| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | -14.45% | -6.95% |
| CAGR﹪ | -12.66% | -6.05% |
| Sharpe | -2.93 | -3.66 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -2.72 | -3.39 |
| Sortino | -3.34 | -3.95 |
| Smart Sortino | -3.1 | -3.67 |
| Sortino/√2 | -2.36 | -2.8 |
| Smart Sortino/√2 | -2.19 | -2.59 |
| Omega | 0.54 | 0.54 |
| Max Drawdown | -32.02% | -22.95% |
| Longest DD Days | 224 | 181 |
| Volatility (ann.) | 29.52% | 21.07% |
| R^2 | 0.48 | 0.48 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | -0.4 | -0.26 |
| Skew | -1.61 | -3.17 |
| Kurtosis | 8.48 | 23.66 |
| Expected Daily | -0.09% | -0.04% |
| Expected Monthly | -1.29% | -0.6% |
| Expected Yearly | -7.51% | -3.54% |
| Kelly Criterion | -16.6% | -12.19% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.13% | -2.21% |
| Expected Shortfall (cVaR) | -3.13% | -2.21% |
| Max Consecutive Wins | 8 | 8 |
| Max Consecutive Losses | 7 | 5 |
| Gain/Pain Ratio | -0.11 | -0.07 |
| Gain/Pain (1M) | -0.32 | -0.21 |
| Payoff Ratio | 0.68 | 0.63 |
| Profit Factor | 0.89 | 0.93 |
| Common Sense Ratio | 0.89 | 0.74 |
| CPC Index | 0.32 | 0.33 |
| Tail Ratio | 1.0 | 0.8 |
| Outlier Win Ratio | 3.38 | 5.1 |
| Outlier Loss Ratio | 4.35 | 6.12 |
| MTD | 1.29% | 1.24% |
| 3M | -15.24% | -12.12% |
| 6M | -28.88% | -19.44% |
| YTD | -29.42% | -19.41% |
| 1Y | -20.22% | -10.67% |
| 3Y (ann.) | -12.66% | -6.05% |
| 5Y (ann.) | -12.66% | -6.05% |
| 10Y (ann.) | -12.66% | -6.05% |
| All-time (ann.) | -12.66% | -6.05% |
| Best Day | 6.48% | 3.61% |
| Worst Day | -9.58% | -10.63% |
| Best Month | 6.44% | 6.79% |
| Worst Month | -16.32% | -13.19% |
| Best Year | 21.21% | 15.47% |
| Worst Year | -29.42% | -19.41% |
| Avg. Drawdown | -3.61% | -2.21% |
| Avg. Drawdown Days | 24 | 15 |
| Recovery Factor | -0.45 | -0.3 |
| Ulcer Index | 0.07 | 0.05 |
| Serenity Index | -2.11 | -3.37 |
| Avg. Up Month | 3.31% | 3.05% |
| Avg. Down Month | -9.56% | -6.58% |
| Win Days | 52.81% | 56.59% |
| Win Month | 66.67% | 58.33% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.97 | - |
| Alpha | -0.1 | - |
| Correlation | 69.46% | - |
| Treynor Ratio | -117.63% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 15.47 | 21.21 | 1.37 | + |
| 2022 | -19.41 | -29.42 | 1.52 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-23 | 2022-07-05 | -32.02 | 224 |
| 2021-09-03 | 2021-10-26 | -7.45 | 53 |
| 2021-05-11 | 2021-05-24 | -3.34 | 13 |
| 2021-07-14 | 2021-07-23 | -2.41 | 9 |
| 2021-11-08 | 2021-11-18 | -2.27 | 10 |
| 2021-06-01 | 2021-06-09 | -1.92 | 8 |
| 2021-07-27 | 2021-08-23 | -1.53 | 27 |
| 2021-07-08 | 2021-07-09 | -1.21 | 1 |
| 2021-08-25 | 2021-08-30 | -0.90 | 5 |
| 2021-06-18 | 2021-06-21 | -0.37 | 3 |