| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 99.0% |
| Cumulative Return | -2.84% | -3.84% |
| CAGR% | -11.62% | -15.46% |
| Sharpe | -0.76 | -1.08 |
| Sortino | -1.09 | -1.43 |
| Max Drawdown | -7.97% | -9.58% |
| Longest DD Days | 73 | 73 |
| Volatility (ann.) | 15.65% | 15.49% |
| R^2 | 0.53 | 0.53 |
| Calmar | -1.46 | -1.61 |
| Skew | 0.21 | -0.17 |
| Kurtosis | 0.82 | 0.97 |
| Expected Daily % | -0.05% | -0.07% |
| Expected Monthly % | -0.72% | -0.97% |
| Expected Yearly % | -1.43% | -1.94% |
| Kelly Criterion | -10.09% | -10.52% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.67% | -1.67% |
| Expected Shortfall (cVaR) | -2.26% | -2.26% |
| Payoff Ratio | 1.02 | 0.83 |
| Profit Factor | 0.12 | 0.17 |
| Common Sense Ratio | 0.14 | 0.14 |
| CPC Index | 0.06 | 0.07 |
| Tail Ratio | 1.11 | 0.85 |
| Outlier Win Ratio | 3.02 | 3.45 |
| Outlier Loss Ratio | 3.22 | 2.81 |
| MTD | -1.73% | -1.03% |
| 3M | -2.84% | -3.84% |
| 6M | -2.84% | -3.84% |
| YTD | -1.73% | -1.03% |
| 1Y | -2.84% | -3.84% |
| 3Y (ann.) | -11.62% | -15.46% |
| 5Y (ann.) | -11.62% | -15.46% |
| 10Y (ann.) | -11.62% | -15.46% |
| All-time (ann.) | -11.62% | -15.46% |
| Best Day | 2.46% | 2.48% |
| Worst Day | -2.63% | -2.96% |
| Best Month | 2.98% | 3.85% |
| Worst Month | -3.02% | -3.95% |
| Best Year | -1.13% | -1.03% |
| Worst Year | -1.73% | -2.83% |
| Avg. Drawdown | -4.16% | -3.54% |
| Avg. Drawdown Days | 38 | 26 |
| Recovery Factor | -0.36 | -0.4 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 2.98% | 3.85% |
| Avg. Down Month | -1.91% | -2.52% |
| Win Days % | 44.44% | 50.0% |
| Win Month % | 25.0% | 25.0% |
| Win Quarter % | 0.0% | 0.0% |
| Win Year % | 0.0% | 0.0% |
| Beta | 0.74 | - |
| Alpha | 0.0 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | -2.83 | -1.13 | 0.40 | + |
| 2021 | -1.03 | -1.73 | 1.67 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-11-03 | 2021-01-15 | -7.97 | 73 |
| 2020-10-23 | 2020-10-26 | -0.35 | 3 |