| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | -25.0% | -5.74% |
| CAGR﹪ | -20.89% | -4.7% |
| Sharpe | -4.35 | -3.29 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -4.13 | -3.13 |
| Sortino | -4.6 | -3.51 |
| Smart Sortino | -4.37 | -3.34 |
| Sortino/√2 | -3.25 | -2.48 |
| Smart Sortino/√2 | -3.09 | -2.36 |
| Omega | 0.42 | 0.42 |
| Max Drawdown | -28.06% | -22.95% |
| Longest DD Days | 403 | 186 |
| Volatility (ann.) | 23.79% | 22.57% |
| R^2 | 0.41 | 0.41 |
| Information Ratio | -0.09 | -0.09 |
| Calmar | -0.74 | -0.2 |
| Skew | -3.06 | -5.29 |
| Kurtosis | 23.99 | 53.1 |
| Expected Daily | -0.15% | -0.03% |
| Expected Monthly | -2.19% | -0.45% |
| Expected Yearly | -13.4% | -2.91% |
| Kelly Criterion | -26.1% | -14.87% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.6% | -2.36% |
| Expected Shortfall (cVaR) | -2.6% | -2.36% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 6 | 4 |
| Gain/Pain Ratio | -0.24 | -0.05 |
| Gain/Pain (1M) | -0.74 | -0.15 |
| Payoff Ratio | 0.62 | 0.64 |
| Profit Factor | 0.76 | 0.95 |
| Common Sense Ratio | 0.65 | 0.75 |
| CPC Index | 0.24 | 0.33 |
| Tail Ratio | 0.85 | 0.78 |
| Outlier Win Ratio | 3.17 | 3.61 |
| Outlier Loss Ratio | 2.39 | 3.15 |
| MTD | -1.98% | 1.87% |
| 3M | -14.36% | -11.57% |
| 6M | -18.72% | -17.27% |
| YTD | -18.72% | -18.67% |
| 1Y | -24.94% | -10.49% |
| 3Y (ann.) | -20.89% | -4.7% |
| 5Y (ann.) | -20.89% | -4.7% |
| 10Y (ann.) | -20.89% | -4.7% |
| All-time (ann.) | -20.89% | -4.7% |
| Best Day | 3.2% | 4.18% |
| Worst Day | -12.63% | -14.38% |
| Best Month | 3.46% | 5.74% |
| Worst Month | -12.63% | -13.19% |
| Best Year | -7.73% | 15.91% |
| Worst Year | -18.72% | -18.67% |
| Avg. Drawdown | -7.74% | -2.06% |
| Avg. Drawdown Days | 87 | 14 |
| Recovery Factor | -0.89 | -0.25 |
| Ulcer Index | 0.09 | 0.05 |
| Serenity Index | -1.26 | -3.33 |
| Avg. Up Month | 1.45% | 2.84% |
| Avg. Down Month | -5.43% | -6.51% |
| Win Days | 51.85% | 55.38% |
| Win Month | 46.15% | 69.23% |
| Win Quarter | 16.67% | 66.67% |
| Win Year | 0.0% | 50.0% |
| Beta | 0.68 | - |
| Alpha | -0.31 | - |
| Correlation | 64.09% | - |
| Treynor Ratio | -185.11% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 15.91 | -7.73 | -0.49 | - |
| 2022 | -18.67 | -18.72 | 1.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-06-03 | 2022-07-11 | -28.06 | 403 |
| 2021-05-10 | 2021-05-28 | -6.55 | 18 |
| 2021-04-29 | 2021-05-07 | -3.28 | 8 |
| 2021-04-20 | 2021-04-23 | -0.76 | 3 |
| 2021-04-26 | 2021-04-27 | -0.08 | 1 |