| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | -64.65% | -37.57% |
| CAGR﹪ | -58.46% | -32.84% |
| Sharpe | -3.68 | -5.08 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -3.62 | -5.0 |
| Sortino | -3.91 | -5.35 |
| Smart Sortino | -3.85 | -5.27 |
| Sortino/√2 | -2.77 | -3.79 |
| Smart Sortino/√2 | -2.72 | -3.73 |
| Omega | 0.4 | 0.4 |
| Max Drawdown | -77.27% | -51.26% |
| Longest DD Days | 376 | 264 |
| Volatility (ann.) | 76.74% | 48.59% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | -0.76 | -0.64 |
| Skew | -6.43 | -4.66 |
| Kurtosis | 75.23 | 68.04 |
| Expected Daily | -0.45% | -0.2% |
| Expected Monthly | -8.3% | -3.85% |
| Expected Yearly | -40.55% | -20.99% |
| Kelly Criterion | -21.41% | -0.3% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -8.24% | -5.19% |
| Expected Shortfall (cVaR) | -8.24% | -5.19% |
| Max Consecutive Wins | 5 | 6 |
| Max Consecutive Losses | 7 | 4 |
| Gain/Pain Ratio | -0.21 | -0.21 |
| Gain/Pain (1M) | -0.59 | -0.67 |
| Payoff Ratio | 0.82 | 0.81 |
| Profit Factor | 0.79 | 0.79 |
| Common Sense Ratio | 0.78 | 0.54 |
| CPC Index | 0.29 | 0.35 |
| Tail Ratio | 0.99 | 0.68 |
| Outlier Win Ratio | 2.79 | 6.18 |
| Outlier Loss Ratio | 3.14 | 5.08 |
| MTD | 29.91% | -2.53% |
| 3M | -44.53% | -12.74% |
| 6M | -48.82% | -42.77% |
| YTD | -55.03% | -42.78% |
| 1Y | -68.53% | -42.23% |
| 3Y (ann.) | -58.46% | -32.84% |
| 5Y (ann.) | -58.46% | -32.84% |
| 10Y (ann.) | -58.46% | -32.84% |
| All-time (ann.) | -58.46% | -32.84% |
| Best Day | 13.58% | 20.04% |
| Worst Day | -55.66% | -33.28% |
| Best Month | 29.91% | 5.02% |
| Worst Month | -57.3% | -30.02% |
| Best Year | -21.4% | 9.1% |
| Worst Year | -55.03% | -42.78% |
| Avg. Drawdown | -15.37% | -4.1% |
| Avg. Drawdown Days | 69 | 23 |
| Recovery Factor | -0.84 | -0.73 |
| Ulcer Index | 0.33 | 0.17 |
| Serenity Index | -1.87 | -4.19 |
| Avg. Up Month | 7.46% | 3.39% |
| Avg. Down Month | -19.66% | -4.96% |
| Win Days | 45.25% | 55.02% |
| Win Month | 33.33% | 41.67% |
| Win Quarter | 33.33% | 33.33% |
| Win Year | 0.0% | 50.0% |
| Beta | 0.29 | - |
| Alpha | -0.62 | - |
| Correlation | 18.33% | - |
| Treynor Ratio | -2641.26% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 9.10 | -21.40 | -2.35 | - |
| 2022 | -42.78 | -55.03 | 1.29 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-07-01 | 2022-07-12 | -77.27 | 376 |
| 2021-05-10 | 2021-06-09 | -9.98 | 30 |
| 2021-06-15 | 2021-06-17 | -2.74 | 2 |
| 2021-06-25 | 2021-06-28 | -0.95 | 3 |
| 2021-06-18 | 2021-06-21 | -0.65 | 3 |
| 2021-06-22 | 2021-06-24 | -0.65 | 2 |