| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | -30.22% | -37.57% |
| CAGR﹪ | -26.22% | -32.84% |
| Sharpe | -4.42 | -5.08 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -4.21 | -4.84 |
| Sortino | -4.52 | -5.35 |
| Smart Sortino | -4.3 | -5.1 |
| Sortino/√2 | -3.19 | -3.79 |
| Smart Sortino/√2 | -3.04 | -3.61 |
| Omega | 0.26 | 0.26 |
| Max Drawdown | -53.58% | -51.26% |
| Longest DD Days | 183 | 264 |
| Volatility (ann.) | 52.33% | 48.59% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | -0.49 | -0.64 |
| Skew | -7.22 | -4.66 |
| Kurtosis | 83.14 | 68.04 |
| Expected Daily | -0.16% | -0.2% |
| Expected Monthly | -2.95% | -3.85% |
| Expected Yearly | -16.47% | -20.99% |
| Kelly Criterion | -23.08% | -18.22% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.51% | -5.19% |
| Expected Shortfall (cVaR) | -5.51% | -5.19% |
| Max Consecutive Wins | 9 | 6 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | -0.12 | -0.21 |
| Gain/Pain (1M) | -0.31 | -0.67 |
| Payoff Ratio | 0.6 | 0.61 |
| Profit Factor | 0.88 | 0.79 |
| Common Sense Ratio | 0.87 | 0.54 |
| CPC Index | 0.28 | 0.27 |
| Tail Ratio | 0.99 | 0.68 |
| Outlier Win Ratio | 4.42 | 4.93 |
| Outlier Loss Ratio | 4.84 | 5.04 |
| MTD | 16.67% | -2.53% |
| 3M | -38.93% | -12.74% |
| 6M | -38.71% | -42.77% |
| YTD | -43.02% | -42.78% |
| 1Y | -35.87% | -42.23% |
| 3Y (ann.) | -26.22% | -32.84% |
| 5Y (ann.) | -26.22% | -32.84% |
| 10Y (ann.) | -26.22% | -32.84% |
| All-time (ann.) | -26.22% | -32.84% |
| Best Day | 9.03% | 20.04% |
| Worst Day | -38.66% | -33.28% |
| Best Month | 16.67% | 5.02% |
| Worst Month | -47.66% | -30.02% |
| Best Year | 22.46% | 9.1% |
| Worst Year | -43.02% | -42.78% |
| Avg. Drawdown | -6.43% | -4.1% |
| Avg. Drawdown Days | 30 | 23 |
| Recovery Factor | -0.56 | -0.73 |
| Ulcer Index | 0.16 | 0.17 |
| Serenity Index | -4.86 | -4.19 |
| Avg. Up Month | 4.83% | 2.98% |
| Avg. Down Month | -27.94% | -8.38% |
| Win Days | 53.67% | 55.02% |
| Win Month | 66.67% | 41.67% |
| Win Quarter | 66.67% | 33.33% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.12 | - |
| Alpha | -0.18 | - |
| Correlation | 10.88% | - |
| Treynor Ratio | -6233.91% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 9.10 | 22.46 | 2.47 | + |
| 2022 | -42.78 | -43.02 | 1.01 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-10 | 2022-07-12 | -53.58 | 183 |
| 2021-08-31 | 2021-11-03 | -8.41 | 64 |
| 2021-11-23 | 2022-01-06 | -7.57 | 44 |
| 2021-05-10 | 2021-06-17 | -5.19 | 38 |
| 2021-07-27 | 2021-08-23 | -2.83 | 27 |
| 2021-07-14 | 2021-07-23 | -2.00 | 9 |
| 2021-11-08 | 2021-11-12 | -1.46 | 4 |
| 2021-08-27 | 2021-08-30 | -0.56 | 3 |
| 2021-11-17 | 2021-11-18 | -0.53 | 1 |
| 2021-06-18 | 2021-06-21 | -0.41 | 3 |