| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -10.65% | -3.06% |
| CAGR﹪ | -24.26% | -7.37% |
| Sharpe | -0.97 | -0.24 |
| Prob. Sharpe Ratio | 12.01% | 23.13% |
| Smart Sharpe | -0.77 | -0.19 |
| Sortino | -1.35 | -0.3 |
| Smart Sortino | -1.07 | -0.24 |
| Sortino/√2 | -0.95 | -0.21 |
| Smart Sortino/√2 | -0.76 | -0.17 |
| Omega | 0.84 | 0.84 |
| Max Drawdown | -17.67% | -23.06% |
| Longest DD Days | 147 | 94 |
| Volatility (ann.) | 30.64% | 34.82% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | -1.37 | -0.32 |
| Skew | 0.26 | -1.6 |
| Kurtosis | 3.75 | 13.65 |
| Expected Daily | -0.11% | -0.03% |
| Expected Monthly | -1.86% | -0.52% |
| Expected Yearly | -5.48% | -1.54% |
| Kelly Criterion | -11.25% | 5.09% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.27% | -3.61% |
| Expected Shortfall (cVaR) | -3.27% | -3.61% |
| Max Consecutive Wins | 4 | 6 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | -0.13 | -0.01 |
| Gain/Pain (1M) | -0.53 | -0.04 |
| Payoff Ratio | 0.97 | 1.11 |
| Profit Factor | 0.87 | 0.99 |
| Common Sense Ratio | 0.83 | 1.32 |
| CPC Index | 0.38 | 0.55 |
| Tail Ratio | 0.96 | 1.33 |
| Outlier Win Ratio | 3.32 | 3.38 |
| Outlier Loss Ratio | 4.13 | 3.93 |
| MTD | 4.92% | -8.7% |
| 3M | -5.27% | -14.28% |
| 6M | -10.65% | -3.06% |
| YTD | -3.72% | -15.71% |
| 1Y | -10.65% | -3.06% |
| 3Y (ann.) | -24.26% | -7.37% |
| 5Y (ann.) | -24.26% | -7.37% |
| 10Y (ann.) | -24.26% | -7.37% |
| All-time (ann.) | -24.26% | -7.37% |
| Best Day | 7.88% | 8.6% |
| Worst Day | -7.3% | -13.01% |
| Best Month | 4.92% | 9.13% |
| Worst Month | -8.23% | -8.7% |
| Best Year | -3.72% | 15.0% |
| Worst Year | -7.2% | -15.71% |
| Avg. Drawdown | -17.67% | -4.96% |
| Avg. Drawdown Days | 147 | 18 |
| Recovery Factor | -0.6 | -0.13 |
| Ulcer Index | 0.1 | 0.07 |
| Serenity Index | -0.22 | -0.28 |
| Avg. Up Month | 2.76% | 1.04% |
| Avg. Down Month | -8.23% | -7.67% |
| Win Days | 45.1% | 50.0% |
| Win Month | 40.0% | 60.0% |
| Win Quarter | 0.0% | 50.0% |
| Win Year | 0.0% | 50.0% |
| Beta | 0.02 | - |
| Alpha | -0.23 | - |
| Correlation | 2.25% | - |
| Treynor Ratio | -892.47% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 15.00 | -7.20 | -0.48 | - |
| 2022 | -15.71 | -3.72 | 0.24 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-01 | 2022-02-25 | -17.67 | 147 |