| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | -4.65% | -6.28% |
| CAGR﹪ | -3.87% | -5.24% |
| Sharpe | -4.28 | -3.54 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -3.64 | -3.01 |
| Sortino | -4.53 | -3.78 |
| Smart Sortino | -3.85 | -3.21 |
| Sortino/√2 | -3.2 | -2.67 |
| Smart Sortino/√2 | -2.72 | -2.27 |
| Omega | 0.4 | 0.4 |
| Max Drawdown | -17.15% | -20.47% |
| Longest DD Days | 194 | 188 |
| Volatility (ann.) | 17.3% | 21.35% |
| R^2 | 0.37 | 0.37 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | -0.23 | -0.26 |
| Skew | -2.66 | -4.8 |
| Kurtosis | 14.6 | 46.64 |
| Expected Daily | -0.02% | -0.03% |
| Expected Monthly | -0.37% | -0.5% |
| Expected Yearly | -2.35% | -3.19% |
| Kelly Criterion | -4.97% | -1.72% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.81% | -2.24% |
| Expected Shortfall (cVaR) | -1.81% | -2.24% |
| Max Consecutive Wins | 6 | 7 |
| Max Consecutive Losses | 9 | 6 |
| Gain/Pain Ratio | -0.06 | -0.06 |
| Gain/Pain (1M) | -0.17 | -0.18 |
| Payoff Ratio | 0.78 | 0.8 |
| Profit Factor | 0.94 | 0.94 |
| Common Sense Ratio | 0.82 | 0.77 |
| CPC Index | 0.4 | 0.41 |
| Tail Ratio | 0.87 | 0.81 |
| Outlier Win Ratio | 3.78 | 3.19 |
| Outlier Loss Ratio | 4.77 | 4.17 |
| MTD | 2.01% | 1.87% |
| 3M | -4.79% | -11.57% |
| 6M | -13.83% | -16.82% |
| YTD | -15.15% | -18.91% |
| 1Y | -7.02% | -10.49% |
| 3Y (ann.) | -3.87% | -5.24% |
| 5Y (ann.) | -3.87% | -5.24% |
| 10Y (ann.) | -3.87% | -5.24% |
| All-time (ann.) | -3.87% | -5.24% |
| Best Day | 2.69% | 3.83% |
| Worst Day | -6.81% | -13.13% |
| Best Month | 4.97% | 5.74% |
| Worst Month | -6.67% | -13.19% |
| Best Year | 12.38% | 15.57% |
| Worst Year | -15.15% | -18.91% |
| Avg. Drawdown | -2.09% | -2.19% |
| Avg. Drawdown Days | 21 | 16 |
| Recovery Factor | -0.27 | -0.31 |
| Ulcer Index | 0.04 | 0.04 |
| Serenity Index | -4.08 | -4.18 |
| Avg. Up Month | 2.56% | 2.75% |
| Avg. Down Month | -5.23% | -6.58% |
| Win Days | 54.05% | 54.69% |
| Win Month | 58.33% | 61.54% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.5 | - |
| Alpha | -0.02 | - |
| Correlation | 61.14% | - |
| Treynor Ratio | -211.17% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 15.57 | 12.38 | 0.79 | - |
| 2022 | -18.91 | -15.15 | 0.80 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-29 | 2022-07-11 | -17.15 | 194 |
| 2021-09-02 | 2021-10-22 | -5.55 | 50 |
| 2021-05-11 | 2021-07-07 | -3.94 | 57 |
| 2021-11-19 | 2021-12-13 | -2.93 | 24 |
| 2021-12-14 | 2021-12-23 | -2.36 | 9 |
| 2021-07-16 | 2021-07-21 | -1.74 | 5 |
| 2021-08-18 | 2021-08-25 | -0.85 | 7 |
| 2021-11-09 | 2021-11-16 | -0.82 | 7 |
| 2021-08-26 | 2021-09-01 | -0.78 | 6 |
| 2021-07-08 | 2021-07-12 | -0.73 | 4 |