| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 93.0% | 100.0% |
| Cumulative Return | -31.69% | -20.73% |
| CAGR﹪ | -27.74% | -17.97% |
| Sharpe | -0.57 | -0.42 |
| Prob. Sharpe Ratio | 26.63% | 32.85% |
| Smart Sharpe | -0.51 | -0.37 |
| Sortino | -0.64 | -0.47 |
| Smart Sortino | -0.57 | -0.42 |
| Sortino/√2 | -0.45 | -0.33 |
| Smart Sortino/√2 | -0.41 | -0.3 |
| Omega | 0.81 | 0.81 |
| Max Drawdown | -46.49% | -39.65% |
| Longest DD Days | 199 | 137 |
| Volatility (ann.) | 48.56% | 39.42% |
| R^2 | 0.86 | 0.86 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | -0.6 | -0.45 |
| Skew | -7.78 | -8.48 |
| Kurtosis | 99.7 | 116.48 |
| Expected Daily | -0.17% | -0.1% |
| Expected Monthly | -3.13% | -1.92% |
| Expected Yearly | -17.35% | -10.96% |
| Kelly Criterion | -12.04% | -7.56% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.14% | -4.15% |
| Expected Shortfall (cVaR) | -5.14% | -4.15% |
| Max Consecutive Wins | 5 | 5 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | -0.19 | -0.14 |
| Gain/Pain (1M) | -0.49 | -0.32 |
| Payoff Ratio | 0.8 | 1.02 |
| Profit Factor | 0.81 | 0.86 |
| Common Sense Ratio | 0.85 | 1.07 |
| CPC Index | 0.33 | 0.4 |
| Tail Ratio | 1.04 | 1.24 |
| Outlier Win Ratio | 6.65 | 6.9 |
| Outlier Loss Ratio | 3.37 | 5.06 |
| MTD | 15.33% | 14.56% |
| 3M | -34.59% | -28.99% |
| 6M | -31.82% | -20.83% |
| YTD | -33.17% | -21.08% |
| 1Y | -33.63% | -20.74% |
| 3Y (ann.) | -27.74% | -17.97% |
| 5Y (ann.) | -27.74% | -17.97% |
| 10Y (ann.) | -27.74% | -17.97% |
| All-time (ann.) | -27.74% | -17.97% |
| Best Day | 12.24% | 10.7% |
| Worst Day | -37.39% | -31.57% |
| Best Month | 15.33% | 14.56% |
| Worst Month | -43.29% | -38.01% |
| Best Year | 2.22% | 0.44% |
| Worst Year | -33.17% | -21.08% |
| Avg. Drawdown | -9.7% | -5.53% |
| Avg. Drawdown Days | 59 | 34 |
| Recovery Factor | -0.68 | -0.52 |
| Ulcer Index | 0.13 | 0.11 |
| Serenity Index | -0.29 | -0.22 |
| Avg. Up Month | 3.99% | 4.54% |
| Avg. Down Month | -12.1% | -10.59% |
| Win Days | 50.24% | 45.81% |
| Win Month | 58.33% | 58.33% |
| Win Quarter | 66.67% | 50.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 1.14 | - |
| Alpha | -0.09 | - |
| Correlation | 92.65% | - |
| Treynor Ratio | -27.76% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.44 | 2.22 | 5.00 | + |
| 2022 | -21.08 | -33.17 | 1.57 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-25 | 2022-07-12 | -46.49 | 137 |
| 2022-01-27 | 2022-02-24 | -9.08 | 28 |
| 2021-07-09 | 2022-01-24 | -8.54 | 199 |
| 2021-05-11 | 2021-06-22 | -2.02 | 42 |
| 2021-06-23 | 2021-06-30 | -1.21 | 7 |
| 2021-07-01 | 2021-07-02 | -0.40 | 1 |
| 2022-01-25 | 2022-01-26 | -0.19 | 1 |