| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | -64.65% | -20.6% |
| CAGR﹪ | -58.46% | -17.71% |
| Sharpe | -0.96 | -0.41 |
| Prob. Sharpe Ratio | 13.43% | 33.05% |
| Smart Sharpe | -0.94 | -0.4 |
| Sortino | -1.09 | -0.47 |
| Smart Sortino | -1.07 | -0.46 |
| Sortino/√2 | -0.77 | -0.33 |
| Smart Sortino/√2 | -0.76 | -0.32 |
| Omega | 0.79 | 0.79 |
| Max Drawdown | -77.27% | -39.65% |
| Longest DD Days | 376 | 137 |
| Volatility (ann.) | 76.74% | 39.26% |
| R^2 | 0.58 | 0.58 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | -0.76 | -0.45 |
| Skew | -6.43 | -8.51 |
| Kurtosis | 75.23 | 117.35 |
| Expected Daily | -0.45% | -0.1% |
| Expected Monthly | -8.3% | -1.9% |
| Expected Yearly | -40.55% | -10.89% |
| Kelly Criterion | -31.49% | -5.27% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -8.24% | -4.13% |
| Expected Shortfall (cVaR) | -8.24% | -4.13% |
| Max Consecutive Wins | 5 | 5 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | -0.21 | -0.14 |
| Gain/Pain (1M) | -0.59 | -0.32 |
| Payoff Ratio | 0.71 | 1.06 |
| Profit Factor | 0.79 | 0.86 |
| Common Sense Ratio | 0.78 | 1.07 |
| CPC Index | 0.25 | 0.42 |
| Tail Ratio | 0.99 | 1.24 |
| Outlier Win Ratio | 3.21 | 8.53 |
| Outlier Loss Ratio | 2.38 | 7.29 |
| MTD | 29.91% | 14.56% |
| 3M | -44.53% | -28.99% |
| 6M | -48.82% | -20.83% |
| YTD | -55.03% | -21.08% |
| 1Y | -68.53% | -20.74% |
| 3Y (ann.) | -58.46% | -17.71% |
| 5Y (ann.) | -58.46% | -17.71% |
| 10Y (ann.) | -58.46% | -17.71% |
| All-time (ann.) | -58.46% | -17.71% |
| Best Day | 13.58% | 10.7% |
| Worst Day | -55.66% | -31.57% |
| Best Month | 29.91% | 14.56% |
| Worst Month | -57.3% | -38.01% |
| Best Year | -21.4% | 0.61% |
| Worst Year | -55.03% | -21.08% |
| Avg. Drawdown | -15.37% | -5.15% |
| Avg. Drawdown Days | 69 | 32 |
| Recovery Factor | -0.84 | -0.52 |
| Ulcer Index | 0.33 | 0.11 |
| Serenity Index | -0.16 | -0.22 |
| Avg. Up Month | 15.51% | 10.96% |
| Avg. Down Month | -23.97% | -13.71% |
| Win Days | 45.25% | 45.85% |
| Win Month | 33.33% | 58.33% |
| Win Quarter | 33.33% | 50.0% |
| Win Year | 0.0% | 50.0% |
| Beta | 1.48 | - |
| Alpha | -0.49 | - |
| Correlation | 75.9% | - |
| Treynor Ratio | -43.59% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.61 | -21.40 | -35.29 | - |
| 2022 | -21.08 | -55.03 | 2.61 | - |
| 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 |