| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | -66.63% | -20.6% |
| CAGR﹪ | -60.43% | -17.71% |
| Sharpe | -1.06 | -0.41 |
| Prob. Sharpe Ratio | 10.87% | 33.05% |
| Smart Sharpe | -1.04 | -0.4 |
| Sortino | -1.21 | -0.47 |
| Smart Sortino | -1.18 | -0.45 |
| Sortino/√2 | -0.85 | -0.33 |
| Smart Sortino/√2 | -0.83 | -0.32 |
| Omega | 0.77 | 0.77 |
| Max Drawdown | -77.68% | -39.65% |
| Longest DD Days | 376 | 137 |
| Volatility (ann.) | 76.33% | 39.26% |
| R^2 | 0.54 | 0.54 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | -0.78 | -0.45 |
| Skew | -5.96 | -8.51 |
| Kurtosis | 67.91 | 117.35 |
| Expected Daily | -0.48% | -0.1% |
| Expected Monthly | -8.74% | -1.9% |
| Expected Yearly | -42.23% | -10.89% |
| Kelly Criterion | -35.7% | -25.17% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -8.23% | -4.13% |
| Expected Shortfall (cVaR) | -8.23% | -4.13% |
| Max Consecutive Wins | 6 | 5 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | -0.23 | -0.14 |
| Gain/Pain (1M) | -0.59 | -0.32 |
| Payoff Ratio | 0.59 | 0.76 |
| Profit Factor | 0.77 | 0.86 |
| Common Sense Ratio | 0.61 | 1.07 |
| CPC Index | 0.23 | 0.3 |
| Tail Ratio | 0.8 | 1.24 |
| Outlier Win Ratio | 3.2 | 8.01 |
| Outlier Loss Ratio | 2.18 | 7.38 |
| MTD | 24.66% | 14.56% |
| 3M | -50.62% | -28.99% |
| 6M | -58.01% | -20.83% |
| YTD | -62.98% | -21.08% |
| 1Y | -71.07% | -20.74% |
| 3Y (ann.) | -60.43% | -17.71% |
| 5Y (ann.) | -60.43% | -17.71% |
| 10Y (ann.) | -60.43% | -17.71% |
| All-time (ann.) | -60.43% | -17.71% |
| Best Day | 15.79% | 10.7% |
| Worst Day | -54.0% | -31.57% |
| Best Month | 24.66% | 14.56% |
| Worst Month | -60.39% | -38.01% |
| Best Year | -9.84% | 0.61% |
| Worst Year | -62.98% | -21.08% |
| Avg. Drawdown | -19.07% | -5.15% |
| Avg. Drawdown Days | 82 | 32 |
| Recovery Factor | -0.86 | -0.52 |
| Ulcer Index | 0.3 | 0.11 |
| Serenity Index | -0.19 | -0.22 |
| Avg. Up Month | 12.44% | 7.32% |
| Avg. Down Month | -34.93% | -19.34% |
| Win Days | 49.55% | 45.85% |
| Win Month | 41.67% | 58.33% |
| Win Quarter | 33.33% | 50.0% |
| Win Year | 0.0% | 50.0% |
| Beta | 1.42 | - |
| Alpha | -0.58 | - |
| Correlation | 73.25% | - |
| Treynor Ratio | -46.79% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.61 | -9.84 | -16.24 | - |
| 2022 | -21.08 | -62.98 | 2.99 | - |
| 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 |