| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 93.0% | 100.0% |
| Cumulative Return | -44.88% | -37.89% |
| CAGR﹪ | -40.04% | -33.57% |
| Sharpe | -5.11 | -5.06 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -4.38 | -4.34 |
| Sortino | -5.25 | -5.33 |
| Smart Sortino | -4.5 | -4.57 |
| Sortino/√2 | -3.71 | -3.77 |
| Smart Sortino/√2 | -3.18 | -3.23 |
| Omega | 0.26 | 0.26 |
| Max Drawdown | -50.69% | -51.26% |
| Longest DD Days | 281 | 264 |
| Volatility (ann.) | 50.92% | 49.12% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.79 | -0.65 |
| Skew | -5.68 | -4.61 |
| Kurtosis | 65.24 | 66.56 |
| Expected Daily | -0.26% | -0.21% |
| Expected Monthly | -4.84% | -3.89% |
| Expected Yearly | -25.76% | -21.19% |
| Kelly Criterion | -34.38% | -3.09% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.48% | -5.25% |
| Expected Shortfall (cVaR) | -5.48% | -5.25% |
| Max Consecutive Wins | 6 | 6 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | -0.24 | -0.21 |
| Gain/Pain (1M) | -0.6 | -0.68 |
| Payoff Ratio | 0.57 | 0.78 |
| Profit Factor | 0.76 | 0.79 |
| Common Sense Ratio | 0.54 | 0.52 |
| CPC Index | 0.22 | 0.34 |
| Tail Ratio | 0.7 | 0.66 |
| Outlier Win Ratio | 3.88 | 4.45 |
| Outlier Loss Ratio | 3.83 | 4.45 |
| MTD | 7.66% | -2.53% |
| 3M | -42.69% | -12.74% |
| 6M | -33.87% | -42.77% |
| YTD | -35.06% | -42.78% |
| 1Y | -42.86% | -42.23% |
| 3Y (ann.) | -40.04% | -33.57% |
| 5Y (ann.) | -40.04% | -33.57% |
| 10Y (ann.) | -40.04% | -33.57% |
| All-time (ann.) | -40.04% | -33.57% |
| Best Day | 12.46% | 20.04% |
| Worst Day | -35.32% | -33.28% |
| Best Month | 12.17% | 5.02% |
| Worst Month | -46.77% | -30.02% |
| Best Year | -15.12% | 8.54% |
| Worst Year | -35.06% | -42.78% |
| Avg. Drawdown | -37.89% | -4.32% |
| Avg. Drawdown Days | 209 | 24 |
| Recovery Factor | -0.89 | -0.74 |
| Ulcer Index | 0.2 | 0.17 |
| Serenity Index | -3.35 | -4.14 |
| Avg. Up Month | 3.59% | 2.18% |
| Avg. Down Month | -16.24% | -4.09% |
| Win Days | 50.96% | 54.91% |
| Win Month | 50.0% | 41.67% |
| Win Quarter | 50.0% | 33.33% |
| Win Year | 0.0% | 50.0% |
| Beta | -0.1 | - |
| Alpha | -0.56 | - |
| Correlation | -9.71% | - |
| Treynor Ratio | 7403.42% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 8.54 | -15.12 | -1.77 | - |
| 2022 | -42.78 | -35.06 | 0.82 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-25 | 2022-07-12 | -50.69 | 137 |
| 2021-05-19 | 2022-02-24 | -25.09 | 281 |