| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | -25.17% | -37.57% |
| CAGR﹪ | -21.73% | -32.84% |
| Sharpe | -5.4 | -5.08 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -4.82 | -4.54 |
| Sortino | -5.38 | -5.35 |
| Smart Sortino | -4.8 | -4.78 |
| Sortino/√2 | -3.8 | -3.79 |
| Smart Sortino/√2 | -3.4 | -3.38 |
| Omega | 0.18 | 0.18 |
| Max Drawdown | -43.47% | -51.26% |
| Longest DD Days | 187 | 264 |
| Volatility (ann.) | 42.54% | 48.59% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | -0.5 | -0.64 |
| Skew | -8.57 | -4.66 |
| Kurtosis | 112.41 | 68.04 |
| Expected Daily | -0.13% | -0.2% |
| Expected Monthly | -2.39% | -3.85% |
| Expected Yearly | -13.5% | -20.99% |
| Kelly Criterion | -40.51% | -2.95% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.49% | -5.19% |
| Expected Shortfall (cVaR) | -4.49% | -5.19% |
| Max Consecutive Wins | 6 | 6 |
| Max Consecutive Losses | 8 | 4 |
| Gain/Pain Ratio | -0.15 | -0.21 |
| Gain/Pain (1M) | -0.34 | -0.67 |
| Payoff Ratio | 0.53 | 0.78 |
| Profit Factor | 0.85 | 0.79 |
| Common Sense Ratio | 0.87 | 0.54 |
| CPC Index | 0.23 | 0.34 |
| Tail Ratio | 1.02 | 0.68 |
| Outlier Win Ratio | 4.33 | 3.72 |
| Outlier Loss Ratio | 4.97 | 3.82 |
| MTD | 15.87% | -2.53% |
| 3M | -32.74% | -12.74% |
| 6M | -31.2% | -42.77% |
| YTD | -33.33% | -42.78% |
| 1Y | -26.2% | -42.23% |
| 3Y (ann.) | -21.73% | -32.84% |
| 5Y (ann.) | -21.73% | -32.84% |
| 10Y (ann.) | -21.73% | -32.84% |
| All-time (ann.) | -21.73% | -32.84% |
| Best Day | 11.05% | 20.04% |
| Worst Day | -33.9% | -33.28% |
| Best Month | 15.87% | 5.02% |
| Worst Month | -41.95% | -30.02% |
| Best Year | 12.24% | 9.1% |
| Worst Year | -33.33% | -42.78% |
| Avg. Drawdown | -6.73% | -4.1% |
| Avg. Drawdown Days | 40 | 23 |
| Recovery Factor | -0.58 | -0.73 |
| Ulcer Index | 0.12 | 0.17 |
| Serenity Index | -6.66 | -4.19 |
| Avg. Up Month | 2.2% | 2.74% |
| Avg. Down Month | -22.57% | -8.38% |
| Win Days | 51.16% | 55.02% |
| Win Month | 58.33% | 41.67% |
| Win Quarter | 33.33% | 33.33% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.03 | - |
| Alpha | -0.2 | - |
| Correlation | 3.63% | - |
| Treynor Ratio | -22844.38% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 9.10 | 12.24 | 1.34 | + |
| 2022 | -42.78 | -33.33 | 0.78 | + |
| 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 |
| 2021-07-09 | 2021-07-12 | -0.10 | 3 |