Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 7.0% | 7.0% |
Time in Market | 94.0% | 100.0% |
Cumulative Return | -0.1% | 0.63% |
CAGR% | -0.06% | 0.38% |
Sharpe | 0.03 | 0.11 |
Sortino | 0.03 | 0.14 |
Max Drawdown | -9.8% | -9.5% |
Longest DD Days | 501 | 501 |
Volatility (ann.) | 7.14% | 5.1% |
R^2 | 0.54 | 0.54 |
Calmar | -0.01 | 0.04 |
Skew | -4.61 | -3.95 |
Kurtosis | 62.1 | 64.88 |
Expected Daily % | -0.0% | 0.0% |
Expected Monthly % | -0.0% | 0.03% |
Expected Yearly % | -0.03% | 0.21% |
Kelly Criterion | -1.24% | 1.97% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -0.74% | -0.53% |
Expected Shortfall (cVaR) | -1.88% | -1.88% |
Payoff Ratio | 0.92 | 0.89 |
Profit Factor | 0.01 | 0.03 |
Common Sense Ratio | 0.01 | 0.03 |
CPC Index | 0.0 | 0.02 |
Tail Ratio | 1.04 | 1.03 |
Outlier Win Ratio | 4.36 | 7.97 |
Outlier Loss Ratio | 2.97 | 5.64 |
MTD | 1.05% | 1.04% |
3M | 3.33% | 4.14% |
6M | 1.64% | 1.97% |
YTD | -0.26% | 0.29% |
1Y | -0.69% | -0.06% |
3Y (ann.) | -0.06% | 0.38% |
5Y (ann.) | -0.06% | 0.38% |
10Y (ann.) | -0.06% | 0.38% |
All-time (ann.) | -0.06% | 0.38% |
Best Day | 1.75% | 1.77% |
Worst Day | -5.55% | -3.92% |
Best Month | 4.34% | 5.12% |
Worst Month | -7.23% | -6.03% |
Best Year | 0.96% | 1.08% |
Worst Year | -0.8% | -0.74% |
Avg. Drawdown | -1.07% | -0.83% |
Avg. Drawdown Days | 46 | 42 |
Recovery Factor | -0.01 | 0.07 |
Ulcer Index | inf | inf |
Avg. Up Month | 1.18% | 1.08% |
Avg. Down Month | -1.76% | -1.57% |
Win Days % | 51.42% | 53.89% |
Win Month % | 60.0% | 60.0% |
Win Quarter % | 42.86% | 42.86% |
Win Year % | 33.33% | 66.67% |
Beta | 1.03 | - |
Alpha | -0.0 | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 1.09 | 0.97 | 0.89 | - |
2021 | -0.74 | -0.80 | 1.08 | - |
2022 | 0.29 | -0.26 | -0.88 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-01-11 | 2022-05-27 | -9.84 | 501 |
2020-12-15 | 2020-12-30 | -0.67 | 15 |
2020-11-11 | 2020-11-16 | -0.53 | 5 |
2020-11-19 | 2020-11-20 | -0.34 | 1 |
2020-12-08 | 2020-12-14 | -0.33 | 6 |
2020-10-06 | 2020-10-08 | -0.30 | 2 |
2020-10-27 | 2020-11-05 | -0.25 | 9 |
2020-12-01 | 2020-12-07 | -0.18 | 6 |
2020-10-22 | 2020-10-23 | -0.17 | 1 |
2020-11-17 | 2020-11-18 | -0.16 | 1 |