| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | -26.1% | 7.02% |
| CAGR﹪ | -22.28% | 5.82% |
| Sharpe | -0.44 | 17.81 |
| Prob. Sharpe Ratio | 31.72% | 100.0% |
| Smart Sharpe | -0.44 | 17.78 |
| Sortino | -0.5 | 42.29 |
| Smart Sortino | -0.5 | 42.22 |
| Sortino/√2 | -0.35 | 29.9 |
| Smart Sortino/√2 | -0.35 | 29.85 |
| Omega | 0.86 | 0.86 |
| Max Drawdown | -43.76% | -0.74% |
| Longest DD Days | 188 | 32 |
| Volatility (ann.) | 45.53% | 0.41% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | -0.51 | 7.88 |
| Skew | -8.16 | -1.24 |
| Kurtosis | 110.47 | 1.46 |
| Expected Daily | -0.13% | 0.03% |
| Expected Monthly | -2.3% | 0.52% |
| Expected Yearly | -14.04% | 3.45% |
| Kelly Criterion | -241.44% | 81.83% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.8% | -0.01% |
| Expected Shortfall (cVaR) | -4.8% | -0.01% |
| Max Consecutive Wins | 5 | 210 |
| Max Consecutive Losses | 5 | 22 |
| Gain/Pain Ratio | -0.14 | 9.16 |
| Gain/Pain (1M) | -0.35 | 9.16 |
| Payoff Ratio | 0.17 | 1.09 |
| Profit Factor | 0.86 | 10.16 |
| Common Sense Ratio | 0.82 | 26.22 |
| CPC Index | 0.07 | 10.03 |
| Tail Ratio | 0.95 | 2.58 |
| Outlier Win Ratio | 2.76 | 71.64 |
| Outlier Loss Ratio | 1.72 | 64.69 |
| MTD | 15.91% | -0.39% |
| 3M | -34.75% | -0.74% |
| 6M | -30.7% | 1.12% |
| YTD | -31.21% | 1.42% |
| 1Y | -26.4% | 5.4% |
| 3Y (ann.) | -22.28% | 5.82% |
| 5Y (ann.) | -22.28% | 5.82% |
| 10Y (ann.) | -22.28% | 5.82% |
| All-time (ann.) | -22.28% | 5.82% |
| Best Day | 13.52% | 0.06% |
| Worst Day | -36.17% | -0.05% |
| Best Month | 15.91% | 1.17% |
| Worst Month | -43.71% | -0.39% |
| Best Year | 7.43% | 5.53% |
| Worst Year | -31.21% | 1.42% |
| Avg. Drawdown | -8.35% | -0.74% |
| Avg. Drawdown Days | 52 | 32 |
| Recovery Factor | -0.6 | 9.51 |
| Ulcer Index | 0.12 | 0.0 |
| Serenity Index | -0.26 | 6.9 |
| Avg. Up Month | 2.67% | 0.75% |
| Avg. Down Month | -43.71% | -0.35% |
| Win Days | 50.92% | 90.52% |
| Win Month | 66.67% | 83.33% |
| Win Quarter | 50.0% | 66.67% |
| Win Year | 50.0% | 100.0% |
| Beta | 10.39 | - |
| Alpha | -0.96 | - |
| Correlation | 9.4% | - |
| Treynor Ratio | -2.51% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 5.53 | 7.43 | 1.34 | + |
| 2022 | 1.42 | -31.21 | -22.03 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-25 | 2022-07-12 | -43.76 | 137 |
| 2021-05-11 | 2021-11-15 | -6.56 | 188 |
| 2022-01-14 | 2022-02-24 | -5.34 | 41 |
| 2021-11-25 | 2021-12-28 | -5.25 | 33 |
| 2022-01-06 | 2022-01-13 | -3.28 | 7 |
| 2021-11-17 | 2021-11-22 | -2.22 | 5 |
| 2022-01-03 | 2022-01-04 | -0.28 | 1 |
| 2021-05-06 | 2021-05-07 | -0.10 | 1 |