| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 1.0% | 1.0% |
| Time in Market | 92.0% | 98.0% |
| Cumulative Return | -0.29% | 0.97% |
| CAGR% | -2.08% | 7.11% |
| Sharpe | -0.3 | 0.85 |
| Sortino | -0.44 | 1.24 |
| Max Drawdown | -1.32% | -2.23% |
| Longest DD Days | 42 | 14 |
| Volatility (ann.) | 6.09% | 8.09% |
| R^2 | 0.06 | 0.06 |
| Calmar | -1.59 | 3.2 |
| Skew | 0.15 | -0.15 |
| Kurtosis | -0.52 | -0.5 |
| Expected Daily % | -0.01% | 0.03% |
| Expected Monthly % | -0.1% | 0.32% |
| Expected Yearly % | -0.29% | 0.97% |
| Kelly Criterion | -20.5% | 2.4% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.64% | -0.81% |
| Expected Shortfall (cVaR) | -0.8% | -0.8% |
| Payoff Ratio | 0.78 | 0.84 |
| Profit Factor | 0.05 | 0.14 |
| Common Sense Ratio | 0.05 | 0.15 |
| CPC Index | 0.02 | 0.07 |
| Tail Ratio | 1.13 | 1.07 |
| Outlier Win Ratio | 2.72 | 2.07 |
| Outlier Loss Ratio | 2.68 | 1.97 |
| MTD | -0.59% | -1.9% |
| 3M | -0.29% | 0.97% |
| 6M | -0.29% | 0.97% |
| YTD | -0.29% | 0.97% |
| 1Y | -0.29% | 0.97% |
| 3Y (ann.) | -2.09% | 7.13% |
| 5Y (ann.) | -2.09% | 7.13% |
| 10Y (ann.) | -2.09% | 7.13% |
| All-time (ann.) | -2.09% | 7.13% |
| Best Day | 0.74% | 0.88% |
| Worst Day | -0.8% | -1.05% |
| Best Month | 0.29% | 3.03% |
| Worst Month | -0.59% | -1.9% |
| Best Year | -0.29% | 0.97% |
| Worst Year | -0.29% | 0.97% |
| Avg. Drawdown | -0.73% | -0.85% |
| Avg. Drawdown Days | 16 | 4 |
| Recovery Factor | -0.22 | 0.43 |
| Ulcer Index | 1.15 | 1.17 |
| Avg. Up Month | 0.29% | 3.03% |
| Avg. Down Month | -0.59% | -1.9% |
| Win Days % | 47.06% | 55.56% |
| Win Month % | 66.67% | 33.33% |
| Win Quarter % | 0.0% | 100.0% |
| Win Year % | 0.0% | 100.0% |
| Beta | 0.19 | - |
| Alpha | -0.03 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.97 | -0.30 | -0.30 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-08-06 | 2021-09-17 | -1.32 | 42 |
| 2021-07-30 | 2021-08-02 | -0.59 | 3 |
| 2021-08-03 | 2021-08-05 | -0.29 | 2 |