| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | -30.07% | -20.73% |
| CAGR﹪ | -26.29% | -17.97% |
| Sharpe | -0.43 | -0.42 |
| Prob. Sharpe Ratio | 32.53% | 32.85% |
| Smart Sharpe | -0.41 | -0.4 |
| Sortino | -0.48 | -0.47 |
| Smart Sortino | -0.46 | -0.45 |
| Sortino/√2 | -0.34 | -0.33 |
| Smart Sortino/√2 | -0.32 | -0.32 |
| Omega | 0.88 | 0.88 |
| Max Drawdown | -53.58% | -39.65% |
| Longest DD Days | 183 | 137 |
| Volatility (ann.) | 52.52% | 39.42% |
| R^2 | 0.6 | 0.6 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.49 | -0.45 |
| Skew | -7.21 | -8.48 |
| Kurtosis | 82.62 | 116.48 |
| Expected Daily | -0.16% | -0.1% |
| Expected Monthly | -2.94% | -1.92% |
| Expected Yearly | -16.38% | -10.96% |
| Kelly Criterion | -16.33% | -13.57% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.53% | -4.15% |
| Expected Shortfall (cVaR) | -5.53% | -4.15% |
| Max Consecutive Wins | 9 | 5 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | -0.12 | -0.14 |
| Gain/Pain (1M) | -0.31 | -0.32 |
| Payoff Ratio | 0.66 | 0.91 |
| Profit Factor | 0.88 | 0.86 |
| Common Sense Ratio | 0.87 | 1.07 |
| CPC Index | 0.31 | 0.36 |
| Tail Ratio | 1.0 | 1.24 |
| Outlier Win Ratio | 5.26 | 7.06 |
| Outlier Loss Ratio | 3.66 | 7.19 |
| MTD | 16.67% | 14.56% |
| 3M | -38.93% | -28.99% |
| 6M | -38.71% | -20.83% |
| YTD | -43.02% | -21.08% |
| 1Y | -35.87% | -20.74% |
| 3Y (ann.) | -26.29% | -17.97% |
| 5Y (ann.) | -26.29% | -17.97% |
| 10Y (ann.) | -26.29% | -17.97% |
| All-time (ann.) | -26.29% | -17.97% |
| Best Day | 9.03% | 10.7% |
| Worst Day | -38.66% | -31.57% |
| Best Month | 16.67% | 14.56% |
| Worst Month | -47.66% | -38.01% |
| Best Year | 22.71% | 0.44% |
| Worst Year | -43.02% | -21.08% |
| Avg. Drawdown | -5.6% | -5.53% |
| Avg. Drawdown Days | 26 | 34 |
| Recovery Factor | -0.56 | -0.52 |
| Ulcer Index | 0.16 | 0.11 |
| Serenity Index | -0.2 | -0.22 |
| Avg. Up Month | 5.93% | 4.54% |
| Avg. Down Month | -26.8% | -19.34% |
| Win Days | 53.7% | 45.81% |
| Win Month | 75.0% | 58.33% |
| Win Quarter | 66.67% | 50.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 1.03 | - |
| Alpha | -0.06 | - |
| Correlation | 77.5% | - |
| Treynor Ratio | -29.13% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.44 | 22.71 | 51.17 | + |
| 2022 | -21.08 | -43.02 | 2.04 | - |
| 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 |
| 2021-05-11 | 2021-05-26 | -3.89 | 15 |
| 2021-07-27 | 2021-08-23 | -2.83 | 27 |
| 2021-07-14 | 2021-07-23 | -2.00 | 9 |
| 2021-05-27 | 2021-06-14 | -1.57 | 18 |
| 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 |