| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -25.31% | -7.17% |
| CAGR﹪ | -21.42% | -5.96% |
| Sharpe | -3.44 | -3.95 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -3.34 | -3.84 |
| Sortino | -3.92 | -4.27 |
| Smart Sortino | -3.81 | -4.16 |
| Sortino/√2 | -2.77 | -3.02 |
| Smart Sortino/√2 | -2.69 | -2.94 |
| Omega | 0.54 | 0.54 |
| Max Drawdown | -33.13% | -22.99% |
| Longest DD Days | 419 | 189 |
| Volatility (ann.) | 28.83% | 19.26% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | -0.65 | -0.26 |
| Skew | -0.85 | -3.13 |
| Kurtosis | 2.31 | 27.04 |
| Expected Daily | -0.13% | -0.03% |
| Expected Monthly | -2.22% | -0.57% |
| Expected Yearly | -13.58% | -3.65% |
| Kelly Criterion | -22.15% | -17.17% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.1% | -2.02% |
| Expected Shortfall (cVaR) | -3.1% | -2.02% |
| Max Consecutive Wins | 5 | 7 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | -0.17 | -0.07 |
| Gain/Pain (1M) | -0.59 | -0.22 |
| Payoff Ratio | 0.66 | 0.65 |
| Profit Factor | 0.83 | 0.93 |
| Common Sense Ratio | 0.65 | 0.76 |
| CPC Index | 0.28 | 0.33 |
| Tail Ratio | 0.78 | 0.81 |
| Outlier Win Ratio | 2.57 | 4.32 |
| Outlier Loss Ratio | 2.68 | 4.76 |
| MTD | -1.74% | 0.93% |
| 3M | -15.52% | -12.38% |
| 6M | -12.84% | -18.34% |
| YTD | -14.17% | -19.43% |
| 1Y | -25.04% | -11.31% |
| 3Y (ann.) | -21.42% | -5.96% |
| 5Y (ann.) | -21.42% | -5.96% |
| 10Y (ann.) | -21.42% | -5.96% |
| All-time (ann.) | -21.42% | -5.96% |
| Best Day | 3.72% | 4.24% |
| Worst Day | -7.8% | -10.63% |
| Best Month | 7.42% | 7.01% |
| Worst Month | -14.02% | -13.19% |
| Best Year | -12.99% | 15.22% |
| Worst Year | -14.17% | -19.43% |
| Avg. Drawdown | -12.22% | -2.14% |
| Avg. Drawdown Days | 144 | 14 |
| Recovery Factor | -0.76 | -0.31 |
| Ulcer Index | 0.16 | 0.05 |
| Serenity Index | -0.55 | -2.62 |
| Avg. Up Month | 7.13% | 3.85% |
| Avg. Down Month | -5.32% | -4.82% |
| Win Days | 51.64% | 53.7% |
| Win Month | 23.08% | 53.85% |
| Win Quarter | 33.33% | 66.67% |
| Win Year | 0.0% | 50.0% |
| Beta | 0.26 | - |
| Alpha | -0.28 | - |
| Correlation | 17.36% | - |
| Treynor Ratio | -482.27% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 15.22 | -12.99 | -0.85 | - |
| 2022 | -19.43 | -14.17 | 0.73 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-05-19 | 2022-07-12 | -33.13 | 419 |
| 2021-05-11 | 2021-05-17 | -2.01 | 6 |
| 2021-04-28 | 2021-05-04 | -1.53 | 6 |