| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 92.0% | 100.0% |
| Cumulative Return | -29.54% | -20.73% |
| CAGR﹪ | -25.81% | -17.97% |
| Sharpe | -0.58 | -0.42 |
| Prob. Sharpe Ratio | 28.02% | 32.85% |
| Smart Sharpe | -0.57 | -0.41 |
| Sortino | -0.71 | -0.47 |
| Smart Sortino | -0.7 | -0.47 |
| Sortino/√2 | -0.5 | -0.34 |
| Smart Sortino/√2 | -0.5 | -0.33 |
| Omega | 0.82 | 0.82 |
| Max Drawdown | -44.56% | -39.65% |
| Longest DD Days | 152 | 137 |
| Volatility (ann.) | 46.61% | 39.51% |
| R^2 | 0.54 | 0.54 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | -0.58 | -0.45 |
| Skew | -3.43 | -8.46 |
| Kurtosis | 43.46 | 115.96 |
| Expected Daily | -0.15% | -0.1% |
| Expected Monthly | -2.88% | -1.92% |
| Expected Yearly | -16.06% | -10.96% |
| Kelly Criterion | -28.31% | -7.74% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.94% | -4.16% |
| Expected Shortfall (cVaR) | -4.94% | -4.16% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | -0.18 | -0.14 |
| Gain/Pain (1M) | -0.46 | -0.32 |
| Payoff Ratio | 0.71 | 1.0 |
| Profit Factor | 0.82 | 0.86 |
| Common Sense Ratio | 0.8 | 1.07 |
| CPC Index | 0.27 | 0.4 |
| Tail Ratio | 0.97 | 1.24 |
| Outlier Win Ratio | 7.5 | 8.42 |
| Outlier Loss Ratio | 5.15 | 7.34 |
| MTD | 16.31% | 14.56% |
| 3M | -33.99% | -28.99% |
| 6M | -30.31% | -20.83% |
| YTD | -30.93% | -21.08% |
| 1Y | -30.31% | -20.74% |
| 3Y (ann.) | -25.81% | -17.97% |
| 5Y (ann.) | -25.81% | -17.97% |
| 10Y (ann.) | -25.81% | -17.97% |
| All-time (ann.) | -25.81% | -17.97% |
| Best Day | 15.32% | 10.7% |
| Worst Day | -27.95% | -31.57% |
| Best Month | 16.31% | 14.56% |
| Worst Month | -43.25% | -38.01% |
| Best Year | 2.02% | 0.44% |
| Worst Year | -30.93% | -21.08% |
| Avg. Drawdown | -9.62% | -5.53% |
| Avg. Drawdown Days | 58 | 34 |
| Recovery Factor | -0.66 | -0.52 |
| Ulcer Index | 0.12 | 0.11 |
| Serenity Index | -0.32 | -0.22 |
| Avg. Up Month | 4.61% | 5.12% |
| Avg. Down Month | -12.13% | -10.59% |
| Win Days | 46.63% | 46.02% |
| Win Month | 58.33% | 58.33% |
| Win Quarter | 50.0% | 50.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.87 | - |
| Alpha | -0.13 | - |
| Correlation | 73.8% | - |
| Treynor Ratio | -33.93% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.44 | 2.02 | 4.54 | + |
| 2022 | -21.08 | -30.93 | 1.47 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-25 | 2022-07-12 | -44.56 | 137 |
| 2022-01-27 | 2022-02-24 | -8.02 | 28 |
| 2021-07-08 | 2021-12-07 | -6.65 | 152 |
| 2022-01-10 | 2022-01-24 | -2.90 | 14 |
| 2021-05-11 | 2021-07-02 | -2.72 | 52 |
| 2021-12-08 | 2021-12-29 | -2.18 | 21 |
| 2022-01-03 | 2022-01-04 | -0.30 | 1 |