| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 29.0% | 96.0% |
| Cumulative Return | -8.91% | -8.66% |
| CAGR﹪ | -41.75% | -40.82% |
| Sharpe | -5.21 | -3.37 |
| Prob. Sharpe Ratio | 0.04% | 6.32% |
| Smart Sharpe | -4.73 | -3.05 |
| Sortino | -5.15 | -3.74 |
| Smart Sortino | -4.67 | -3.39 |
| Sortino/√2 | -3.64 | -2.64 |
| Smart Sortino/√2 | -3.3 | -2.4 |
| Omega | 0.14 | 0.14 |
| Max Drawdown | -10.0% | -11.5% |
| Longest DD Days | 56 | 50 |
| Volatility (ann.) | 18.96% | 27.94% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -4.18 | -3.55 |
| Skew | -3.15 | -1.5 |
| Kurtosis | 12.13 | 3.69 |
| Expected Daily | -0.37% | -0.36% |
| Expected Monthly | -2.31% | -2.24% |
| Expected Yearly | -8.91% | -8.66% |
| Kelly Criterion | -103.06% | -67.65% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.33% | -3.24% |
| Expected Shortfall (cVaR) | -2.33% | -3.24% |
| Max Consecutive Wins | 1 | 3 |
| Max Consecutive Losses | 1 | 5 |
| Gain/Pain Ratio | -0.85 | -0.47 |
| Gain/Pain (1M) | -1.0 | -0.87 |
| Payoff Ratio | 0.54 | 0.48 |
| Profit Factor | 0.15 | 0.53 |
| Common Sense Ratio | 0.03 | 0.16 |
| CPC Index | 0.02 | 0.12 |
| Tail Ratio | 0.17 | 0.3 |
| Outlier Win Ratio | 22.11 | 2.17 |
| Outlier Loss Ratio | 2.26 | 3.41 |
| MTD | 0.0% | -0.83% |
| 3M | -8.91% | -8.66% |
| 6M | -8.91% | -8.66% |
| YTD | -8.91% | -8.66% |
| 1Y | -8.91% | -8.66% |
| 3Y (ann.) | -41.75% | -40.82% |
| 5Y (ann.) | -41.75% | -40.82% |
| 10Y (ann.) | -41.75% | -40.82% |
| All-time (ann.) | -41.75% | -40.82% |
| Best Day | 1.21% | 2.95% |
| Worst Day | -5.26% | -5.32% |
| Best Month | 0.0% | 1.35% |
| Worst Month | -8.91% | -5.35% |
| Best Year | -8.91% | -8.66% |
| Worst Year | -8.91% | -8.66% |
| Avg. Drawdown | -10.0% | -6.45% |
| Avg. Drawdown Days | 56 | 28 |
| Recovery Factor | -0.89 | -0.75 |
| Ulcer Index | 0.05 | 0.06 |
| Serenity Index | -0.35 | -0.46 |
| Avg. Up Month | - | - |
| Avg. Down Month | -8.91% | -5.35% |
| Win Days | 28.57% | 45.83% |
| Win Month | 0.0% | 25.0% |
| Win Quarter | 0.0% | 0.0% |
| Win Year | 0.0% | 0.0% |
| Beta | -0.2 | - |
| Alpha | -1.09 | - |
| Correlation | -29.16% | - |
| Treynor Ratio | 80.39% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | -8.66 | -8.91 | 1.03 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-04 | 2022-04-01 | -10.00 | 56 |