| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -17.97% | -5.97% |
| CAGR﹪ | -14.97% | -4.91% |
| Sharpe | -2.25 | -3.92 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -2.05 | -3.58 |
| Sortino | -2.7 | -4.22 |
| Smart Sortino | -2.46 | -3.84 |
| Sortino/√2 | -1.91 | -2.98 |
| Smart Sortino/√2 | -1.74 | -2.72 |
| Omega | 0.65 | 0.65 |
| Max Drawdown | -38.9% | -21.56% |
| Longest DD Days | 189 | 188 |
| Volatility (ann.) | 37.7% | 19.02% |
| R^2 | 0.26 | 0.26 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | -0.38 | -0.23 |
| Skew | -1.16 | -3.34 |
| Kurtosis | 7.62 | 27.8 |
| Expected Daily | -0.09% | -0.03% |
| Expected Monthly | -1.51% | -0.47% |
| Expected Yearly | -9.43% | -3.03% |
| Kelly Criterion | -8.12% | -7.72% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.97% | -1.99% |
| Expected Shortfall (cVaR) | -3.97% | -1.99% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 7 | 5 |
| Gain/Pain Ratio | -0.07 | -0.05 |
| Gain/Pain (1M) | -0.3 | -0.17 |
| Payoff Ratio | 0.78 | 0.75 |
| Profit Factor | 0.93 | 0.95 |
| Common Sense Ratio | 0.65 | 0.77 |
| CPC Index | 0.38 | 0.38 |
| Tail Ratio | 0.71 | 0.81 |
| Outlier Win Ratio | 3.01 | 6.35 |
| Outlier Loss Ratio | 2.53 | 5.36 |
| MTD | -0.28% | 1.87% |
| 3M | -22.7% | -11.57% |
| 6M | -31.59% | -16.82% |
| YTD | -35.74% | -18.67% |
| 1Y | -20.44% | -10.49% |
| 3Y (ann.) | -14.97% | -4.91% |
| 5Y (ann.) | -14.97% | -4.91% |
| 10Y (ann.) | -14.97% | -4.91% |
| All-time (ann.) | -14.97% | -4.91% |
| Best Day | 6.87% | 2.94% |
| Worst Day | -14.96% | -10.63% |
| Best Month | 14.04% | 7.01% |
| Worst Month | -22.48% | -13.19% |
| Best Year | 27.65% | 15.62% |
| Worst Year | -35.74% | -18.67% |
| Avg. Drawdown | -5.91% | -2.03% |
| Avg. Drawdown Days | 25 | 14 |
| Recovery Factor | -0.46 | -0.28 |
| Ulcer Index | 0.09 | 0.05 |
| Serenity Index | -1.68 | -2.54 |
| Avg. Up Month | 3.26% | 3.57% |
| Avg. Down Month | -10.83% | -6.51% |
| Win Days | 52.56% | 53.67% |
| Win Month | 46.15% | 61.54% |
| Win Quarter | 33.33% | 66.67% |
| Win Year | 50.0% | 50.0% |
| Beta | 1.01 | - |
| Alpha | -0.1 | - |
| Correlation | 50.73% | - |
| Treynor Ratio | -117.34% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 15.62 | 27.65 | 1.77 | + |
| 2022 | -18.67 | -35.74 | 1.91 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-03 | 2022-07-11 | -38.90 | 189 |
| 2021-04-27 | 2021-06-25 | -10.88 | 59 |
| 2021-09-24 | 2021-11-01 | -7.83 | 38 |
| 2021-12-09 | 2021-12-27 | -6.89 | 18 |
| 2021-12-02 | 2021-12-07 | -6.09 | 5 |
| 2021-07-01 | 2021-08-02 | -5.75 | 32 |
| 2021-08-09 | 2021-08-30 | -5.64 | 21 |
| 2021-09-15 | 2021-09-23 | -3.46 | 8 |
| 2021-11-23 | 2021-12-01 | -3.34 | 8 |
| 2021-08-31 | 2021-09-10 | -1.70 | 10 |