| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 93.0% | 100.0% |
| Cumulative Return | -44.88% | -20.43% |
| CAGR﹪ | -40.04% | -17.83% |
| Sharpe | -1.01 | -0.41 |
| Prob. Sharpe Ratio | 12.76% | 33.27% |
| Smart Sharpe | -0.87 | -0.35 |
| Sortino | -1.15 | -0.47 |
| Smart Sortino | -0.99 | -0.4 |
| Sortino/√2 | -0.81 | -0.33 |
| Smart Sortino/√2 | -0.7 | -0.28 |
| Omega | 0.76 | 0.76 |
| Max Drawdown | -50.69% | -39.65% |
| Longest DD Days | 281 | 137 |
| Volatility (ann.) | 50.92% | 39.67% |
| R^2 | 0.64 | 0.64 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | -0.79 | -0.45 |
| Skew | -5.68 | -8.43 |
| Kurtosis | 65.24 | 115.14 |
| Expected Daily | -0.26% | -0.1% |
| Expected Monthly | -4.84% | -1.89% |
| Expected Yearly | -25.76% | -10.8% |
| Kelly Criterion | -26.47% | -8.0% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.48% | -4.18% |
| Expected Shortfall (cVaR) | -5.48% | -4.18% |
| Max Consecutive Wins | 6 | 5 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | -0.24 | -0.14 |
| Gain/Pain (1M) | -0.6 | -0.32 |
| Payoff Ratio | 0.63 | 1.0 |
| Profit Factor | 0.76 | 0.86 |
| Common Sense Ratio | 0.54 | 1.07 |
| CPC Index | 0.25 | 0.4 |
| Tail Ratio | 0.7 | 1.25 |
| Outlier Win Ratio | 4.72 | 6.58 |
| Outlier Loss Ratio | 2.79 | 6.16 |
| MTD | 7.66% | 14.56% |
| 3M | -42.69% | -28.99% |
| 6M | -33.87% | -20.83% |
| YTD | -35.06% | -21.08% |
| 1Y | -42.86% | -20.74% |
| 3Y (ann.) | -40.04% | -17.83% |
| 5Y (ann.) | -40.04% | -17.83% |
| 10Y (ann.) | -40.04% | -17.83% |
| All-time (ann.) | -40.04% | -17.83% |
| Best Day | 12.46% | 10.7% |
| Worst Day | -35.32% | -31.57% |
| Best Month | 12.17% | 14.56% |
| Worst Month | -46.77% | -38.01% |
| Best Year | -15.12% | 0.81% |
| Worst Year | -35.06% | -21.08% |
| Avg. Drawdown | -37.89% | -5.93% |
| Avg. Drawdown Days | 209 | 37 |
| Recovery Factor | -0.89 | -0.52 |
| Ulcer Index | 0.2 | 0.11 |
| Serenity Index | -0.2 | -0.22 |
| Avg. Up Month | 5.64% | 7.46% |
| Avg. Down Month | -20.89% | -13.02% |
| Win Days | 50.96% | 45.98% |
| Win Month | 50.0% | 58.33% |
| Win Quarter | 50.0% | 50.0% |
| Win Year | 0.0% | 50.0% |
| Beta | 1.03 | - |
| Alpha | -0.35 | - |
| Correlation | 80.13% | - |
| Treynor Ratio | -43.64% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.81 | -15.12 | -18.59 | - |
| 2022 | -21.08 | -35.06 | 1.66 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-25 | 2022-07-12 | -50.69 | 137 |
| 2021-05-19 | 2022-02-24 | -25.09 | 281 |