| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | -30.12% | -20.73% |
| CAGR﹪ | -26.34% | -17.97% |
| Sharpe | -0.4 | -0.42 |
| Prob. Sharpe Ratio | 33.82% | 32.85% |
| Smart Sharpe | -0.36 | -0.37 |
| Sortino | -0.45 | -0.47 |
| Smart Sortino | -0.4 | -0.42 |
| Sortino/√2 | -0.32 | -0.33 |
| Smart Sortino/√2 | -0.29 | -0.3 |
| Omega | 0.9 | 0.9 |
| Max Drawdown | -55.96% | -39.65% |
| Longest DD Days | 187 | 137 |
| Volatility (ann.) | 54.08% | 39.42% |
| R^2 | 0.58 | 0.58 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.47 | -0.45 |
| Skew | -6.86 | -8.48 |
| Kurtosis | 77.88 | 116.48 |
| Expected Daily | -0.16% | -0.1% |
| Expected Monthly | -2.94% | -1.92% |
| Expected Yearly | -16.41% | -10.96% |
| Kelly Criterion | -31.15% | -20.95% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.69% | -4.15% |
| Expected Shortfall (cVaR) | -5.69% | -4.15% |
| Max Consecutive Wins | 9 | 5 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | -0.1 | -0.14 |
| Gain/Pain (1M) | -0.25 | -0.32 |
| Payoff Ratio | 0.53 | 0.81 |
| Profit Factor | 0.9 | 0.86 |
| Common Sense Ratio | 0.83 | 1.07 |
| CPC Index | 0.26 | 0.32 |
| Tail Ratio | 0.92 | 1.24 |
| Outlier Win Ratio | 4.07 | 6.76 |
| Outlier Loss Ratio | 2.63 | 6.23 |
| MTD | 16.64% | 14.56% |
| 3M | -44.33% | -28.99% |
| 6M | -44.81% | -20.83% |
| YTD | -48.26% | -21.08% |
| 1Y | -35.36% | -20.74% |
| 3Y (ann.) | -26.34% | -17.97% |
| 5Y (ann.) | -26.34% | -17.97% |
| 10Y (ann.) | -26.34% | -17.97% |
| All-time (ann.) | -26.34% | -17.97% |
| Best Day | 7.61% | 10.7% |
| Worst Day | -39.35% | -31.57% |
| Best Month | 19.04% | 14.56% |
| Worst Month | -52.27% | -38.01% |
| Best Year | 35.05% | 0.44% |
| Worst Year | -48.26% | -21.08% |
| Avg. Drawdown | -6.03% | -5.53% |
| Avg. Drawdown Days | 24 | 34 |
| Recovery Factor | -0.54 | -0.52 |
| Ulcer Index | 0.17 | 0.11 |
| Serenity Index | -0.19 | -0.22 |
| Avg. Up Month | 9.62% | 5.44% |
| Avg. Down Month | -28.33% | -19.34% |
| Win Days | 54.75% | 45.81% |
| Win Month | 66.67% | 58.33% |
| Win Quarter | 50.0% | 50.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 1.04 | - |
| Alpha | -0.05 | - |
| Correlation | 75.99% | - |
| Treynor Ratio | -28.89% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.44 | 35.05 | 78.97 | + |
| 2022 | -21.08 | -48.26 | 2.29 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-06 | 2022-07-12 | -55.96 | 187 |
| 2021-09-15 | 2021-11-02 | -9.55 | 48 |
| 2021-11-23 | 2021-12-30 | -7.73 | 37 |
| 2021-08-09 | 2021-08-30 | -4.96 | 21 |
| 2021-07-07 | 2021-08-02 | -4.61 | 26 |
| 2021-05-11 | 2021-05-24 | -4.05 | 13 |
| 2021-06-07 | 2021-06-25 | -2.83 | 18 |
| 2021-08-31 | 2021-09-14 | -2.31 | 14 |
| 2021-06-03 | 2021-06-04 | -1.15 | 1 |
| 2021-11-09 | 2021-11-12 | -0.81 | 3 |