| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | -38.0% | -37.89% |
| CAGR﹪ | -33.67% | -33.57% |
| Sharpe | -3.62 | -5.06 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -3.52 | -4.92 |
| Sortino | -4.68 | -5.33 |
| Smart Sortino | -4.55 | -5.18 |
| Sortino/√2 | -3.31 | -3.77 |
| Smart Sortino/√2 | -3.21 | -3.67 |
| Omega | 0.37 | 0.37 |
| Max Drawdown | -48.55% | -51.26% |
| Longest DD Days | 276 | 264 |
| Volatility (ann.) | 66.38% | 49.12% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | -0.69 | -0.65 |
| Skew | 1.13 | -4.61 |
| Kurtosis | 47.48 | 66.56 |
| Expected Daily | -0.21% | -0.21% |
| Expected Monthly | -3.91% | -3.89% |
| Expected Yearly | -21.26% | -21.19% |
| Kelly Criterion | -10.24% | -6.91% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -7.0% | -5.25% |
| Expected Shortfall (cVaR) | -7.0% | -5.25% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 6 | 4 |
| Gain/Pain Ratio | -0.13 | -0.21 |
| Gain/Pain (1M) | -0.38 | -0.68 |
| Payoff Ratio | 0.87 | 0.73 |
| Profit Factor | 0.87 | 0.79 |
| Common Sense Ratio | 0.7 | 0.52 |
| CPC Index | 0.37 | 0.31 |
| Tail Ratio | 0.8 | 0.66 |
| Outlier Win Ratio | 3.88 | 6.29 |
| Outlier Loss Ratio | 4.59 | 5.61 |
| MTD | 7.31% | -2.53% |
| 3M | -40.84% | -12.74% |
| 6M | -29.4% | -42.77% |
| YTD | -31.2% | -42.78% |
| 1Y | -34.62% | -42.23% |
| 3Y (ann.) | -33.67% | -33.57% |
| 5Y (ann.) | -33.67% | -33.57% |
| 10Y (ann.) | -33.67% | -33.57% |
| All-time (ann.) | -33.67% | -33.57% |
| Best Day | 38.01% | 20.04% |
| Worst Day | -32.97% | -33.28% |
| Best Month | 17.93% | 5.02% |
| Worst Month | -44.87% | -30.02% |
| Best Year | -9.88% | 8.54% |
| Worst Year | -31.2% | -42.78% |
| Avg. Drawdown | -18.64% | -4.32% |
| Avg. Drawdown Days | 104 | 24 |
| Recovery Factor | -0.78 | -0.74 |
| Ulcer Index | 0.2 | 0.17 |
| Serenity Index | -4.73 | -4.14 |
| Avg. Up Month | 4.51% | 2.18% |
| Avg. Down Month | -15.77% | -6.15% |
| Win Days | 48.61% | 54.91% |
| Win Month | 50.0% | 41.67% |
| Win Quarter | 50.0% | 33.33% |
| Win Year | 0.0% | 50.0% |
| Beta | -0.11 | - |
| Alpha | -0.36 | - |
| Correlation | -8.16% | - |
| Treynor Ratio | 6689.63% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 8.54 | -9.88 | -1.16 | - |
| 2022 | -42.78 | -31.20 | 0.73 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-25 | 2022-07-12 | -48.55 | 137 |
| 2021-05-24 | 2022-02-24 | -24.66 | 276 |
| 2021-05-18 | 2021-05-19 | -0.72 | 1 |
| 2021-05-20 | 2021-05-21 | -0.63 | 1 |