| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | -34.78% | -37.57% |
| CAGR﹪ | -30.31% | -32.84% |
| Sharpe | -4.97 | -5.08 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -4.89 | -5.0 |
| Sortino | -5.05 | -5.35 |
| Smart Sortino | -4.97 | -5.27 |
| Sortino/√2 | -3.57 | -3.79 |
| Smart Sortino/√2 | -3.51 | -3.73 |
| Omega | 0.25 | 0.25 |
| Max Drawdown | -51.75% | -51.26% |
| Longest DD Days | 231 | 264 |
| Volatility (ann.) | 48.63% | 48.59% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | -0.59 | -0.64 |
| Skew | -6.92 | -4.66 |
| Kurtosis | 81.16 | 68.04 |
| Expected Daily | -0.19% | -0.2% |
| Expected Monthly | -3.5% | -3.85% |
| Expected Yearly | -19.24% | -20.99% |
| Kelly Criterion | -24.98% | -16.86% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.17% | -5.19% |
| Expected Shortfall (cVaR) | -5.17% | -5.19% |
| Max Consecutive Wins | 5 | 6 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | -0.17 | -0.21 |
| Gain/Pain (1M) | -0.47 | -0.67 |
| Payoff Ratio | 0.67 | 0.63 |
| Profit Factor | 0.83 | 0.79 |
| Common Sense Ratio | 0.91 | 0.54 |
| CPC Index | 0.28 | 0.27 |
| Tail Ratio | 1.1 | 0.68 |
| Outlier Win Ratio | 3.61 | 4.08 |
| Outlier Loss Ratio | 3.87 | 3.83 |
| MTD | 14.05% | -2.53% |
| 3M | -38.18% | -12.74% |
| 6M | -38.3% | -42.77% |
| YTD | -41.46% | -42.78% |
| 1Y | -36.06% | -42.23% |
| 3Y (ann.) | -30.31% | -32.84% |
| 5Y (ann.) | -30.31% | -32.84% |
| 10Y (ann.) | -30.31% | -32.84% |
| All-time (ann.) | -30.31% | -32.84% |
| Best Day | 10.48% | 20.04% |
| Worst Day | -35.67% | -33.28% |
| Best Month | 14.05% | 5.02% |
| Worst Month | -45.79% | -30.02% |
| Best Year | 11.42% | 9.1% |
| Worst Year | -41.46% | -42.78% |
| Avg. Drawdown | -7.57% | -4.1% |
| Avg. Drawdown Days | 37 | 23 |
| Recovery Factor | -0.67 | -0.73 |
| Ulcer Index | 0.15 | 0.17 |
| Serenity Index | -5.23 | -4.19 |
| Avg. Up Month | 3.36% | 3.06% |
| Avg. Down Month | -18.2% | -6.15% |
| Win Days | 50.0% | 55.02% |
| Win Month | 66.67% | 41.67% |
| Win Quarter | 66.67% | 33.33% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.13 | - |
| Alpha | -0.28 | - |
| Correlation | 12.49% | - |
| Treynor Ratio | -5876.88% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 9.10 | 11.42 | 1.25 | + |
| 2022 | -42.78 | -41.46 | 0.97 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-23 | 2022-07-12 | -51.75 | 231 |
| 2021-08-31 | 2021-10-29 | -5.62 | 59 |
| 2021-06-02 | 2021-06-30 | -5.44 | 28 |
| 2021-05-10 | 2021-06-01 | -5.18 | 22 |
| 2021-07-13 | 2021-07-26 | -3.91 | 13 |
| 2021-08-11 | 2021-08-30 | -3.30 | 19 |
| 2021-11-05 | 2021-11-16 | -2.63 | 11 |
| 2021-07-27 | 2021-08-05 | -2.11 | 9 |
| 2021-07-07 | 2021-07-12 | -1.73 | 5 |
| 2021-11-17 | 2021-11-22 | -1.50 | 5 |