| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | -38.0% | -20.43% |
| CAGR﹪ | -33.67% | -17.83% |
| Sharpe | -0.47 | -0.41 |
| Prob. Sharpe Ratio | 33.18% | 33.27% |
| Smart Sharpe | -0.46 | -0.4 |
| Sortino | -0.68 | -0.47 |
| Smart Sortino | -0.66 | -0.45 |
| Sortino/√2 | -0.48 | -0.33 |
| Smart Sortino/√2 | -0.47 | -0.32 |
| Omega | 0.87 | 0.87 |
| Max Drawdown | -48.55% | -39.65% |
| Longest DD Days | 276 | 137 |
| Volatility (ann.) | 66.38% | 39.67% |
| R^2 | 0.35 | 0.35 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | -0.69 | -0.45 |
| Skew | 1.13 | -8.43 |
| Kurtosis | 47.48 | 115.14 |
| Expected Daily | -0.21% | -0.1% |
| Expected Monthly | -3.91% | -1.89% |
| Expected Yearly | -21.26% | -10.8% |
| Kelly Criterion | -26.18% | -8.11% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -7.0% | -4.18% |
| Expected Shortfall (cVaR) | -7.0% | -4.18% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | -0.13 | -0.14 |
| Gain/Pain (1M) | -0.38 | -0.32 |
| Payoff Ratio | 0.69 | 1.0 |
| Profit Factor | 0.87 | 0.86 |
| Common Sense Ratio | 0.7 | 1.07 |
| CPC Index | 0.29 | 0.39 |
| Tail Ratio | 0.8 | 1.25 |
| Outlier Win Ratio | 4.47 | 8.83 |
| Outlier Loss Ratio | 3.6 | 8.37 |
| MTD | 7.31% | 14.56% |
| 3M | -40.84% | -28.99% |
| 6M | -29.4% | -20.83% |
| YTD | -31.2% | -21.08% |
| 1Y | -34.62% | -20.74% |
| 3Y (ann.) | -33.67% | -17.83% |
| 5Y (ann.) | -33.67% | -17.83% |
| 10Y (ann.) | -33.67% | -17.83% |
| All-time (ann.) | -33.67% | -17.83% |
| Best Day | 38.01% | 10.7% |
| Worst Day | -32.97% | -31.57% |
| Best Month | 17.93% | 14.56% |
| Worst Month | -44.87% | -38.01% |
| Best Year | -9.88% | 0.81% |
| Worst Year | -31.2% | -21.08% |
| Avg. Drawdown | -18.64% | -5.93% |
| Avg. Drawdown Days | 104 | 37 |
| Recovery Factor | -0.78 | -0.52 |
| Ulcer Index | 0.2 | 0.11 |
| Serenity Index | -0.24 | -0.22 |
| Avg. Up Month | 8.92% | 6.58% |
| Avg. Down Month | -22.11% | -13.02% |
| Win Days | 48.61% | 45.98% |
| Win Month | 50.0% | 58.33% |
| Win Quarter | 50.0% | 50.0% |
| Win Year | 0.0% | 50.0% |
| Beta | 0.99 | - |
| Alpha | -0.15 | - |
| Correlation | 59.34% | - |
| Treynor Ratio | -38.28% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.81 | -9.88 | -12.15 | - |
| 2022 | -21.08 | -31.20 | 1.48 | - |
| 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 |