| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 99.0% | 99.0% |
| Cumulative Return | -6.22% | -6.16% |
| CAGR﹪ | -25.4% | -25.18% |
| Sharpe | -4.16 | -5.19 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -3.92 | -4.89 |
| Sortino | -4.84 | -5.84 |
| Smart Sortino | -4.56 | -5.5 |
| Sortino/√2 | -3.42 | -4.13 |
| Smart Sortino/√2 | -3.23 | -3.89 |
| Omega | 0.48 | 0.48 |
| Max Drawdown | -12.64% | -10.4% |
| Longest DD Days | 57 | 52 |
| Volatility (ann.) | 23.39% | 18.87% |
| R^2 | 0.36 | 0.36 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | -2.01 | -2.42 |
| Skew | -0.27 | 0.15 |
| Kurtosis | 2.27 | -0.57 |
| Expected Daily | -0.12% | -0.12% |
| Expected Monthly | -2.12% | -2.1% |
| Expected Yearly | -3.16% | -3.13% |
| Kelly Criterion | -1.91% | -11.42% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.53% | -2.07% |
| Expected Shortfall (cVaR) | -2.53% | -2.07% |
| Max Consecutive Wins | 4 | 4 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | -0.19 | -0.21 |
| Gain/Pain (1M) | -0.74 | -0.74 |
| Payoff Ratio | 1.12 | 1.0 |
| Profit Factor | 0.81 | 0.79 |
| Common Sense Ratio | 0.79 | 0.76 |
| CPC Index | 0.42 | 0.35 |
| Tail Ratio | 0.97 | 0.96 |
| Outlier Win Ratio | 2.81 | 3.04 |
| Outlier Loss Ratio | 2.81 | 3.18 |
| MTD | -4.69% | -2.77% |
| 3M | -6.22% | -6.16% |
| 6M | -6.22% | -6.16% |
| YTD | -8.08% | -8.04% |
| 1Y | -6.22% | -6.16% |
| 3Y (ann.) | -25.4% | -25.18% |
| 5Y (ann.) | -25.4% | -25.18% |
| 10Y (ann.) | -25.4% | -25.18% |
| All-time (ann.) | -25.4% | -25.18% |
| Best Day | 4.06% | 2.45% |
| Worst Day | -5.06% | -2.43% |
| Best Month | 2.02% | 2.04% |
| Worst Month | -4.69% | -5.42% |
| Best Year | 2.02% | 2.04% |
| Worst Year | -8.08% | -8.04% |
| Avg. Drawdown | -5.33% | -2.9% |
| Avg. Drawdown Days | 24 | 14 |
| Recovery Factor | -0.49 | -0.59 |
| Ulcer Index | 0.04 | 0.05 |
| Serenity Index | -4.96 | -2.37 |
| Avg. Up Month | 2.02% | 2.04% |
| Avg. Down Month | -4.12% | -4.09% |
| Win Days | 46.15% | 44.23% |
| Win Month | 33.33% | 33.33% |
| Win Quarter | 50.0% | 50.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.74 | - |
| Alpha | -0.07 | - |
| Correlation | 59.67% | - |
| Treynor Ratio | -143.55% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.04 | 2.02 | 0.99 | - |
| 2022 | -8.04 | -8.08 | 1.01 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-30 | 2022-02-25 | -12.64 | 57 |
| 2021-12-09 | 2021-12-23 | -2.75 | 14 |
| 2021-12-28 | 2021-12-29 | -0.59 | 1 |