| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 88.0% | 100.0% |
| Cumulative Return | 0.54% | 4.9% |
| CAGR% | 0.88% | 8.11% |
| Sharpe | 0.26 | 38.41 |
| Sortino | 0.36 | 228.03 |
| Max Drawdown | -1.92% | -0.06% |
| Longest DD Days | 116 | 9 |
| Volatility (ann.) | 3.46% | 0.19% |
| R^2 | 0.0 | 0.0 |
| Calmar | 0.46 | 139.0 |
| Skew | -0.33 | -1.29 |
| Kurtosis | 2.25 | 2.25 |
| Expected Daily % | 0.0% | 0.03% |
| Expected Monthly % | 0.06% | 0.53% |
| Expected Yearly % | 0.27% | 2.42% |
| Kelly Criterion | 30.01% | 95.74% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.35% | -0.01% |
| Expected Shortfall (cVaR) | -0.46% | -0.46% |
| Payoff Ratio | 2.07 | 2.63 |
| Profit Factor | 0.05 | 82.02 |
| Common Sense Ratio | 0.05 | 262.12 |
| CPC Index | 0.05 | 209.42 |
| Tail Ratio | 1.0 | 3.2 |
| Outlier Win Ratio | 1.97 | 8.15 |
| Outlier Loss Ratio | 1.35 | 20.0 |
| MTD | -0.04% | 0.12% |
| 3M | -0.55% | 2.14% |
| 6M | 0.27% | 4.38% |
| YTD | -0.52% | 2.92% |
| 1Y | 0.54% | 4.9% |
| 3Y (ann.) | 0.88% | 8.11% |
| 5Y (ann.) | 0.88% | 8.11% |
| 10Y (ann.) | 0.88% | 8.11% |
| All-time (ann.) | 0.88% | 8.11% |
| Best Day | 0.7% | 0.05% |
| Worst Day | -0.93% | -0.01% |
| Best Month | 0.62% | 0.83% |
| Worst Month | -0.44% | -0.06% |
| Best Year | 1.07% | 2.92% |
| Worst Year | -0.52% | 1.92% |
| Avg. Drawdown | -0.39% | -0.06% |
| Avg. Drawdown Days | 15 | 9 |
| Recovery Factor | 0.28 | 84.01 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 0.28% | 0.66% |
| Avg. Down Month | nan% | nan% |
| Win Days % | 52.82% | 96.91% |
| Win Month % | 66.67% | 88.89% |
| Win Quarter % | 75.0% | 75.0% |
| Win Year % | 50.0% | 100.0% |
| Beta | -0.43 | - |
| Alpha | 0.04 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 1.92 | 1.07 | 0.56 | - |
| 2021 | 2.92 | -0.52 | -0.18 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-01-11 | 2021-05-07 | -1.92 | 116 |
| 2020-12-15 | 2020-12-30 | -0.67 | 15 |
| 2020-11-11 | 2020-11-16 | -0.53 | 5 |
| 2020-10-07 | 2020-10-09 | -0.33 | 2 |
| 2020-12-08 | 2020-12-14 | -0.33 | 6 |
| 2020-10-27 | 2020-11-05 | -0.25 | 9 |
| 2020-12-01 | 2020-12-07 | -0.18 | 6 |
| 2020-11-17 | 2020-11-18 | -0.16 | 1 |
| 2020-11-23 | 2020-11-30 | -0.12 | 7 |
| 2020-09-28 | 2020-09-30 | -0.08 | 2 |