| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | -40.16% | -20.73% |
| CAGR﹪ | -35.46% | -17.97% |
| Sharpe | -0.85 | -0.42 |
| Prob. Sharpe Ratio | 17.06% | 32.85% |
| Smart Sharpe | -0.81 | -0.4 |
| Sortino | -0.96 | -0.47 |
| Smart Sortino | -0.92 | -0.45 |
| Sortino/√2 | -0.68 | -0.33 |
| Smart Sortino/√2 | -0.65 | -0.32 |
| Omega | 0.77 | 0.77 |
| Max Drawdown | -48.16% | -39.65% |
| Longest DD Days | 405 | 137 |
| Volatility (ann.) | 49.67% | 39.42% |
| R^2 | 0.58 | 0.58 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | -0.74 | -0.45 |
| Skew | -6.37 | -8.48 |
| Kurtosis | 78.34 | 116.48 |
| Expected Daily | -0.22% | -0.1% |
| Expected Monthly | -4.19% | -1.92% |
| Expected Yearly | -22.65% | -10.96% |
| Kelly Criterion | -29.5% | -11.14% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.31% | -4.15% |
| Expected Shortfall (cVaR) | -5.31% | -4.15% |
| Max Consecutive Wins | 5 | 5 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | -0.23 | -0.14 |
| Gain/Pain (1M) | -0.61 | -0.32 |
| Payoff Ratio | 0.64 | 0.95 |
| Profit Factor | 0.77 | 0.86 |
| Common Sense Ratio | 0.63 | 1.07 |
| CPC Index | 0.24 | 0.37 |
| Tail Ratio | 0.82 | 1.24 |
| Outlier Win Ratio | 5.35 | 6.58 |
| Outlier Loss Ratio | 3.03 | 5.41 |
| MTD | 12.45% | 14.56% |
| 3M | -39.36% | -28.99% |
| 6M | -37.15% | -20.83% |
| YTD | -36.33% | -21.08% |
| 1Y | -40.04% | -20.74% |
| 3Y (ann.) | -35.46% | -17.97% |
| 5Y (ann.) | -35.46% | -17.97% |
| 10Y (ann.) | -35.46% | -17.97% |
| All-time (ann.) | -35.46% | -17.97% |
| Best Day | 14.24% | 10.7% |
| Worst Day | -35.95% | -31.57% |
| Best Month | 12.45% | 14.56% |
| Worst Month | -46.07% | -38.01% |
| Best Year | -6.01% | 0.44% |
| Worst Year | -36.33% | -21.08% |
| Avg. Drawdown | -26.27% | -5.53% |
| Avg. Drawdown Days | 210 | 34 |
| Recovery Factor | -0.83 | -0.52 |
| Ulcer Index | 0.15 | 0.11 |
| Serenity Index | -0.3 | -0.22 |
| Avg. Up Month | 3.67% | 5.12% |
| Avg. Down Month | -17.34% | -13.71% |
| Win Days | 49.3% | 45.81% |
| Win Month | 66.67% | 58.33% |
| Win Quarter | 66.67% | 50.0% |
| Win Year | 0.0% | 50.0% |
| Beta | 0.96 | - |
| Alpha | -0.26 | - |
| Correlation | 76.46% | - |
| Treynor Ratio | -41.69% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.44 | -6.01 | -13.55 | - |
| 2022 | -21.08 | -36.33 | 1.72 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-06-02 | 2022-07-12 | -48.16 | 405 |
| 2021-05-11 | 2021-05-27 | -4.38 | 16 |