| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | -66.63% | -37.57% |
| CAGR﹪ | -60.43% | -32.84% |
| Sharpe | -3.8 | -5.08 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -3.71 | -4.96 |
| Sortino | -4.02 | -5.35 |
| Smart Sortino | -3.92 | -5.23 |
| Sortino/√2 | -2.84 | -3.79 |
| Smart Sortino/√2 | -2.77 | -3.7 |
| Omega | 0.4 | 0.4 |
| Max Drawdown | -77.68% | -51.26% |
| Longest DD Days | 376 | 264 |
| Volatility (ann.) | 76.33% | 48.59% |
| R^2 | 0.08 | 0.08 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | -0.78 | -0.64 |
| Skew | -5.96 | -4.66 |
| Kurtosis | 67.91 | 68.04 |
| Expected Daily | -0.48% | -0.2% |
| Expected Monthly | -8.74% | -3.85% |
| Expected Yearly | -42.23% | -20.99% |
| Kelly Criterion | -19.03% | -24.55% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -8.23% | -5.19% |
| Expected Shortfall (cVaR) | -8.23% | -5.19% |
| Max Consecutive Wins | 6 | 6 |
| Max Consecutive Losses | 6 | 4 |
| Gain/Pain Ratio | -0.23 | -0.21 |
| Gain/Pain (1M) | -0.59 | -0.67 |
| Payoff Ratio | 0.74 | 0.57 |
| Profit Factor | 0.77 | 0.79 |
| Common Sense Ratio | 0.61 | 0.54 |
| CPC Index | 0.28 | 0.25 |
| Tail Ratio | 0.8 | 0.68 |
| Outlier Win Ratio | 2.76 | 5.74 |
| Outlier Loss Ratio | 2.87 | 5.14 |
| MTD | 24.66% | -2.53% |
| 3M | -50.62% | -12.74% |
| 6M | -58.01% | -42.77% |
| YTD | -62.98% | -42.78% |
| 1Y | -71.07% | -42.23% |
| 3Y (ann.) | -60.43% | -32.84% |
| 5Y (ann.) | -60.43% | -32.84% |
| 10Y (ann.) | -60.43% | -32.84% |
| All-time (ann.) | -60.43% | -32.84% |
| Best Day | 15.79% | 20.04% |
| Worst Day | -54.0% | -33.28% |
| Best Month | 24.66% | 5.02% |
| Worst Month | -60.39% | -30.02% |
| Best Year | -9.84% | 9.1% |
| Worst Year | -62.98% | -42.78% |
| Avg. Drawdown | -19.07% | -4.1% |
| Avg. Drawdown Days | 82 | 23 |
| Recovery Factor | -0.86 | -0.73 |
| Ulcer Index | 0.3 | 0.17 |
| Serenity Index | -2.13 | -4.19 |
| Avg. Up Month | 6.58% | 3.06% |
| Avg. Down Month | -18.42% | -9.14% |
| Win Days | 49.55% | 55.02% |
| Win Month | 41.67% | 41.67% |
| Win Quarter | 33.33% | 33.33% |
| Win Year | 0.0% | 50.0% |
| Beta | 0.45 | - |
| Alpha | -0.64 | - |
| Correlation | 28.87% | - |
| Treynor Ratio | -1690.58% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 9.10 | -9.84 | -1.08 | - |
| 2022 | -42.78 | -62.98 | 1.47 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-07-01 | 2022-07-12 | -77.68 | 376 |
| 2021-05-10 | 2021-05-28 | -9.80 | 18 |
| 2021-05-31 | 2021-06-11 | -3.14 | 11 |
| 2021-06-15 | 2021-06-17 | -2.61 | 2 |
| 2021-06-25 | 2021-06-28 | -2.10 | 3 |