| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | -25.17% | -20.6% |
| CAGR﹪ | -21.73% | -17.71% |
| Sharpe | -0.49 | -0.41 |
| Prob. Sharpe Ratio | 29.6% | 33.05% |
| Smart Sharpe | -0.44 | -0.37 |
| Sortino | -0.54 | -0.47 |
| Smart Sortino | -0.48 | -0.42 |
| Sortino/√2 | -0.38 | -0.33 |
| Smart Sortino/√2 | -0.34 | -0.29 |
| Omega | 0.85 | 0.85 |
| Max Drawdown | -43.47% | -39.65% |
| Longest DD Days | 187 | 137 |
| Volatility (ann.) | 42.54% | 39.26% |
| R^2 | 0.75 | 0.75 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.5 | -0.45 |
| Skew | -8.57 | -8.51 |
| Kurtosis | 112.41 | 117.35 |
| Expected Daily | -0.13% | -0.1% |
| Expected Monthly | -2.39% | -1.9% |
| Expected Yearly | -13.5% | -10.89% |
| Kelly Criterion | -7.48% | -6.33% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.49% | -4.13% |
| Expected Shortfall (cVaR) | -4.49% | -4.13% |
| Max Consecutive Wins | 6 | 5 |
| Max Consecutive Losses | 8 | 6 |
| Gain/Pain Ratio | -0.15 | -0.14 |
| Gain/Pain (1M) | -0.34 | -0.32 |
| Payoff Ratio | 0.83 | 1.04 |
| Profit Factor | 0.85 | 0.86 |
| Common Sense Ratio | 0.87 | 1.07 |
| CPC Index | 0.36 | 0.41 |
| Tail Ratio | 1.02 | 1.24 |
| Outlier Win Ratio | 5.4 | 5.57 |
| Outlier Loss Ratio | 3.37 | 4.89 |
| MTD | 15.87% | 14.56% |
| 3M | -32.74% | -28.99% |
| 6M | -31.2% | -20.83% |
| YTD | -33.33% | -21.08% |
| 1Y | -26.2% | -20.74% |
| 3Y (ann.) | -21.73% | -17.71% |
| 5Y (ann.) | -21.73% | -17.71% |
| 10Y (ann.) | -21.73% | -17.71% |
| All-time (ann.) | -21.73% | -17.71% |
| Best Day | 11.05% | 10.7% |
| Worst Day | -33.9% | -31.57% |
| Best Month | 15.87% | 14.56% |
| Worst Month | -41.95% | -38.01% |
| Best Year | 12.24% | 0.61% |
| Worst Year | -33.33% | -21.08% |
| Avg. Drawdown | -6.73% | -5.15% |
| Avg. Drawdown Days | 40 | 32 |
| Recovery Factor | -0.58 | -0.52 |
| Ulcer Index | 0.12 | 0.11 |
| Serenity Index | -0.23 | -0.22 |
| Avg. Up Month | 5.68% | 4.54% |
| Avg. Down Month | -12.12% | -10.04% |
| Win Days | 51.16% | 45.85% |
| Win Month | 58.33% | 58.33% |
| Win Quarter | 33.33% | 50.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.94 | - |
| Alpha | -0.06 | - |
| Correlation | 86.59% | - |
| Treynor Ratio | -26.84% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.61 | 12.24 | 20.19 | + |
| 2022 | -21.08 | -33.33 | 1.58 | - |
| 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 |