| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 82.0% | 97.0% |
| Cumulative Return | -14.59% | -29.97% |
| CAGR﹪ | -37.86% | -65.86% |
| Sharpe | -3.44 | -2.86 |
| Prob. Sharpe Ratio | 0.91% | 0.0% |
| Smart Sharpe | -3.1 | -2.58 |
| Sortino | -3.95 | -2.84 |
| Smart Sortino | -3.57 | -2.56 |
| Sortino/√2 | -2.79 | -2.01 |
| Smart Sortino/√2 | -2.52 | -1.81 |
| Omega | 0.48 | 0.48 |
| Max Drawdown | -15.96% | -31.12% |
| Longest DD Days | 100 | 105 |
| Volatility (ann.) | 19.18% | 46.14% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.08 | 0.08 |
| Calmar | -2.37 | -2.12 |
| Skew | -1.4 | -7.81 |
| Kurtosis | 8.87 | 62.27 |
| Expected Daily | -0.24% | -0.55% |
| Expected Monthly | -3.11% | -6.88% |
| Expected Yearly | -7.58% | -16.32% |
| Kelly Criterion | -115.39% | -85.63% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.22% | -5.28% |
| Expected Shortfall (cVaR) | -2.22% | -5.28% |
| Max Consecutive Wins | 3 | 6 |
| Max Consecutive Losses | 5 | 9 |
| Gain/Pain Ratio | -0.49 | -0.86 |
| Gain/Pain (1M) | -0.96 | -0.96 |
| Payoff Ratio | 0.41 | 0.46 |
| Profit Factor | 0.51 | 0.14 |
| Common Sense Ratio | 0.33 | 0.05 |
| CPC Index | 0.08 | 0.03 |
| Tail Ratio | 0.64 | 0.37 |
| Outlier Win Ratio | 3.35 | 9.04 |
| Outlier Loss Ratio | 6.93 | 6.5 |
| MTD | 0.0% | 0.46% |
| 3M | -14.94% | -30.57% |
| 6M | -14.59% | -29.97% |
| YTD | -14.94% | -30.57% |
| 1Y | -14.59% | -29.97% |
| 3Y (ann.) | -37.86% | -65.86% |
| 5Y (ann.) | -37.86% | -65.86% |
| 10Y (ann.) | -37.86% | -65.86% |
| All-time (ann.) | -37.86% | -65.86% |
| Best Day | 3.21% | 0.92% |
| Worst Day | -6.11% | -23.34% |
| Best Month | 0.41% | 0.86% |
| Worst Month | -11.24% | -23.95% |
| Best Year | 0.41% | 0.86% |
| Worst Year | -14.94% | -30.57% |
| Avg. Drawdown | -6.64% | -10.54% |
| Avg. Drawdown Days | 39 | 37 |
| Recovery Factor | -0.91 | -0.96 |
| Ulcer Index | 0.07 | 0.09 |
| Serenity Index | -0.32 | -0.62 |
| Avg. Up Month | 0.41% | 0.86% |
| Avg. Down Month | -7.7% | -4.66% |
| Win Days | 37.74% | 41.27% |
| Win Month | 33.33% | 40.0% |
| Win Quarter | 50.0% | 66.67% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.0 | - |
| Alpha | -0.59 | - |
| Correlation | 1.12% | - |
| Treynor Ratio | -4631.23% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.86 | 0.41 | 0.47 | - |
| 2022 | -30.57 | -14.94 | 0.49 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-22 | 2022-04-01 | -15.96 | 100 |
| 2021-12-13 | 2021-12-21 | -2.43 | 8 |
| 2021-12-02 | 2021-12-10 | -1.53 | 8 |