| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | -21.46% | -20.6% |
| CAGR﹪ | -18.46% | -17.71% |
| Sharpe | -0.37 | -0.41 |
| Prob. Sharpe Ratio | 34.68% | 33.06% |
| Smart Sharpe | -0.35 | -0.39 |
| Sortino | -0.42 | -0.47 |
| Smart Sortino | -0.39 | -0.44 |
| Sortino/√2 | -0.29 | -0.33 |
| Smart Sortino/√2 | -0.28 | -0.31 |
| Omega | 0.89 | 0.89 |
| Max Drawdown | -41.68% | -39.65% |
| Longest DD Days | 187 | 137 |
| Volatility (ann.) | 42.32% | 39.35% |
| R^2 | 0.8 | 0.8 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | -0.44 | -0.45 |
| Skew | -8.54 | -8.49 |
| Kurtosis | 110.59 | 116.83 |
| Expected Daily | -0.11% | -0.1% |
| Expected Monthly | -1.99% | -1.9% |
| Expected Yearly | -11.38% | -10.89% |
| Kelly Criterion | -9.63% | -9.05% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.45% | -4.14% |
| Expected Shortfall (cVaR) | -4.45% | -4.14% |
| Max Consecutive Wins | 5 | 5 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | -0.11 | -0.14 |
| Gain/Pain (1M) | -0.28 | -0.32 |
| Payoff Ratio | 0.78 | 0.98 |
| Profit Factor | 0.89 | 0.86 |
| Common Sense Ratio | 0.9 | 1.07 |
| CPC Index | 0.36 | 0.39 |
| Tail Ratio | 1.01 | 1.24 |
| Outlier Win Ratio | 5.45 | 5.93 |
| Outlier Loss Ratio | 2.96 | 4.34 |
| MTD | 15.38% | 14.56% |
| 3M | -29.82% | -28.99% |
| 6M | -27.83% | -20.83% |
| YTD | -30.58% | -21.08% |
| 1Y | -24.26% | -20.74% |
| 3Y (ann.) | -18.46% | -17.71% |
| 5Y (ann.) | -18.46% | -17.71% |
| 10Y (ann.) | -18.46% | -17.71% |
| All-time (ann.) | -18.46% | -17.71% |
| Best Day | 8.44% | 10.7% |
| Worst Day | -33.58% | -31.57% |
| Best Month | 15.38% | 14.56% |
| Worst Month | -39.17% | -38.01% |
| Best Year | 13.14% | 0.61% |
| Worst Year | -30.58% | -21.08% |
| Avg. Drawdown | -4.75% | -5.15% |
| Avg. Drawdown Days | 28 | 32 |
| Recovery Factor | -0.51 | -0.52 |
| Ulcer Index | 0.11 | 0.11 |
| Serenity Index | -0.23 | -0.22 |
| Avg. Up Month | 5.69% | 4.54% |
| Avg. Down Month | -15.1% | -13.25% |
| Win Days | 52.07% | 46.05% |
| Win Month | 66.67% | 58.33% |
| Win Quarter | 66.67% | 50.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.96 | - |
| Alpha | -0.0 | - |
| Correlation | 89.69% | - |
| Treynor Ratio | -22.25% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.61 | 13.14 | 21.68 | + |
| 2022 | -21.08 | -30.58 | 1.45 | - |
| 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 |
| 2021-05-11 | 2021-07-02 | -3.93 | 52 |
| 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 |