| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | -21.78% | -37.91% |
| CAGR﹪ | -19.06% | -33.65% |
| Sharpe | -5.27 | -5.04 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -4.95 | -4.73 |
| Sortino | -5.28 | -5.32 |
| Smart Sortino | -4.95 | -4.99 |
| Sortino/√2 | -3.74 | -3.76 |
| Smart Sortino/√2 | -3.5 | -3.53 |
| Omega | 0.2 | 0.2 |
| Max Drawdown | -41.68% | -51.26% |
| Longest DD Days | 187 | 264 |
| Volatility (ann.) | 42.77% | 49.34% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | -0.46 | -0.66 |
| Skew | -8.5 | -4.59 |
| Kurtosis | 108.93 | 65.96 |
| Expected Daily | -0.11% | -0.21% |
| Expected Monthly | -2.03% | -3.89% |
| Expected Yearly | -11.56% | -21.2% |
| Kelly Criterion | -33.37% | -6.29% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.5% | -5.27% |
| Expected Shortfall (cVaR) | -4.5% | -5.27% |
| Max Consecutive Wins | 5 | 6 |
| Max Consecutive Losses | 6 | 4 |
| Gain/Pain Ratio | -0.12 | -0.22 |
| Gain/Pain (1M) | -0.29 | -0.68 |
| Payoff Ratio | 0.56 | 0.74 |
| Profit Factor | 0.88 | 0.78 |
| Common Sense Ratio | 0.89 | 0.52 |
| CPC Index | 0.26 | 0.32 |
| Tail Ratio | 1.0 | 0.66 |
| Outlier Win Ratio | 4.48 | 3.94 |
| Outlier Loss Ratio | 4.53 | 3.47 |
| MTD | 15.38% | -2.53% |
| 3M | -29.82% | -12.74% |
| 6M | -27.83% | -42.77% |
| YTD | -30.58% | -42.78% |
| 1Y | -24.26% | -42.23% |
| 3Y (ann.) | -19.06% | -33.65% |
| 5Y (ann.) | -19.06% | -33.65% |
| 10Y (ann.) | -19.06% | -33.65% |
| All-time (ann.) | -19.06% | -33.65% |
| Best Day | 8.44% | 20.04% |
| Worst Day | -33.58% | -33.28% |
| Best Month | 15.38% | 5.02% |
| Worst Month | -39.17% | -30.02% |
| Best Year | 12.68% | 8.51% |
| Worst Year | -30.58% | -42.78% |
| Avg. Drawdown | -4.37% | -4.32% |
| Avg. Drawdown Days | 26 | 24 |
| Recovery Factor | -0.52 | -0.74 |
| Ulcer Index | 0.12 | 0.17 |
| Serenity Index | -7.54 | -4.13 |
| Avg. Up Month | 1.78% | 2.98% |
| Avg. Down Month | -21.4% | -8.38% |
| Win Days | 52.13% | 54.95% |
| Win Month | 66.67% | 41.67% |
| Win Quarter | 66.67% | 33.33% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.03 | - |
| Alpha | -0.16 | - |
| Correlation | 3.24% | - |
| Treynor Ratio | -25687.57% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 8.51 | 12.68 | 1.49 | + |
| 2022 | -42.78 | -30.58 | 0.71 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-06 | 2022-07-12 | -41.68 | 187 |
| 2021-08-24 | 2021-11-22 | -8.19 | 90 |
| 2021-11-29 | 2021-12-16 | -4.69 | 17 |
| 2021-05-17 | 2021-06-30 | -2.56 | 44 |
| 2021-12-17 | 2021-12-28 | -1.87 | 11 |
| 2021-08-19 | 2021-08-20 | -1.06 | 1 |
| 2021-11-23 | 2021-11-26 | -1.03 | 3 |
| 2022-01-03 | 2022-01-05 | -0.91 | 2 |
| 2021-07-29 | 2021-08-06 | -0.88 | 8 |
| 2021-07-19 | 2021-07-28 | -0.69 | 9 |