| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 72.0% | 86.0% |
| Cumulative Return | -8.54% | -4.9% |
| CAGR﹪ | -78.79% | -58.26% |
| Sharpe | -10.44 | -9.72 |
| Prob. Sharpe Ratio | 0.0% | 6.19% |
| Smart Sharpe | -7.29 | -6.79 |
| Sortino | -9.21 | -9.27 |
| Smart Sortino | -6.43 | -6.47 |
| Sortino/√2 | -6.52 | -6.55 |
| Smart Sortino/√2 | -4.55 | -4.58 |
| Omega | 0.04 | 0.04 |
| Max Drawdown | -8.91% | -6.34% |
| Longest DD Days | 9 | 9 |
| Volatility (ann.) | 30.81% | 19.09% |
| R^2 | 0.47 | 0.47 |
| Information Ratio | -0.38 | -0.38 |
| Calmar | -8.85 | -9.19 |
| Skew | -1.8 | 0.56 |
| Kurtosis | 3.54 | -1.64 |
| Expected Daily | -1.27% | -0.72% |
| Expected Monthly | -8.54% | -4.9% |
| Expected Yearly | -8.54% | -4.9% |
| Kelly Criterion | -430.5% | -231.54% |
| Risk of Ruin | 0.06% | 0.01% |
| Daily Value-at-Risk | -4.44% | -2.69% |
| Expected Shortfall (cVaR) | -4.44% | -2.69% |
| Max Consecutive Wins | 1 | 2 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | -0.96 | -0.76 |
| Gain/Pain (1M) | -1.0 | -1.0 |
| Payoff Ratio | 0.18 | 0.25 |
| Profit Factor | 0.04 | 0.24 |
| Common Sense Ratio | 0.0 | 0.12 |
| CPC Index | 0.0 | 0.02 |
| Tail Ratio | 0.07 | 0.49 |
| Outlier Win Ratio | 5.38 | 1.43 |
| Outlier Loss Ratio | 1.52 | 2.14 |
| MTD | -8.54% | -4.9% |
| 3M | -8.54% | -4.9% |
| 6M | -8.54% | -4.9% |
| YTD | -8.54% | -4.9% |
| 1Y | -8.54% | -4.9% |
| 3Y (ann.) | -78.79% | -58.26% |
| 5Y (ann.) | -78.79% | -58.26% |
| 10Y (ann.) | -78.79% | -58.26% |
| All-time (ann.) | -78.79% | -58.26% |
| Best Day | 0.41% | 1.12% |
| Worst Day | -5.26% | -1.9% |
| Best Month | -8.54% | -4.9% |
| Worst Month | -8.54% | -4.9% |
| Best Year | -8.54% | -4.9% |
| Worst Year | -8.54% | -4.9% |
| Avg. Drawdown | -8.91% | -6.34% |
| Avg. Drawdown Days | 9 | 9 |
| Recovery Factor | -0.96 | -0.77 |
| Ulcer Index | 0.04 | 0.03 |
| Serenity Index | -0.94 | -0.65 |
| Avg. Up Month | - | - |
| Avg. Down Month | -8.54% | -4.9% |
| Win Days | 20.0% | 33.33% |
| Win Month | 0.0% | 0.0% |
| Win Quarter | 0.0% | 0.0% |
| Win Year | 0.0% | 0.0% |
| Beta | 1.11 | - |
| Alpha | -1.17 | - |
| Correlation | 68.65% | - |
| Treynor Ratio | -14.02% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | -4.90 | -8.54 | 1.74 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-16 | 2022-02-25 | -8.91 | 9 |