| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | -23.0% | 1.85% |
| CAGR﹪ | -33.48% | 2.9% |
| Sharpe | -4.26 | -3.64 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -3.5 | -2.99 |
| Sortino | -4.9 | -4.54 |
| Smart Sortino | -4.03 | -3.73 |
| Sortino/√2 | -3.46 | -3.21 |
| Smart Sortino/√2 | -2.85 | -2.64 |
| Omega | 0.48 | 0.48 |
| Max Drawdown | -26.69% | -10.32% |
| Longest DD Days | 171 | 57 |
| Volatility (ann.) | 27.46% | 17.63% |
| R^2 | 0.12 | 0.12 |
| Information Ratio | -0.12 | -0.12 |
| Calmar | -1.25 | 0.28 |
| Skew | -0.21 | 0.5 |
| Kurtosis | 1.24 | 1.44 |
| Expected Daily | -0.2% | 0.01% |
| Expected Monthly | -3.21% | 0.23% |
| Expected Yearly | -12.25% | 0.92% |
| Kelly Criterion | -10.16% | 9.84% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.03% | -1.81% |
| Expected Shortfall (cVaR) | -3.03% | -1.81% |
| Max Consecutive Wins | 6 | 8 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | -0.26 | 0.05 |
| Gain/Pain (1M) | -0.85 | 0.2 |
| Payoff Ratio | 1.02 | 1.22 |
| Profit Factor | 0.74 | 1.05 |
| Common Sense Ratio | 0.67 | 0.98 |
| CPC Index | 0.34 | 0.65 |
| Tail Ratio | 0.91 | 0.94 |
| Outlier Win Ratio | 2.87 | 3.97 |
| Outlier Loss Ratio | 2.61 | 4.38 |
| MTD | -2.01% | -2.77% |
| 3M | -15.68% | -6.18% |
| 6M | -21.29% | -1.57% |
| YTD | -15.31% | -8.04% |
| 1Y | -23.0% | 1.85% |
| 3Y (ann.) | -33.48% | 2.9% |
| 5Y (ann.) | -33.48% | 2.9% |
| 10Y (ann.) | -33.48% | 2.9% |
| All-time (ann.) | -33.48% | 2.9% |
| Best Day | 5.02% | 4.38% |
| Worst Day | -5.32% | -2.79% |
| Best Month | 2.33% | 7.01% |
| Worst Month | -13.57% | -5.42% |
| Best Year | -9.08% | 10.75% |
| Worst Year | -15.31% | -8.04% |
| Avg. Drawdown | -10.9% | -2.01% |
| Avg. Drawdown Days | 76 | 11 |
| Recovery Factor | -0.86 | 0.18 |
| Ulcer Index | 0.11 | 0.04 |
| Serenity Index | -0.94 | -4.62 |
| Avg. Up Month | 1.83% | 3.9% |
| Avg. Down Month | -6.39% | -3.38% |
| Win Days | 44.26% | 50.39% |
| Win Month | 25.0% | 50.0% |
| Win Quarter | 0.0% | 33.33% |
| Win Year | 0.0% | 50.0% |
| Beta | 0.53 | - |
| Alpha | -0.5 | - |
| Correlation | 34.1% | - |
| Treynor Ratio | -231.63% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 10.75 | -9.08 | -0.84 | - |
| 2022 | -8.04 | -15.31 | 1.90 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-07 | 2022-02-25 | -26.69 | 171 |
| 2021-07-13 | 2021-09-03 | -4.82 | 52 |
| 2021-07-07 | 2021-07-12 | -1.18 | 5 |