| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 99.0% |
| Cumulative Return | -25.38% | -16.25% |
| CAGR﹪ | -20.61% | -13.05% |
| Sharpe | -0.23 | -0.19 |
| Prob. Sharpe Ratio | 11.25% | 13.06% |
| Smart Sharpe | -0.23 | -0.18 |
| Sortino | -0.26 | -0.21 |
| Smart Sortino | -0.25 | -0.2 |
| Sortino/√2 | -0.18 | -0.15 |
| Smart Sortino/√2 | -0.18 | -0.14 |
| Omega | 0.94 | 0.94 |
| Max Drawdown | -56.32% | -45.48% |
| Longest DD Days | 455 | 364 |
| Volatility (ann.) | 60.57% | 51.52% |
| R^2 | 0.67 | 0.67 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.37 | -0.29 |
| Skew | -8.93 | -8.55 |
| Kurtosis | 113.44 | 108.38 |
| Expected Daily | -0.13% | -0.08% |
| Expected Monthly | -2.41% | -1.47% |
| Expected Yearly | -9.3% | -5.74% |
| Kelly Criterion | -14.08% | -2.04% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.31% | -5.35% |
| Expected Shortfall (cVaR) | -6.31% | -5.35% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 9 | 6 |
| Gain/Pain Ratio | -0.03 | -0.01 |
| Gain/Pain (1M) | -0.1 | -0.06 |
| Payoff Ratio | 0.73 | 0.76 |
| Profit Factor | 0.97 | 0.99 |
| Common Sense Ratio | 1.17 | 1.02 |
| CPC Index | 0.37 | 0.42 |
| Tail Ratio | 1.21 | 1.04 |
| Outlier Win Ratio | 3.12 | 3.85 |
| Outlier Loss Ratio | 2.15 | 2.35 |
| MTD | 11.61% | 2.91% |
| 3M | 38.31% | 21.94% |
| 6M | 34.05% | 26.12% |
| YTD | 26.34% | 6.65% |
| 1Y | -18.29% | -18.21% |
| 3Y (ann.) | -20.61% | -13.05% |
| 5Y (ann.) | -20.61% | -13.05% |
| 10Y (ann.) | -20.61% | -13.05% |
| All-time (ann.) | -20.61% | -13.05% |
| Best Day | 7.88% | 9.32% |
| Worst Day | -48.33% | -40.61% |
| Best Month | 13.59% | 15.63% |
| Worst Month | -39.7% | -35.03% |
| Best Year | 26.34% | 6.65% |
| Worst Year | -40.54% | -20.77% |
| Avg. Drawdown | -19.46% | -14.61% |
| Avg. Drawdown Days | 153 | 113 |
| Recovery Factor | -0.45 | -0.36 |
| Ulcer Index | 0.37 | 0.29 |
| Serenity Index | -0.05 | -0.05 |
| Avg. Up Month | 8.5% | 5.63% |
| Avg. Down Month | -16.16% | -12.27% |
| Win Days | 51.8% | 56.0% |
| Win Month | 58.33% | 66.67% |
| Win Quarter | 40.0% | 60.0% |
| Win Year | 33.33% | 33.33% |
| Beta | 0.96 | - |
| Alpha | -0.05 | - |
| Correlation | 81.65% | - |
| Treynor Ratio | -33.73% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -0.89 | -0.67 | 0.75 | + |
| 2022 | -20.77 | -40.54 | 1.95 | - |
| 2023 | 6.65 | 26.34 | 3.96 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-26 | 2023-02-24 | -56.32 | 455 |
| 2021-11-23 | 2021-11-25 | -1.93 | 2 |
| 2021-11-19 | 2021-11-22 | -0.11 | 3 |