| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -1.4% | 35.84% |
| CAGR﹪ | -0.67% | 15.69% |
| Sharpe | -0.15 | 0.42 |
| Prob. Sharpe Ratio | 7.3% | 25.77% |
| Smart Sharpe | -0.15 | 0.41 |
| Sortino | -0.21 | 0.62 |
| Smart Sortino | -0.21 | 0.61 |
| Sortino/√2 | -0.15 | 0.44 |
| Smart Sortino/√2 | -0.15 | 0.43 |
| Omega | 0.97 | 0.97 |
| Max Drawdown | -42.83% | -26.09% |
| Longest DD Days | 374 | 373 |
| Volatility (ann.) | 26.22% | 27.7% |
| R^2 | 0.38 | 0.38 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | -0.02 | 0.6 |
| Skew | -0.33 | 1.15 |
| Kurtosis | 2.14 | 80.92 |
| Expected Daily | -0.0% | 0.06% |
| Expected Monthly | -0.05% | 1.18% |
| Expected Yearly | -0.47% | 10.75% |
| Kelly Criterion | -0.99% | 9.5% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.71% | -2.8% |
| Expected Shortfall (cVaR) | -2.71% | -2.8% |
| Max Consecutive Wins | 9 | 11 |
| Max Consecutive Losses | 8 | 6 |
| Gain/Pain Ratio | 0.02 | 0.17 |
| Gain/Pain (1M) | 0.09 | 1.75 |
| Payoff Ratio | 0.94 | 1.03 |
| Profit Factor | 1.02 | 1.17 |
| Common Sense Ratio | 0.99 | 1.37 |
| CPC Index | 0.49 | 0.65 |
| Tail Ratio | 0.98 | 1.17 |
| Outlier Win Ratio | 2.85 | 3.79 |
| Outlier Loss Ratio | 2.9 | 3.95 |
| MTD | -10.44% | -1.14% |
| 3M | -13.68% | 0.7% |
| 6M | -16.23% | 0.85% |
| YTD | -6.15% | 2.29% |
| 1Y | -37.95% | -4.72% |
| 3Y (ann.) | -0.67% | 15.69% |
| 5Y (ann.) | -0.67% | 15.69% |
| 10Y (ann.) | -0.67% | 15.69% |
| All-time (ann.) | -0.67% | 15.69% |
| Best Day | 6.04% | 22.48% |
| Worst Day | -8.46% | -19.39% |
| Best Month | 12.06% | 12.88% |
| Worst Month | -15.74% | -5.47% |
| Best Year | 43.32% | 36.18% |
| Worst Year | -26.69% | -2.49% |
| Avg. Drawdown | -5.11% | -3.24% |
| Avg. Drawdown Days | 29 | 31 |
| Recovery Factor | -0.03 | 1.37 |
| Ulcer Index | 0.21 | 0.07 |
| Serenity Index | -0.02 | 0.52 |
| Avg. Up Month | 6.85% | 4.99% |
| Avg. Down Month | -6.13% | -2.45% |
| Win Days | 51.14% | 53.99% |
| Win Month | 42.31% | 57.69% |
| Win Quarter | 55.56% | 77.78% |
| Win Year | 33.33% | 66.67% |
| Beta | 0.59 | - |
| Alpha | -0.08 | - |
| Correlation | 62.01% | - |
| Treynor Ratio | -14.31% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 36.18 | 43.32 | 1.20 | + |
| 2021 | -2.49 | -26.69 | 10.72 | - |
| 2022 | 2.29 | -6.15 | -2.68 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-02-16 | 2022-02-25 | -42.83 | 374 |
| 2020-11-06 | 2021-01-19 | -12.11 | 74 |
| 2020-03-11 | 2020-03-24 | -8.84 | 13 |
| 2020-01-21 | 2020-02-12 | -6.82 | 22 |
| 2020-05-20 | 2020-06-18 | -6.77 | 29 |
| 2020-08-27 | 2020-10-02 | -6.20 | 36 |
| 2021-01-26 | 2021-02-10 | -5.37 | 15 |
| 2020-07-10 | 2020-08-03 | -4.94 | 24 |
| 2020-04-23 | 2020-05-19 | -4.71 | 26 |
| 2020-03-31 | 2020-04-20 | -4.27 | 20 |