| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 98.0% |
| Cumulative Return | -7.28% | 0.56% |
| CAGR% | -33.77% | 3.09% |
| Sharpe | -1.56 | 7.07 |
| Sortino | -2.09 | 12.57 |
| Max Drawdown | -7.76% | -0.1% |
| Longest DD Days | 37 | 1 |
| Volatility (ann.) | 22.74% | 0.4% |
| R^2 | 0.03 | 0.03 |
| Calmar | -4.35 | 30.96 |
| Skew | 0.19 | 1.13 |
| Kurtosis | -0.27 | 22.29 |
| Expected Daily % | -0.15% | 0.01% |
| Expected Monthly % | -2.49% | 0.19% |
| Expected Yearly % | -7.28% | 0.56% |
| Kelly Criterion | 41.9% | 78.55% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.5% | -0.03% |
| Expected Shortfall (cVaR) | -2.64% | -2.64% |
| Payoff Ratio | 10.54 | 0.11 |
| Profit Factor | 0.23 | 5.6 |
| Common Sense Ratio | 0.24 | 15.64 |
| CPC Index | 1.12 | 0.58 |
| Tail Ratio | 1.08 | 2.79 |
| Outlier Win Ratio | 1.53 | 114.85 |
| Outlier Loss Ratio | 1.12 | 13.47 |
| MTD | -4.12% | 0.1% |
| 3M | -7.28% | 0.56% |
| 6M | -7.28% | 0.56% |
| YTD | -7.28% | 0.56% |
| 1Y | -7.28% | 0.56% |
| 3Y (ann.) | -33.77% | 3.09% |
| 5Y (ann.) | -33.77% | 3.09% |
| 10Y (ann.) | -33.77% | 3.09% |
| All-time (ann.) | -33.77% | 3.09% |
| Best Day | 3.15% | 0.14% |
| Worst Day | -2.7% | -0.1% |
| Best Month | 0.69% | 0.29% |
| Worst Month | -4.12% | 0.1% |
| Best Year | -7.28% | 0.56% |
| Worst Year | -7.28% | 0.56% |
| Avg. Drawdown | -7.73% | -0.1% |
| Avg. Drawdown Days | 32 | 1 |
| Recovery Factor | -0.94 | 5.61 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 0.69% | 0.17% |
| Avg. Down Month | nan% | nan% |
| Win Days % | 46.94% | 97.96% |
| Win Month % | 33.33% | 100.0% |
| Win Quarter % | 0.0% | 100.0% |
| Win Year % | 0.0% | 100.0% |
| Beta | -10.53 | - |
| Alpha | -0.06 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.56 | -7.28 | -12.99 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-07-13 | 2021-08-10 | -7.76 | 28 |
| 2021-08-11 | 2021-09-17 | -7.69 | 37 |