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 |