| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | -18.67% | -21.02% |
| CAGR﹪ | -16.23% | -18.31% |
| Sharpe | -0.27 | -0.43 |
| Prob. Sharpe Ratio | 39.1% | 32.39% |
| Smart Sharpe | -0.24 | -0.38 |
| Sortino | -0.3 | -0.49 |
| Smart Sortino | -0.27 | -0.43 |
| Sortino/√2 | -0.21 | -0.34 |
| Smart Sortino/√2 | -0.19 | -0.3 |
| Omega | 0.92 | 0.92 |
| Max Drawdown | -39.01% | -39.65% |
| Longest DD Days | 137 | 137 |
| Volatility (ann.) | 43.24% | 39.59% |
| R^2 | 0.83 | 0.83 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | -0.42 | -0.46 |
| Skew | -8.56 | -8.45 |
| Kurtosis | 111.64 | 115.53 |
| Expected Daily | -0.09% | -0.1% |
| Expected Monthly | -1.71% | -1.95% |
| Expected Yearly | -9.82% | -11.13% |
| Kelly Criterion | -7.68% | -11.37% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.53% | -4.17% |
| Expected Shortfall (cVaR) | -4.53% | -4.17% |
| Max Consecutive Wins | 9 | 5 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | -0.08 | -0.15 |
| Gain/Pain (1M) | -0.2 | -0.33 |
| Payoff Ratio | 0.78 | 0.95 |
| Profit Factor | 0.92 | 0.85 |
| Common Sense Ratio | 0.89 | 1.06 |
| CPC Index | 0.38 | 0.37 |
| Tail Ratio | 0.97 | 1.25 |
| Outlier Win Ratio | 5.2 | 6.02 |
| Outlier Loss Ratio | 2.99 | 4.49 |
| MTD | 16.17% | 14.56% |
| 3M | -28.66% | -28.99% |
| 6M | -25.48% | -20.83% |
| YTD | -29.09% | -21.08% |
| 1Y | -22.95% | -20.74% |
| 3Y (ann.) | -16.23% | -18.31% |
| 5Y (ann.) | -16.23% | -18.31% |
| 10Y (ann.) | -16.23% | -18.31% |
| All-time (ann.) | -16.23% | -18.31% |
| Best Day | 10.53% | 10.7% |
| Worst Day | -34.23% | -31.57% |
| Best Month | 16.17% | 14.56% |
| Worst Month | -38.59% | -38.01% |
| Best Year | 14.7% | 0.07% |
| Worst Year | -29.09% | -21.08% |
| Avg. Drawdown | -5.14% | -6.0% |
| Avg. Drawdown Days | 27 | 37 |
| Recovery Factor | -0.48 | -0.53 |
| Ulcer Index | 0.12 | 0.11 |
| Serenity Index | -0.2 | -0.22 |
| Avg. Up Month | 6.47% | 4.54% |
| Avg. Down Month | -14.75% | -13.43% |
| Win Days | 52.75% | 45.78% |
| Win Month | 66.67% | 58.33% |
| Win Quarter | 66.67% | 50.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.99 | - |
| Alpha | 0.05 | - |
| Correlation | 90.98% | - |
| Treynor Ratio | -18.79% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.07 | 14.70 | 219.37 | + |
| 2022 | -21.08 | -29.09 | 1.38 | - |
| 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 |