| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -18.2% | 53.8% |
| CAGR﹪ | -6.96% | 16.71% |
| Sharpe | -2.45 | -2.17 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -2.36 | -2.09 |
| Sortino | -3.02 | -2.71 |
| Smart Sortino | -2.91 | -2.61 |
| Sortino/√2 | -2.14 | -1.92 |
| Smart Sortino/√2 | -2.06 | -1.85 |
| Omega | 0.64 | 0.64 |
| Max Drawdown | -50.16% | -33.92% |
| Longest DD Days | 372 | 180 |
| Volatility (ann.) | 29.54% | 23.34% |
| R^2 | 0.17 | 0.17 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | -0.14 | 0.49 |
| Skew | -0.55 | -0.61 |
| Kurtosis | 8.64 | 15.83 |
| Expected Daily | -0.03% | 0.06% |
| Expected Monthly | -0.59% | 1.27% |
| Expected Yearly | -4.9% | 11.36% |
| Kelly Criterion | -4.84% | 3.24% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.07% | -2.34% |
| Expected Shortfall (cVaR) | -3.07% | -2.34% |
| Max Consecutive Wins | 8 | 7 |
| Max Consecutive Losses | 8 | 6 |
| Gain/Pain Ratio | -0.02 | 0.18 |
| Gain/Pain (1M) | -0.09 | 1.14 |
| Payoff Ratio | 0.85 | 0.82 |
| Profit Factor | 0.98 | 1.18 |
| Common Sense Ratio | 0.9 | 1.04 |
| CPC Index | 0.43 | 0.55 |
| Tail Ratio | 0.91 | 0.88 |
| Outlier Win Ratio | 3.64 | 5.2 |
| Outlier Loss Ratio | 3.2 | 4.68 |
| MTD | -18.69% | -2.9% |
| 3M | -24.2% | -6.74% |
| 6M | -27.39% | -2.26% |
| YTD | -17.62% | -8.25% |
| 1Y | -46.35% | 11.7% |
| 3Y (ann.) | -6.96% | 16.71% |
| 5Y (ann.) | -6.96% | 16.71% |
| 10Y (ann.) | -6.96% | 16.71% |
| All-time (ann.) | -6.96% | 16.71% |
| Best Day | 11.6% | 9.38% |
| Worst Day | -14.66% | -11.98% |
| Best Month | 9.82% | 12.68% |
| Worst Month | -18.69% | -12.51% |
| Best Year | 22.65% | 28.05% |
| Worst Year | -26.92% | -8.25% |
| Avg. Drawdown | -6.29% | -1.88% |
| Avg. Drawdown Days | 41 | 12 |
| Recovery Factor | -0.36 | 1.59 |
| Ulcer Index | 0.18 | 0.07 |
| Serenity Index | -0.35 | -0.82 |
| Avg. Up Month | 5.13% | 5.37% |
| Avg. Down Month | -6.03% | -4.83% |
| Win Days | 51.8% | 56.38% |
| Win Month | 44.12% | 67.65% |
| Win Quarter | 50.0% | 83.33% |
| Win Year | 50.0% | 75.0% |
| Beta | 0.53 | - |
| Alpha | -0.13 | - |
| Correlation | 41.8% | - |
| Treynor Ratio | -223.46% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 12.99 | 10.77 | 0.83 | - |
| 2020 | 15.86 | 22.65 | 1.43 | + |
| 2021 | 28.05 | -26.92 | -0.96 | - |
| 2022 | -8.25 | -17.62 | 2.14 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-02-18 | 2022-02-25 | -50.16 | 372 |
| 2020-01-21 | 2020-06-23 | -23.70 | 154 |
| 2019-07-03 | 2019-09-12 | -10.99 | 71 |
| 2020-11-06 | 2021-01-12 | -10.68 | 67 |
| 2019-09-13 | 2019-12-12 | -9.29 | 90 |
| 2019-05-17 | 2019-06-28 | -8.32 | 42 |
| 2020-08-27 | 2020-10-12 | -7.76 | 46 |
| 2021-01-26 | 2021-02-09 | -6.11 | 14 |
| 2020-07-14 | 2020-08-25 | -5.84 | 42 |
| 2020-10-15 | 2020-10-21 | -2.30 | 6 |