| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 11.51% | -24.45% |
| CAGR﹪ | 9.55% | -20.92% |
| Sharpe | -8.01 | -5.29 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -6.55 | -4.32 |
| Sortino | -7.8 | -5.56 |
| Smart Sortino | -6.38 | -4.55 |
| Sortino/√2 | -5.52 | -3.93 |
| Smart Sortino/√2 | -4.51 | -3.21 |
| Omega | 0.21 | 0.21 |
| Max Drawdown | -23.06% | -52.0% |
| Longest DD Days | 94 | 127 |
| Volatility (ann.) | 24.56% | 41.99% |
| R^2 | 0.31 | 0.31 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | 0.41 | -0.4 |
| Skew | -1.6 | -5.43 |
| Kurtosis | 19.65 | 93.17 |
| Expected Daily | 0.04% | -0.09% |
| Expected Monthly | 0.73% | -1.85% |
| Expected Yearly | 3.7% | -8.92% |
| Kelly Criterion | -0.82% | -10.61% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.5% | -4.4% |
| Expected Shortfall (cVaR) | -2.5% | -4.4% |
| Max Consecutive Wins | 8 | 9 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.1 | -0.09 |
| Gain/Pain (1M) | 0.53 | -0.37 |
| Payoff Ratio | 0.87 | 0.67 |
| Profit Factor | 1.1 | 0.91 |
| Common Sense Ratio | 1.27 | 0.77 |
| CPC Index | 0.51 | 0.34 |
| Tail Ratio | 1.15 | 0.85 |
| Outlier Win Ratio | 3.27 | 3.37 |
| Outlier Loss Ratio | 4.5 | 3.49 |
| MTD | -8.7% | -30.02% |
| 3M | -14.28% | -37.47% |
| 6M | -8.34% | -36.47% |
| YTD | -15.71% | -34.77% |
| 1Y | 7.6% | -27.03% |
| 3Y (ann.) | 9.55% | -20.92% |
| 5Y (ann.) | 9.55% | -20.92% |
| 10Y (ann.) | 9.55% | -20.92% |
| All-time (ann.) | 9.55% | -20.92% |
| Best Day | 8.6% | 20.04% |
| Worst Day | -13.01% | -33.28% |
| Best Month | 9.13% | 5.83% |
| Worst Month | -8.7% | -30.02% |
| Best Year | 28.14% | 15.15% |
| Worst Year | -15.71% | -34.77% |
| Avg. Drawdown | -4.44% | -4.01% |
| Avg. Drawdown Days | 24 | 16 |
| Recovery Factor | 0.5 | -0.47 |
| Ulcer Index | 0.05 | 0.08 |
| Serenity Index | -21.72 | -14.18 |
| Avg. Up Month | 4.35% | 2.46% |
| Avg. Down Month | -8.19% | -18.4% |
| Win Days | 52.98% | 55.45% |
| Win Month | 66.67% | 60.0% |
| Win Quarter | 83.33% | 66.67% |
| Win Year | 66.67% | 66.67% |
| Beta | 0.32 | - |
| Alpha | 0.16 | - |
| Correlation | 55.37% | - |
| Treynor Ratio | -2125.79% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 0.58 | 3.24 | 5.55 | + |
| 2021 | 15.15 | 28.14 | 1.86 | + |
| 2022 | -34.77 | -15.71 | 0.45 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-23 | 2022-02-25 | -23.06 | 94 |
| 2021-01-26 | 2021-04-05 | -10.45 | 69 |
| 2021-04-13 | 2021-07-02 | -9.41 | 80 |
| 2021-09-08 | 2021-11-03 | -8.47 | 56 |
| 2021-11-08 | 2021-11-15 | -3.98 | 7 |
| 2021-07-14 | 2021-07-26 | -3.03 | 12 |
| 2021-01-04 | 2021-01-08 | -2.40 | 4 |
| 2021-07-27 | 2021-08-20 | -2.38 | 24 |
| 2021-01-12 | 2021-01-21 | -2.20 | 9 |
| 2020-12-23 | 2020-12-30 | -2.13 | 7 |