| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 53.0% | 100.0% |
| Cumulative Return | 47.47% | -70.9% |
| CAGR% | 47.47% | -70.9% |
| Sharpe | 1.18 | -1.16 |
| Sortino | 2.2 | -1.52 |
| Sortino/√2 | 1.56 | -1.07 |
| Max Drawdown | -14.01% | -80.38% |
| Longest DD Days | 78 | 359 |
| Volatility (ann.) | 25.44% | 58.36% |
| R^2 | 0.02 | 0.02 |
| Calmar | 3.39 | -0.88 |
| Skew | 1.99 | -0.21 |
| Kurtosis | 11.45 | 1.84 |
| Expected Daily % | 0.11% | -0.34% |
| Expected Monthly % | 3.03% | -9.06% |
| Expected Yearly % | 21.44% | -46.06% |
| Kelly Criterion | 3.07% | -4.7% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.52% | -6.32% |
| Expected Shortfall (cVaR) | -2.52% | -6.32% |
| Gain/Pain Ratio | 0.34 | -0.19 |
| Gain/Pain (1M) | 2.91 | -0.61 |
| Payoff Ratio | 1.31 | 0.98 |
| Profit Factor | 1.34 | 0.81 |
| Common Sense Ratio | 2.03 | 0.7 |
| CPC Index | 0.79 | 0.38 |
| Tail Ratio | 1.51 | 0.86 |
| Outlier Win Ratio | 11.2 | 3.03 |
| Outlier Loss Ratio | 5.85 | 2.51 |
| MTD | 0.0% | 0.0% |
| 3M | 15.63% | -41.11% |
| 6M | 31.39% | -38.79% |
| YTD | 0.0% | 0.0% |
| 1Y | 47.47% | -70.9% |
| 3Y (ann.) | 47.47% | -70.9% |
| 5Y (ann.) | 47.47% | -70.9% |
| 10Y (ann.) | 47.47% | -70.9% |
| All-time (ann.) | 47.47% | -70.9% |
| Best Day | 10.74% | 15.03% |
| Worst Day | -6.6% | -13.03% |
| Best Month | 14.25% | 32.69% |
| Worst Month | -6.61% | -34.56% |
| Best Year | 47.47% | 0.0% |
| Worst Year | 0.0% | -70.9% |
| Avg. Drawdown | -4.81% | -40.74% |
| Avg. Drawdown Days | 25 | 180 |
| Recovery Factor | 3.39 | -0.88 |
| Ulcer Index | inf | 1.07 |
| Avg. Up Month | 6.44% | 20.74% |
| Avg. Down Month | -4.97% | -16.37% |
| Win Days % | 45.08% | 48.08% |
| Win Month % | 75.0% | 25.0% |
| Win Quarter % | 100.0% | 25.0% |
| Win Year % | 100.0% | 0.0% |
| Beta | -0.06 | - |
| Alpha | 0.26 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2018 | -70.90 | 47.47 | -0.67 | + |
| 2019 | nan | 0.00 | nan | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2018-09-06 | 2018-11-23 | -14.01 | 78 |
| 2018-02-07 | 2018-04-21 | -10.47 | 73 |
| 2018-04-26 | 2018-06-13 | -8.06 | 48 |
| 2018-06-15 | 2018-07-18 | -7.21 | 33 |
| 2018-01-02 | 2018-02-06 | -6.95 | 35 |
| 2018-07-26 | 2018-08-29 | -5.70 | 34 |
| 2018-11-28 | 2018-12-08 | -4.32 | 10 |
| 2018-12-09 | 2019-01-01 | -4.30 | 23 |
| 2018-07-21 | 2018-07-24 | -1.88 | 3 |
| 2018-11-26 | 2018-11-27 | -1.51 | 1 |