| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -23.85% | -22.12% |
| CAGR﹪ | -20.69% | -19.16% |
| Sharpe | -0.88 | -0.91 |
| Prob. Sharpe Ratio | 2.82% | 2.8% |
| Smart Sharpe | -0.78 | -0.8 |
| Sortino | -1.23 | -1.27 |
| Smart Sortino | -1.08 | -1.12 |
| Sortino/√2 | -0.87 | -0.9 |
| Smart Sortino/√2 | -0.77 | -0.79 |
| Omega | 0.86 | 0.86 |
| Max Drawdown | -40.79% | -41.31% |
| Longest DD Days | 372 | 372 |
| Volatility (ann.) | 28.95% | 26.67% |
| R^2 | 0.69 | 0.69 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | -0.51 | -0.46 |
| Skew | 0.16 | 0.26 |
| Kurtosis | 1.31 | 2.78 |
| Expected Daily | -0.09% | -0.08% |
| Expected Monthly | -1.8% | -1.65% |
| Expected Yearly | -8.68% | -7.99% |
| Kelly Criterion | -5.6% | -2.47% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.07% | -2.83% |
| Expected Shortfall (cVaR) | -3.07% | -2.83% |
| Max Consecutive Wins | 6 | 7 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | -0.1 | -0.11 |
| Gain/Pain (1M) | -0.6 | -0.53 |
| Payoff Ratio | 1.1 | 1.08 |
| Profit Factor | 0.9 | 0.89 |
| Common Sense Ratio | 0.95 | 0.98 |
| CPC Index | 0.44 | 0.45 |
| Tail Ratio | 1.05 | 1.1 |
| Outlier Win Ratio | 3.03 | 3.53 |
| Outlier Loss Ratio | 3.3 | 3.53 |
| MTD | 0.88% | 4.66% |
| 3M | -5.15% | -3.64% |
| 6M | -5.81% | -4.11% |
| YTD | 2.47% | 5.62% |
| 1Y | -31.23% | -30.51% |
| 3Y (ann.) | -20.69% | -19.16% |
| 5Y (ann.) | -20.69% | -19.16% |
| 10Y (ann.) | -20.69% | -19.16% |
| All-time (ann.) | -20.69% | -19.16% |
| Best Day | 6.35% | 7.47% |
| Worst Day | -6.73% | -7.09% |
| Best Month | 7.7% | 8.37% |
| Worst Month | -14.82% | -15.41% |
| Best Year | 2.47% | 5.62% |
| Worst Year | -26.38% | -27.29% |
| Avg. Drawdown | -7.87% | -10.29% |
| Avg. Drawdown Days | 58 | 80 |
| Recovery Factor | -0.58 | -0.54 |
| Ulcer Index | 0.28 | 0.28 |
| Serenity Index | -0.04 | -0.04 |
| Avg. Up Month | 2.21% | 2.83% |
| Avg. Down Month | -4.77% | -4.97% |
| Win Days | 44.59% | 46.8% |
| Win Month | 40.0% | 46.67% |
| Win Quarter | 33.33% | 33.33% |
| Win Year | 66.67% | 66.67% |
| Beta | 0.9 | - |
| Alpha | -0.03 | - |
| Correlation | 83.34% | - |
| Treynor Ratio | -34.11% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 1.41 | 0.95 | 0.67 | - |
| 2021 | -27.29 | -26.38 | 0.97 | + |
| 2022 | 5.62 | 2.47 | 0.44 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-02-18 | 2022-02-25 | -40.79 | 372 |
| 2021-01-26 | 2021-02-10 | -6.33 | 15 |
| 2020-12-24 | 2020-12-30 | -3.68 | 6 |
| 2021-01-13 | 2021-01-20 | -2.00 | 7 |
| 2021-01-21 | 2021-01-22 | -0.94 | 1 |
| 2021-02-12 | 2021-02-16 | -0.81 | 4 |
| 2021-01-11 | 2021-01-12 | -0.54 | 1 |