| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 89.0% | 89.0% |
| Cumulative Return | -0.51% | 0.68% |
| CAGR% | -17.12% | 27.76% |
| Sharpe | -1.25 | 2.58 |
| Sortino | -2.0 | 4.67 |
| Max Drawdown | -1.97% | -0.74% |
| Longest DD Days | 8 | 4 |
| Volatility (ann.) | 11.11% | 7.4% |
| R^2 | 0.0 | 0.0 |
| Calmar | -8.72 | 37.44 |
| Skew | 1.1 | 0.42 |
| Kurtosis | 1.9 | 0.41 |
| Expected Daily % | -0.06% | 0.07% |
| Expected Monthly % | -0.51% | 0.68% |
| Expected Yearly % | -0.51% | 0.68% |
| Kelly Criterion | -145.56% | -13.83% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.21% | -0.69% |
| Expected Shortfall (cVaR) | -1.21% | -0.69% |
| Payoff Ratio | 0.26 | 0.49 |
| Profit Factor | 0.2 | 0.53 |
| Common Sense Ratio | 0.25 | 0.73 |
| CPC Index | 0.03 | 0.16 |
| Tail Ratio | 1.25 | 1.38 |
| Outlier Win Ratio | 2.8 | 3.45 |
| Outlier Loss Ratio | 1.17 | 1.71 |
| MTD | -0.51% | 0.68% |
| 3M | -0.51% | 0.68% |
| 6M | -0.51% | 0.68% |
| YTD | -0.51% | 0.68% |
| 1Y | -0.51% | 0.68% |
| 3Y (ann.) | -17.18% | 27.87% |
| 5Y (ann.) | -17.18% | 27.87% |
| 10Y (ann.) | -17.18% | 27.87% |
| All-time (ann.) | -17.18% | 27.87% |
| Best Day | 1.44% | 0.96% |
| Worst Day | -0.96% | -0.54% |
| Best Month | -0.51% | 0.68% |
| Worst Month | -0.51% | 0.68% |
| Best Year | -0.51% | 0.68% |
| Worst Year | -0.51% | 0.68% |
| Avg. Drawdown | -1.97% | -0.64% |
| Avg. Drawdown Days | 8 | 2 |
| Recovery Factor | -0.26 | 0.91 |
| Ulcer Index | 4.96 | 1.61 |
| Avg. Up Month | nan% | nan% |
| Avg. Down Month | nan% | nan% |
| Win Days % | 50.0% | 62.5% |
| Win Month % | 0.0% | 100.0% |
| Win Quarter % | 0.0% | 100.0% |
| Win Year % | 0.0% | 100.0% |
| Beta | 0.01 | - |
| Alpha | -0.14 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.68 | -0.52 | -0.76 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-09 | 2021-09-17 | -1.98 | 8 |