| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | -35.05% | -20.73% |
| CAGR﹪ | -30.79% | -17.97% |
| Sharpe | -0.69 | -0.42 |
| Prob. Sharpe Ratio | 22.4% | 32.85% |
| Smart Sharpe | -0.68 | -0.41 |
| Sortino | -0.77 | -0.47 |
| Smart Sortino | -0.76 | -0.47 |
| Sortino/√2 | -0.55 | -0.33 |
| Smart Sortino/√2 | -0.54 | -0.33 |
| Omega | 0.82 | 0.82 |
| Max Drawdown | -51.75% | -39.65% |
| Longest DD Days | 231 | 137 |
| Volatility (ann.) | 48.77% | 39.42% |
| R^2 | 0.61 | 0.61 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | -0.6 | -0.45 |
| Skew | -6.92 | -8.48 |
| Kurtosis | 80.93 | 116.48 |
| Expected Daily | -0.19% | -0.1% |
| Expected Monthly | -3.53% | -1.92% |
| Expected Yearly | -19.41% | -10.96% |
| Kelly Criterion | -25.21% | -15.17% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.19% | -4.15% |
| Expected Shortfall (cVaR) | -5.19% | -4.15% |
| Max Consecutive Wins | 5 | 5 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | -0.18 | -0.14 |
| Gain/Pain (1M) | -0.48 | -0.32 |
| Payoff Ratio | 0.66 | 0.89 |
| Profit Factor | 0.82 | 0.86 |
| Common Sense Ratio | 0.9 | 1.07 |
| CPC Index | 0.27 | 0.35 |
| Tail Ratio | 1.1 | 1.24 |
| Outlier Win Ratio | 4.48 | 6.05 |
| Outlier Loss Ratio | 2.63 | 4.91 |
| MTD | 14.05% | 14.56% |
| 3M | -38.18% | -28.99% |
| 6M | -38.3% | -20.83% |
| YTD | -41.46% | -21.08% |
| 1Y | -36.06% | -20.74% |
| 3Y (ann.) | -30.79% | -17.97% |
| 5Y (ann.) | -30.79% | -17.97% |
| 10Y (ann.) | -30.79% | -17.97% |
| All-time (ann.) | -30.79% | -17.97% |
| Best Day | 10.48% | 10.7% |
| Worst Day | -35.67% | -31.57% |
| Best Month | 14.05% | 14.56% |
| Worst Month | -45.79% | -38.01% |
| Best Year | 10.95% | 0.44% |
| Worst Year | -41.46% | -21.08% |
| Avg. Drawdown | -7.44% | -5.53% |
| Avg. Drawdown Days | 36 | 34 |
| Recovery Factor | -0.68 | -0.52 |
| Ulcer Index | 0.15 | 0.11 |
| Serenity Index | -0.25 | -0.22 |
| Avg. Up Month | 4.98% | 5.28% |
| Avg. Down Month | -24.89% | -19.34% |
| Win Days | 50.0% | 45.81% |
| Win Month | 66.67% | 58.33% |
| Win Quarter | 66.67% | 50.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.96 | - |
| Alpha | -0.18 | - |
| Correlation | 77.9% | - |
| Treynor Ratio | -36.37% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.44 | 10.95 | 24.66 | + |
| 2022 | -21.08 | -41.46 | 1.97 | - |
| 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 | 2021-07-05 | -5.44 | 33 |
| 2021-07-13 | 2021-07-26 | -3.91 | 13 |
| 2021-05-11 | 2021-05-24 | -3.68 | 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 |