| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | -59.68% | -6.17% |
| CAGR﹪ | -53.17% | -5.18% |
| Sharpe | -2.43 | -4.0 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -2.22 | -3.66 |
| Sortino | -2.87 | -4.22 |
| Smart Sortino | -2.63 | -3.86 |
| Sortino/√2 | -2.03 | -2.99 |
| Smart Sortino/√2 | -1.86 | -2.73 |
| Omega | 0.59 | 0.59 |
| Max Drawdown | -72.06% | -21.56% |
| Longest DD Days | 375 | 188 |
| Volatility (ann.) | 64.62% | 18.85% |
| R^2 | 0.33 | 0.33 |
| Information Ratio | -0.09 | -0.09 |
| Calmar | -0.74 | -0.24 |
| Skew | -2.5 | -3.71 |
| Kurtosis | 28.75 | 30.52 |
| Expected Daily | -0.44% | -0.03% |
| Expected Monthly | -6.75% | -0.49% |
| Expected Yearly | -36.5% | -3.13% |
| Kelly Criterion | -21.8% | -4.72% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -7.04% | -1.98% |
| Expected Shortfall (cVaR) | -7.04% | -1.98% |
| Max Consecutive Wins | 6 | 7 |
| Max Consecutive Losses | 7 | 4 |
| Gain/Pain Ratio | -0.25 | -0.06 |
| Gain/Pain (1M) | -0.71 | -0.18 |
| Payoff Ratio | 0.78 | 0.74 |
| Profit Factor | 0.75 | 0.94 |
| Common Sense Ratio | 0.63 | 0.72 |
| CPC Index | 0.27 | 0.39 |
| Tail Ratio | 0.84 | 0.76 |
| Outlier Win Ratio | 2.72 | 8.88 |
| Outlier Loss Ratio | 2.37 | 7.29 |
| MTD | 15.38% | 1.87% |
| 3M | -20.33% | -11.57% |
| 6M | -30.92% | -16.82% |
| YTD | -39.66% | -18.67% |
| 1Y | -59.62% | -10.49% |
| 3Y (ann.) | -53.17% | -5.18% |
| 5Y (ann.) | -53.17% | -5.18% |
| 10Y (ann.) | -53.17% | -5.18% |
| All-time (ann.) | -53.17% | -5.18% |
| Best Day | 19.74% | 2.45% |
| Worst Day | -35.36% | -10.63% |
| Best Month | 15.38% | 7.01% |
| Worst Month | -30.96% | -13.19% |
| Best Year | -33.18% | 15.38% |
| Worst Year | -39.66% | -18.67% |
| Avg. Drawdown | -22.72% | -2.13% |
| Avg. Drawdown Days | 108 | 15 |
| Recovery Factor | -0.83 | -0.29 |
| Ulcer Index | 0.29 | 0.05 |
| Serenity Index | -0.45 | -2.58 |
| Avg. Up Month | 9.94% | 3.74% |
| Avg. Down Month | -16.92% | -5.34% |
| Win Days | 46.77% | 55.34% |
| Win Month | 25.0% | 58.33% |
| Win Quarter | 33.33% | 66.67% |
| Win Year | 0.0% | 50.0% |
| Beta | 1.96 | - |
| Alpha | -0.76 | - |
| Correlation | 57.19% | - |
| Treynor Ratio | -81.45% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 15.38 | -33.18 | -2.16 | - |
| 2022 | -18.67 | -39.66 | 2.12 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-07-01 | 2022-07-11 | -72.06 | 375 |
| 2021-05-04 | 2021-06-24 | -18.05 | 51 |
| 2021-06-25 | 2021-06-28 | -0.38 | 3 |
| 2021-06-29 | 2021-06-30 | -0.37 | 1 |