| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | -24.72% | 7.02% |
| CAGR﹪ | -21.08% | 5.82% |
| Sharpe | -0.47 | 17.81 |
| Prob. Sharpe Ratio | 30.27% | 100.0% |
| Smart Sharpe | -0.42 | 15.9 |
| Sortino | -0.52 | 42.29 |
| Smart Sortino | -0.47 | 37.76 |
| Sortino/√2 | -0.37 | 29.9 |
| Smart Sortino/√2 | -0.33 | 26.7 |
| Omega | 0.86 | 0.86 |
| Max Drawdown | -43.47% | -0.74% |
| Longest DD Days | 187 | 32 |
| Volatility (ann.) | 42.27% | 0.41% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | -0.48 | 7.88 |
| Skew | -8.63 | -1.24 |
| Kurtosis | 113.86 | 1.46 |
| Expected Daily | -0.12% | 0.03% |
| Expected Monthly | -2.16% | 0.52% |
| Expected Yearly | -13.24% | 3.45% |
| Kelly Criterion | -308.47% | 82.48% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.46% | -0.01% |
| Expected Shortfall (cVaR) | -4.46% | -0.01% |
| Max Consecutive Wins | 6 | 210 |
| Max Consecutive Losses | 8 | 22 |
| Gain/Pain Ratio | -0.14 | 9.16 |
| Gain/Pain (1M) | -0.33 | 9.16 |
| Payoff Ratio | 0.14 | 1.18 |
| Profit Factor | 0.86 | 10.16 |
| Common Sense Ratio | 0.87 | 26.22 |
| CPC Index | 0.06 | 10.84 |
| Tail Ratio | 1.02 | 2.58 |
| Outlier Win Ratio | 2.47 | 60.52 |
| Outlier Loss Ratio | 2.05 | 74.51 |
| MTD | 15.87% | -0.39% |
| 3M | -32.74% | -0.74% |
| 6M | -31.2% | 1.12% |
| YTD | -33.33% | 1.42% |
| 1Y | -26.2% | 5.4% |
| 3Y (ann.) | -21.08% | 5.82% |
| 5Y (ann.) | -21.08% | 5.82% |
| 10Y (ann.) | -21.08% | 5.82% |
| All-time (ann.) | -21.08% | 5.82% |
| Best Day | 11.05% | 0.06% |
| Worst Day | -33.9% | -0.05% |
| Best Month | 15.87% | 1.17% |
| Worst Month | -41.95% | -0.39% |
| Best Year | 12.91% | 5.53% |
| Worst Year | -33.33% | 1.42% |
| Avg. Drawdown | -6.14% | -0.74% |
| Avg. Drawdown Days | 36 | 32 |
| Recovery Factor | -0.57 | 9.51 |
| Ulcer Index | 0.12 | 0.0 |
| Serenity Index | -0.23 | 6.9 |
| Avg. Up Month | 3.49% | 0.76% |
| Avg. Down Month | -41.95% | -0.35% |
| Win Days | 51.38% | 90.52% |
| Win Month | 58.33% | 83.33% |
| Win Quarter | 33.33% | 66.67% |
| Win Year | 50.0% | 100.0% |
| Beta | 9.18 | - |
| Alpha | -0.87 | - |
| Correlation | 8.95% | - |
| Treynor Ratio | -2.69% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 5.53 | 12.91 | 2.34 | + |
| 2022 | 1.42 | -33.33 | -23.53 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-06 | 2022-07-12 | -43.47 | 187 |
| 2021-08-24 | 2021-11-12 | -7.60 | 80 |
| 2021-05-11 | 2021-07-07 | -5.43 | 57 |
| 2021-11-23 | 2021-12-28 | -5.00 | 35 |
| 2021-11-17 | 2021-11-22 | -1.68 | 5 |
| 2021-07-13 | 2021-07-26 | -1.37 | 13 |
| 2022-01-03 | 2022-01-04 | -1.33 | 1 |
| 2021-08-12 | 2021-08-20 | -0.96 | 8 |
| 2021-07-28 | 2021-08-06 | -0.39 | 9 |
| 2021-05-06 | 2021-05-07 | -0.20 | 1 |