| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 98.0% |
| Cumulative Return | 26.06% | 53.49% |
| CAGR% | 9.46% | 232268.56% |
| Sharpe | 0.45 | 1.28 |
| Sortino | 0.74 | 299.43 |
| Max Drawdown | -27.78% | -90.27% |
| Longest DD Days | 268 | 465 |
| Volatility (ann.) | 29.46% | 561.05% |
| R^2 | 0.0 | 0.0 |
| Calmar | 0.34 | -0.03 |
| Skew | 5.34 | 24.55 |
| Kurtosis | 230.5 | 615.53 |
| Expected Daily % | 0.04% | -100.0% |
| Expected Monthly % | 0.75% | -100.0% |
| Expected Yearly % | 5.96% | -100.0% |
| Kelly Criterion | 12.01% | 19.71% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.0% | -9006.52% |
| Expected Shortfall (cVaR) | -10.71% | -10.71% |
| Payoff Ratio | 1.0 | 0.28 |
| Profit Factor | 0.18 | 0.78 |
| Common Sense Ratio | 0.2 | 0.75 |
| CPC Index | 0.12 | 2.55 |
| Tail Ratio | 1.07 | 0.98 |
| Outlier Win Ratio | 2145.38 | 1.19 |
| Outlier Loss Ratio | 1904.66 | 4.09 |
| MTD | -0.63% | 8.64% |
| 3M | 2.34% | 12.85% |
| 6M | 1.65% | 13.81% |
| YTD | -0.02% | 11.42% |
| 1Y | 4.19% | 13.46% |
| 3Y (ann.) | 9.46% | -100.0% |
| 5Y (ann.) | 9.46% | -100.0% |
| 10Y (ann.) | 9.46% | -100.0% |
| All-time (ann.) | 9.46% | -100.0% |
| Best Day | 33.91% | 139533.39% |
| Worst Day | -25.76% | -10597.2% |
| Best Month | 8.92% | 2707.32% |
| Worst Month | -2.94% | -2580.52% |
| Best Year | 23.67% | -34.29% |
| Worst Year | -1.18% | -100.0% |
| Avg. Drawdown | -3.55% | -9.97% |
| Avg. Drawdown Days | 38 | 59 |
| Recovery Factor | 0.94 | -0.03 |
| Ulcer Index | inf | inf |
| Avg. Up Month | 3.88% | 561.94% |
| Avg. Down Month | -1.5% | -308.52% |
| Win Days % | 49.13% | 26.24% |
| Win Month % | 64.52% | 29.03% |
| Win Quarter % | 63.64% | 27.27% |
| Win Year % | 50.0% | 0.0% |
| Beta | -0.0 | - |
| Alpha | 0.13 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | -2.09 | -1.18 | 0.57 | + |
| 2020 | 47.34 | 23.75 | 0.50 | - |
| 2021 | -4.43 | 3.18 | -0.72 | + |
| 2022 | 3.01 | -0.08 | -0.03 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-27 | 2022-02-25 | -27.89 | 29 |
| 2021-04-12 | 2022-01-05 | -8.12 | 268 |
| 2020-03-11 | 2020-03-27 | -7.09 | 16 |
| 2020-03-31 | 2020-07-24 | -6.65 | 115 |
| 2019-09-04 | 2020-03-05 | -6.33 | 183 |
| 2020-11-03 | 2021-04-05 | -5.83 | 153 |
| 2022-01-06 | 2022-01-18 | -2.82 | 12 |
| 2020-10-08 | 2020-11-02 | -2.75 | 25 |
| 2020-08-27 | 2020-09-02 | -2.53 | 6 |
| 2020-09-09 | 2020-09-25 | -2.02 | 16 |