| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | -44.75% | -37.57% |
| CAGR﹪ | -39.42% | -32.84% |
| Sharpe | -4.22 | -5.08 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -4.13 | -4.98 |
| Sortino | -4.4 | -5.35 |
| Smart Sortino | -4.31 | -5.25 |
| Sortino/√2 | -3.11 | -3.79 |
| Smart Sortino/√2 | -3.05 | -3.71 |
| Omega | 0.29 | 0.29 |
| Max Drawdown | -61.28% | -51.26% |
| Longest DD Days | 237 | 264 |
| Volatility (ann.) | 59.55% | 48.59% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | -0.64 | -0.64 |
| Skew | -7.28 | -4.66 |
| Kurtosis | 91.8 | 68.04 |
| Expected Daily | -0.26% | -0.2% |
| Expected Monthly | -4.82% | -3.85% |
| Expected Yearly | -25.67% | -20.99% |
| Kelly Criterion | -23.88% | -14.14% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.34% | -5.19% |
| Expected Shortfall (cVaR) | -6.34% | -5.19% |
| Max Consecutive Wins | 6 | 6 |
| Max Consecutive Losses | 6 | 4 |
| Gain/Pain Ratio | -0.19 | -0.21 |
| Gain/Pain (1M) | -0.51 | -0.67 |
| Payoff Ratio | 0.69 | 0.65 |
| Profit Factor | 0.81 | 0.79 |
| Common Sense Ratio | 0.72 | 0.54 |
| CPC Index | 0.28 | 0.28 |
| Tail Ratio | 0.88 | 0.68 |
| Outlier Win Ratio | 3.68 | 5.07 |
| Outlier Loss Ratio | 3.9 | 4.47 |
| MTD | 16.97% | -2.53% |
| 3M | -43.52% | -12.74% |
| 6M | -47.1% | -42.77% |
| YTD | -50.2% | -42.78% |
| 1Y | -50.15% | -42.23% |
| 3Y (ann.) | -39.42% | -32.84% |
| 5Y (ann.) | -39.42% | -32.84% |
| 10Y (ann.) | -39.42% | -32.84% |
| All-time (ann.) | -39.42% | -32.84% |
| Best Day | 13.99% | 20.04% |
| Worst Day | -45.18% | -33.28% |
| Best Month | 16.97% | 5.02% |
| Worst Month | -51.72% | -30.02% |
| Best Year | 10.94% | 9.1% |
| Worst Year | -50.2% | -42.78% |
| Avg. Drawdown | -5.5% | -4.1% |
| Avg. Drawdown Days | 24 | 23 |
| Recovery Factor | -0.73 | -0.73 |
| Ulcer Index | 0.2 | 0.17 |
| Serenity Index | -3.81 | -4.19 |
| Avg. Up Month | 4.14% | 3.06% |
| Avg. Down Month | -13.47% | -9.71% |
| Win Days | 49.32% | 55.02% |
| Win Month | 50.0% | 41.67% |
| Win Quarter | 50.0% | 33.33% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.18 | - |
| Alpha | -0.36 | - |
| Correlation | 14.29% | - |
| Treynor Ratio | -4253.0% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 9.10 | 10.94 | 1.20 | + |
| 2022 | -42.78 | -50.20 | 1.17 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-17 | 2022-07-12 | -61.28 | 237 |
| 2021-09-07 | 2021-11-03 | -8.84 | 57 |
| 2021-05-10 | 2021-05-26 | -4.93 | 16 |
| 2021-07-08 | 2021-08-26 | -4.46 | 49 |
| 2021-06-10 | 2021-06-11 | -1.27 | 1 |
| 2021-05-27 | 2021-06-04 | -1.17 | 8 |
| 2021-06-16 | 2021-06-17 | -1.14 | 1 |
| 2021-06-25 | 2021-06-28 | -1.01 | 3 |
| 2021-08-27 | 2021-08-30 | -0.96 | 3 |
| 2021-07-01 | 2021-07-06 | -0.79 | 5 |