| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -4.08% | -1.16% |
| CAGR% | -5.07% | -1.44% |
| Sharpe | -0.24 | 0.0 |
| Sortino | -0.32 | 0.01 |
| Max Drawdown | -20.07% | -18.47% |
| Longest DD Days | 245 | 245 |
| Volatility (ann.) | 17.11% | 18.09% |
| R^2 | 0.8 | 0.8 |
| Calmar | -0.25 | -0.08 |
| Skew | -0.63 | -0.63 |
| Kurtosis | 1.97 | 2.9 |
| Expected Daily % | -0.02% | -0.01% |
| Expected Monthly % | -0.38% | -0.11% |
| Expected Yearly % | -2.06% | -0.58% |
| Kelly Criterion | -4.64% | -1.74% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.79% | -1.87% |
| Expected Shortfall (cVaR) | -2.58% | -2.58% |
| Payoff Ratio | 0.82 | 0.81 |
| Profit Factor | 0.04 | 0.0 |
| Common Sense Ratio | 0.04 | 0.0 |
| CPC Index | 0.02 | 0.0 |
| Tail Ratio | 0.95 | 0.96 |
| Outlier Win Ratio | 3.58 | 3.51 |
| Outlier Loss Ratio | 3.85 | 3.7 |
| MTD | 2.44% | 2.96% |
| 3M | -9.28% | -9.84% |
| 6M | -8.78% | -7.57% |
| YTD | -7.98% | -7.73% |
| 1Y | -4.08% | -1.16% |
| 3Y (ann.) | -5.09% | -1.45% |
| 5Y (ann.) | -5.09% | -1.45% |
| 10Y (ann.) | -5.09% | -1.45% |
| All-time (ann.) | -5.09% | -1.45% |
| Best Day | 2.59% | 3.54% |
| Worst Day | -4.44% | -5.11% |
| Best Month | 9.79% | 11.09% |
| Worst Month | -6.73% | -6.47% |
| Best Year | 4.24% | 7.12% |
| Worst Year | -7.98% | -7.73% |
| Avg. Drawdown | -3.28% | -3.44% |
| Avg. Drawdown Days | 38 | 44 |
| Recovery Factor | -0.2 | -0.06 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 4.92% | 5.37% |
| Avg. Down Month | -3.23% | -3.03% |
| Win Days % | 52.94% | 54.55% |
| Win Month % | 36.36% | 36.36% |
| Win Quarter % | 60.0% | 80.0% |
| Win Year % | 50.0% | 50.0% |
| Beta | 0.85 | - |
| Alpha | -0.04 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 7.14 | 4.25 | 0.59 | - |
| 2021 | -7.76 | -8.01 | 1.03 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-08-07 | 2021-04-09 | -20.14 | 245 |
| 2020-08-03 | 2020-08-04 | -0.71 | 1 |
| 2020-07-02 | 2020-07-07 | -0.70 | 5 |
| 2020-07-09 | 2020-07-14 | -0.69 | 5 |
| 2020-07-30 | 2020-07-31 | -0.50 | 1 |
| 2020-07-15 | 2020-07-20 | -0.20 | 5 |
| 2020-06-23 | 2020-06-25 | -0.10 | 2 |