| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 96.0% |
| Cumulative Return | -4.03% | -2.38% |
| CAGR% | -3.76% | -2.21% |
| Sharpe | -0.02 | 0.08 |
| Sortino | -0.02 | 0.11 |
| Max Drawdown | -33.77% | -35.05% |
| Longest DD Days | 269 | 275 |
| Volatility (ann.) | 30.71% | 34.0% |
| R^2 | 0.5 | 0.5 |
| Calmar | -0.11 | -0.06 |
| Skew | 0.08 | -0.28 |
| Kurtosis | 1.7 | 1.09 |
| Expected Daily % | -0.02% | -0.01% |
| Expected Monthly % | -0.37% | -0.22% |
| Expected Yearly % | -2.03% | -1.2% |
| Kelly Criterion | -2.35% | -0.47% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.18% | -3.51% |
| Expected Shortfall (cVaR) | -4.13% | -4.13% |
| Payoff Ratio | 0.94 | 0.86 |
| Profit Factor | 0.0 | 0.01 |
| Common Sense Ratio | 0.0 | 0.01 |
| CPC Index | 0.0 | 0.01 |
| Tail Ratio | 0.93 | 0.89 |
| Outlier Win Ratio | 3.81 | 3.61 |
| Outlier Loss Ratio | 3.2 | 2.67 |
| MTD | 8.82% | 9.09% |
| 3M | 17.28% | 19.85% |
| 6M | 17.44% | 21.33% |
| YTD | -0.78% | 1.05% |
| 1Y | -9.48% | -8.14% |
| 3Y (ann.) | -3.8% | -2.25% |
| 5Y (ann.) | -3.8% | -2.25% |
| 10Y (ann.) | -3.8% | -2.25% |
| All-time (ann.) | -3.8% | -2.25% |
| Best Day | 7.33% | 6.63% |
| Worst Day | -7.22% | -7.58% |
| Best Month | 15.1% | 14.74% |
| Worst Month | -14.83% | -15.81% |
| Best Year | -0.78% | 1.05% |
| Worst Year | -3.28% | -3.4% |
| Avg. Drawdown | -5.88% | -6.62% |
| Avg. Drawdown Days | 40 | 46 |
| Recovery Factor | -0.12 | -0.07 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 8.01% | 7.88% |
| Avg. Down Month | -7.83% | -7.52% |
| Win Days % | 50.52% | 53.4% |
| Win Month % | 45.45% | 54.55% |
| Win Quarter % | 20.0% | 20.0% |
| Win Year % | 0.0% | 50.0% |
| Beta | 0.64 | - |
| Alpha | -0.02 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -3.42 | -3.30 | 0.96 | + |
| 2022 | 1.03 | -0.80 | -0.77 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-15 | 2022-08-11 | -33.87 | 269 |
| 2021-08-11 | 2021-10-19 | -9.74 | 69 |
| 2021-07-23 | 2021-07-29 | -4.51 | 6 |
| 2021-11-02 | 2021-11-08 | -1.92 | 6 |
| 2021-10-20 | 2021-10-25 | -1.14 | 5 |
| 2021-11-09 | 2021-11-12 | -0.86 | 3 |
| 2021-08-03 | 2021-08-05 | -0.85 | 2 |
| 2021-08-06 | 2021-08-09 | -0.11 | 3 |
| 2021-07-21 | 2021-07-22 | -0.10 | 1 |