| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | -18.83% | -37.91% |
| CAGR﹪ | -16.44% | -33.65% |
| Sharpe | -5.09 | -5.05 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -4.48 | -4.45 |
| Sortino | -5.11 | -5.32 |
| Smart Sortino | -4.5 | -4.69 |
| Sortino/√2 | -3.62 | -3.76 |
| Smart Sortino/√2 | -3.18 | -3.31 |
| Omega | 0.21 | 0.21 |
| Max Drawdown | -39.01% | -51.26% |
| Longest DD Days | 137 | 264 |
| Volatility (ann.) | 43.43% | 49.23% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | -0.42 | -0.66 |
| Skew | -8.52 | -4.6 |
| Kurtosis | 110.7 | 66.26 |
| Expected Daily | -0.09% | -0.21% |
| Expected Monthly | -1.72% | -3.89% |
| Expected Yearly | -9.91% | -21.2% |
| Kelly Criterion | -26.63% | -12.9% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.55% | -5.26% |
| Expected Shortfall (cVaR) | -4.55% | -5.26% |
| Max Consecutive Wins | 9 | 6 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | -0.08 | -0.21 |
| Gain/Pain (1M) | -0.21 | -0.68 |
| Payoff Ratio | 0.59 | 0.67 |
| Profit Factor | 0.92 | 0.79 |
| Common Sense Ratio | 0.88 | 0.52 |
| CPC Index | 0.29 | 0.29 |
| Tail Ratio | 0.95 | 0.66 |
| Outlier Win Ratio | 4.2 | 3.98 |
| Outlier Loss Ratio | 4.49 | 3.57 |
| MTD | 16.17% | -2.53% |
| 3M | -28.66% | -12.74% |
| 6M | -25.48% | -42.77% |
| YTD | -29.09% | -42.78% |
| 1Y | -22.95% | -42.23% |
| 3Y (ann.) | -16.44% | -33.65% |
| 5Y (ann.) | -16.44% | -33.65% |
| 10Y (ann.) | -16.44% | -33.65% |
| All-time (ann.) | -16.44% | -33.65% |
| Best Day | 10.53% | 20.04% |
| Worst Day | -34.23% | -33.28% |
| Best Month | 16.17% | 5.02% |
| Worst Month | -38.59% | -30.02% |
| Best Year | 14.47% | 8.51% |
| Worst Year | -29.09% | -42.78% |
| Avg. Drawdown | -5.51% | -4.32% |
| Avg. Drawdown Days | 29 | 24 |
| Recovery Factor | -0.48 | -0.74 |
| Ulcer Index | 0.12 | 0.17 |
| Serenity Index | -7.66 | -4.14 |
| Avg. Up Month | 1.63% | 2.98% |
| Avg. Down Month | -21.98% | -8.38% |
| Win Days | 52.78% | 54.71% |
| Win Month | 66.67% | 41.67% |
| Win Quarter | 66.67% | 33.33% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.03 | - |
| Alpha | -0.11 | - |
| Correlation | 3.51% | - |
| Treynor Ratio | -23206.35% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 8.51 | 14.47 | 1.70 | + |
| 2022 | -42.78 | -29.09 | 0.68 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-25 | 2022-07-12 | -39.01 | 137 |
| 2021-08-24 | 2021-12-16 | -10.27 | 114 |
| 2022-01-03 | 2022-02-24 | -8.31 | 52 |
| 2021-05-24 | 2021-06-29 | -4.22 | 36 |
| 2021-05-17 | 2021-05-21 | -1.88 | 4 |
| 2021-12-17 | 2021-12-24 | -1.52 | 7 |
| 2021-07-13 | 2021-07-20 | -1.50 | 7 |
| 2021-08-05 | 2021-08-09 | -1.38 | 4 |
| 2021-07-21 | 2021-07-23 | -1.21 | 2 |
| 2021-08-10 | 2021-08-17 | -0.83 | 7 |