| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | -40.22% | -37.57% |
| CAGR﹪ | -35.26% | -32.84% |
| Sharpe | -5.07 | -5.08 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -4.83 | -4.84 |
| Sortino | -5.23 | -5.35 |
| Smart Sortino | -4.98 | -5.1 |
| Sortino/√2 | -3.7 | -3.79 |
| Smart Sortino/√2 | -3.52 | -3.61 |
| Omega | 0.22 | 0.22 |
| Max Drawdown | -48.16% | -51.26% |
| Longest DD Days | 405 | 264 |
| Volatility (ann.) | 49.46% | 48.59% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | -0.73 | -0.64 |
| Skew | -6.4 | -4.66 |
| Kurtosis | 78.98 | 68.04 |
| Expected Daily | -0.22% | -0.2% |
| Expected Monthly | -4.2% | -3.85% |
| Expected Yearly | -22.69% | -20.99% |
| Kelly Criterion | -30.66% | -8.37% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.29% | -5.19% |
| Expected Shortfall (cVaR) | -5.29% | -5.19% |
| Max Consecutive Wins | 5 | 6 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | -0.23 | -0.21 |
| Gain/Pain (1M) | -0.62 | -0.67 |
| Payoff Ratio | 0.63 | 0.71 |
| Profit Factor | 0.77 | 0.79 |
| Common Sense Ratio | 0.63 | 0.54 |
| CPC Index | 0.24 | 0.31 |
| Tail Ratio | 0.82 | 0.68 |
| Outlier Win Ratio | 4.43 | 4.53 |
| Outlier Loss Ratio | 4.34 | 4.09 |
| MTD | 12.45% | -2.53% |
| 3M | -39.36% | -12.74% |
| 6M | -37.15% | -42.77% |
| YTD | -36.33% | -42.78% |
| 1Y | -40.04% | -42.23% |
| 3Y (ann.) | -35.26% | -32.84% |
| 5Y (ann.) | -35.26% | -32.84% |
| 10Y (ann.) | -35.26% | -32.84% |
| All-time (ann.) | -35.26% | -32.84% |
| Best Day | 14.24% | 20.04% |
| Worst Day | -35.95% | -33.28% |
| Best Month | 12.45% | 5.02% |
| Worst Month | -46.07% | -30.02% |
| Best Year | -6.11% | 9.1% |
| Worst Year | -36.33% | -42.78% |
| Avg. Drawdown | -26.61% | -4.1% |
| Avg. Drawdown Days | 214 | 23 |
| Recovery Factor | -0.84 | -0.73 |
| Ulcer Index | 0.15 | 0.17 |
| Serenity Index | -5.51 | -4.19 |
| Avg. Up Month | 0.87% | 3.56% |
| Avg. Down Month | -25.91% | -5.29% |
| Win Days | 49.3% | 55.02% |
| Win Month | 66.67% | 41.67% |
| Win Quarter | 66.67% | 33.33% |
| Win Year | 0.0% | 50.0% |
| Beta | 0.16 | - |
| Alpha | -0.36 | - |
| Correlation | 15.97% | - |
| Treynor Ratio | -4553.31% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 9.10 | -6.11 | -0.67 | - |
| 2022 | -42.78 | -36.33 | 0.85 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-06-02 | 2022-07-12 | -48.16 | 405 |
| 2021-05-10 | 2021-06-01 | -5.06 | 22 |