| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | -0.0% | 24.65% |
| CAGR% | -0.0% | 14.12% |
| Sharpe | 0.04 | 4.25 |
| Sortino | 0.05 | 177.02 |
| Max Drawdown | -9.84% | -0.1% |
| Longest DD Days | 501 | 7 |
| Volatility (ann.) | 7.11% | 3.44% |
| R^2 | 0.06 | 0.06 |
| Calmar | -0.0 | 141.17 |
| Skew | -4.65 | 11.01 |
| Kurtosis | 63.0 | 121.3 |
| Expected Daily % | 0.0% | 0.06% |
| Expected Monthly % | -0.0% | 1.05% |
| Expected Yearly % | 0.0% | 7.62% |
| Kelly Criterion | 33.29% | 98.8% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.74% | -0.3% |
| Expected Shortfall (cVaR) | -1.89% | -1.89% |
| Payoff Ratio | 2.57 | 0.77 |
| Profit Factor | 0.01 | 188.31 |
| Common Sense Ratio | 0.01 | 2098.27 |
| CPC Index | 0.01 | 144.9 |
| Tail Ratio | 1.04 | 11.14 |
| Outlier Win Ratio | 2.75 | 10.66 |
| Outlier Loss Ratio | 1.58 | 7.38 |
| MTD | 1.05% | 1.04% |
| 3M | 3.34% | 10.52% |
| 6M | 1.64% | 13.96% |
| YTD | -0.26% | 12.82% |
| 1Y | -0.69% | 18.31% |
| 3Y (ann.) | -0.0% | 14.12% |
| 5Y (ann.) | -0.0% | 14.12% |
| 10Y (ann.) | -0.0% | 14.12% |
| All-time (ann.) | -0.0% | 14.12% |
| Best Day | 1.76% | 2.47% |
| Worst Day | -5.57% | -0.1% |
| Best Month | 4.36% | 7.61% |
| Worst Month | -7.25% | -0.05% |
| Best Year | 1.07% | 12.82% |
| Worst Year | -0.8% | 1.93% |
| Avg. Drawdown | -0.94% | -0.1% |
| Avg. Drawdown Days | 40 | 7 |
| Recovery Factor | -0.0 | 246.48 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 1.2% | 1.34% |
| Avg. Down Month | nan% | nan% |
| Win Days % | 51.96% | 99.48% |
| Win Month % | 57.14% | 95.24% |
| Win Quarter % | 50.0% | 87.5% |
| Win Year % | 33.33% | 100.0% |
| Beta | 0.5 | - |
| Alpha | -0.07 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 1.93 | 1.07 | 0.55 | - |
| 2021 | 8.39 | -0.80 | -0.10 | - |
| 2022 | 12.82 | -0.26 | -0.02 | - |
| 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 |
| 2020-10-07 | 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 |
| 2020-10-22 | 2020-10-23 | -0.17 | 1 |
| 2020-11-17 | 2020-11-18 | -0.16 | 1 |