| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | -17.88% | -6.37% |
| CAGR﹪ | -15.49% | -5.47% |
| Sharpe | -3.38 | -3.49 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -3.32 | -3.44 |
| Sortino | -3.76 | -3.88 |
| Smart Sortino | -3.71 | -3.82 |
| Sortino/√2 | -2.66 | -2.75 |
| Smart Sortino/√2 | -2.62 | -2.7 |
| Omega | 0.51 | 0.51 |
| Max Drawdown | -33.69% | -20.47% |
| Longest DD Days | 238 | 188 |
| Volatility (ann.) | 29.01% | 22.28% |
| R^2 | 0.19 | 0.19 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | -0.46 | -0.27 |
| Skew | -1.4 | -1.91 |
| Kurtosis | 5.57 | 11.69 |
| Expected Daily | -0.13% | -0.04% |
| Expected Monthly | -1.63% | -0.55% |
| Expected Yearly | -9.38% | -3.24% |
| Kelly Criterion | -9.77% | -0.11% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.12% | -2.34% |
| Expected Shortfall (cVaR) | -3.12% | -2.34% |
| Max Consecutive Wins | 8 | 7 |
| Max Consecutive Losses | 5 | 9 |
| Gain/Pain Ratio | -0.18 | -0.08 |
| Gain/Pain (1M) | -0.52 | -0.21 |
| Payoff Ratio | 0.79 | 0.81 |
| Profit Factor | 0.82 | 0.92 |
| Common Sense Ratio | 0.68 | 0.63 |
| CPC Index | 0.33 | 0.41 |
| Tail Ratio | 0.82 | 0.68 |
| Outlier Win Ratio | 3.39 | 4.58 |
| Outlier Loss Ratio | 4.33 | 6.06 |
| MTD | 0.77% | 1.87% |
| 3M | -5.48% | -9.58% |
| 6M | -21.08% | -16.82% |
| YTD | -22.59% | -17.24% |
| 1Y | -20.6% | -10.49% |
| 3Y (ann.) | -15.49% | -5.47% |
| 5Y (ann.) | -15.49% | -5.47% |
| 10Y (ann.) | -15.49% | -5.47% |
| All-time (ann.) | -15.49% | -5.47% |
| Best Day | 5.68% | 5.1% |
| Worst Day | -7.79% | -8.62% |
| Best Month | 5.84% | 7.01% |
| Worst Month | -10.45% | -11.24% |
| Best Year | 6.09% | 13.14% |
| Worst Year | -22.59% | -17.24% |
| Avg. Drawdown | -4.43% | -2.33% |
| Avg. Drawdown Days | 27 | 17 |
| Recovery Factor | -0.53 | -0.31 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | -1.71 | -3.67 |
| Avg. Up Month | 2.55% | 2.85% |
| Avg. Down Month | -6.76% | -6.1% |
| Win Days | 51.72% | 55.33% |
| Win Month | 50.0% | 66.67% |
| Win Quarter | 50.0% | 66.67% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.56 | - |
| Alpha | -0.24 | - |
| Correlation | 43.22% | - |
| Treynor Ratio | -209.49% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 13.14 | 6.09 | 0.46 | - |
| 2022 | -17.24 | -22.59 | 1.31 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-15 | 2022-07-11 | -33.69 | 238 |
| 2021-09-07 | 2021-10-15 | -4.43 | 38 |
| 2021-07-13 | 2021-07-23 | -4.33 | 10 |
| 2021-08-11 | 2021-09-02 | -3.94 | 22 |
| 2021-06-02 | 2021-06-25 | -3.78 | 23 |
| 2021-05-11 | 2021-05-24 | -3.75 | 13 |
| 2021-07-06 | 2021-07-12 | -2.47 | 6 |
| 2021-10-28 | 2021-11-08 | -2.11 | 11 |
| 2021-07-27 | 2021-07-28 | -1.34 | 1 |
| 2021-08-03 | 2021-08-04 | -0.96 | 1 |