| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 92.0% | 95.0% |
| Cumulative Return | -14.59% | -9.43% |
| CAGR﹪ | -48.8% | -34.31% |
| Sharpe | -3.61 | -3.34 |
| Prob. Sharpe Ratio | 1.02% | 1.93% |
| Smart Sharpe | -3.25 | -3.0 |
| Sortino | -4.14 | -3.88 |
| Smart Sortino | -3.72 | -3.49 |
| Sortino/√2 | -2.93 | -2.74 |
| Smart Sortino/√2 | -2.63 | -2.47 |
| Omega | 0.48 | 0.48 |
| Max Drawdown | -15.96% | -12.69% |
| Longest DD Days | 65 | 57 |
| Volatility (ann.) | 20.28% | 14.59% |
| R^2 | 0.13 | 0.13 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | -3.06 | -2.7 |
| Skew | -1.27 | -1.22 |
| Kurtosis | 7.64 | 8.35 |
| Expected Daily | -0.27% | -0.17% |
| Expected Monthly | -5.12% | -3.25% |
| Expected Yearly | -7.58% | -4.83% |
| Kelly Criterion | -65.66% | -6.97% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.36% | -1.68% |
| Expected Shortfall (cVaR) | -2.36% | -1.68% |
| Max Consecutive Wins | 3 | 2 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | -0.49 | -0.51 |
| Gain/Pain (1M) | -0.96 | -1.0 |
| Payoff Ratio | 0.6 | 1.47 |
| Profit Factor | 0.51 | 0.49 |
| Common Sense Ratio | 0.37 | 0.26 |
| CPC Index | 0.12 | 0.26 |
| Tail Ratio | 0.72 | 0.52 |
| Outlier Win Ratio | 4.09 | 6.52 |
| Outlier Loss Ratio | 4.0 | 7.04 |
| MTD | -11.24% | -6.09% |
| 3M | -14.59% | -9.43% |
| 6M | -14.59% | -9.43% |
| YTD | -14.94% | -9.0% |
| 1Y | -14.59% | -9.43% |
| 3Y (ann.) | -48.8% | -34.31% |
| 5Y (ann.) | -48.8% | -34.31% |
| 10Y (ann.) | -48.8% | -34.31% |
| All-time (ann.) | -48.8% | -34.31% |
| Best Day | 3.21% | 2.56% |
| Worst Day | -6.11% | -4.05% |
| Best Month | 0.41% | -0.47% |
| Worst Month | -11.24% | -6.09% |
| Best Year | 0.41% | -0.47% |
| Worst Year | -14.94% | -9.0% |
| Avg. Drawdown | -6.64% | -3.01% |
| Avg. Drawdown Days | 27 | 14 |
| Recovery Factor | -0.91 | -0.74 |
| Ulcer Index | 0.05 | 0.06 |
| Serenity Index | -0.55 | -0.26 |
| Avg. Up Month | - | - |
| Avg. Down Month | -7.7% | -4.6% |
| Win Days | 37.74% | 36.36% |
| Win Month | 33.33% | 0.0% |
| Win Quarter | 50.0% | 0.0% |
| Win Year | 50.0% | 0.0% |
| Beta | 0.51 | - |
| Alpha | -0.45 | - |
| Correlation | 36.33% | - |
| Treynor Ratio | -42.75% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -0.47 | 0.41 | -0.87 | + |
| 2022 | -9.00 | -14.94 | 1.66 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-22 | 2022-02-25 | -15.96 | 65 |
| 2021-12-13 | 2021-12-21 | -2.43 | 8 |
| 2021-12-02 | 2021-12-10 | -1.53 | 8 |