| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 68.0% |
| Cumulative Return | -7.92% |
| CAGR% | -7.95% |
| Sharpe | -0.24 |
| Sortino | -0.34 |
| Max Drawdown | -17.17% |
| Longest DD Days | 148 |
| Volatility (ann.) | 22.93% |
| Calmar | -0.46 |
| Skew | -0.19 |
| Kurtosis | 8.66 |
| Expected Daily % | -0.03% |
| Expected Monthly % | -0.69% |
| Expected Yearly % | -4.04% |
| Kelly Criterion | -2.77% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -2.4% |
| Expected Shortfall (cVaR) | -2.4% |
| Payoff Ratio | 1.04 |
| Profit Factor | 0.95 |
| Common Sense Ratio | 1.19 |
| CPC Index | 0.47 |
| Tail Ratio | 1.26 |
| Outlier Win Ratio | 7.52 |
| Outlier Loss Ratio | 4.14 |
| MTD | -5.01% |
| 3M | -11.42% |
| 6M | -10.26% |
| YTD | -8.28% |
| 1Y | -7.92% |
| Best Day | 6.99% |
| Worst Day | -7.9% |
| Best Month | 8.74% |
| Worst Month | -7.58% |
| Avg. Drawdown | -6.41% |
| Avg. Drawdown Days | 43 |
| Recovery Factor | -0.46 |
| Ulcer Index | inf |
| Avg. Up Month | 3.65% |
| Avg. Down Month | -3.62% |
| Win Days % | 47.7% |
| Win Month % | 41.67% |
| Win Quarter % | 40.0% |
| Year | Return | Cumulative |
|---|---|---|
| 2015 | 0.43% | 0.38% |
| 2016 | -6.02% | -8.28% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2016-07-05 | 2016-11-30 | -17.17 | 148 |
| 2016-06-09 | 2016-07-01 | -14.62 | 22 |
| 2016-01-15 | 2016-05-27 | -9.79 | 133 |
| 2016-01-06 | 2016-01-14 | -2.55 | 8 |
| 2015-12-03 | 2015-12-16 | -2.00 | 13 |
| 2015-12-18 | 2016-01-04 | -2.00 | 17 |
| 2016-06-03 | 2016-06-06 | -1.87 | 3 |
| 2016-05-31 | 2016-06-02 | -1.25 | 2 |