | -1.23% | -2.39% |
| CAGR% | -3.15% | -6.07% |
| Sharpe | -0.53 | -1.23 |
| Sortino | -0.7 | -1.6 |
| Max Drawdown | -3.76% | -4.11% |
| Longest DD Days | 135 | 135 |
| Volatility (ann.) | 12.21% | 11.01% |
| R^2 | 0.91 | 0.91 |
| Calmar | -0.84 | -1.48 |
| Skew | -0.6 | -0.37 |
| Kurtosis | 1.48 | 0.71 |
| Expected Daily % | -0.03% | -0.06% |
| Expected Monthly % | -0.21% | -0.4% |
| Expected Yearly % | -1.23% | -2.39% |
| Kelly Criterion | -1.52% | -17.02% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.29% | -1.19% |
| Expected Shortfall (cVaR) | -2.09% | -2.09% |
| Payoff Ratio | 0.8 | 0.81 |
| Profit Factor | 0.09 | 0.18 |
| Common Sense Ratio | 0.09 | 0.11 |
| CPC Index | 0.04 | 0.07 |
| Tail Ratio | 1.01 | 0.62 |
| Outlier Win Ratio | 2.98 | 2.93 |
| Outlier Loss Ratio | 2.89 | 3.36 |
| MTD | -1.36% | -1.46% |
| 3M | 0.59% | 0.4% |
| 6M | -1.23% | -2.39% |
| YTD | -1.23% | -2.39% |
| 1Y | -1.23% | -2.39% |
| 3Y (ann.) | -3.15% | -6.07% |
| 5Y (ann.) | -3.15% | -6.07% |
| 10Y (ann.) | -3.15% | -6.07% |
| All-time (ann.) | -3.15% | -6.07% |
| Best Day | 1.51% | 1.41% |
| Worst Day | -2.37% | -1.98% |
| Best Month | 1.97% | 2.07% |
| Worst Month | -1.97% | -2.37% |
| Best Year | -1.23% | -2.39% |
| Worst Year | -1.23% | -2.39% |
| Avg. Drawdown | -3.76% | -4.11% |
| Avg. Drawdown Days | 135 | 135 |
| Recovery Factor | -0.33 | -0.58 |
| Ulcer Index | 1.18 | 1.28 |
| Avg. Up Month | 1.57% | 1.42% |
| Avg. Down Month | -1.08% | -1.3% |
| Win Days % | 54.76% | 47.62% |
| Win Month % | 33.33% | 33.33% |
| Win Quarter % | 0.0% | 0.0% |
| Win Year % | 0.0% | 0.0% |
| Beta | 1.06 | - |
| Alpha | 0.08 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -2.39 | -1.23 | 0.51 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-05-05 | 2021-09-17 | -3.76 | 135 |