| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -40.25% | 6.41% |
| CAGR﹪ | -44.84% | 7.44% |
| Sharpe | -2.88 | -4.38 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -1.69 | -2.56 |
| Sortino | -2.89 | -4.95 |
| Smart Sortino | -1.69 | -2.9 |
| Sortino/√2 | -2.04 | -3.5 |
| Smart Sortino/√2 | -1.19 | -2.05 |
| Omega | 0.31 | 0.31 |
| Max Drawdown | -44.11% | -10.4% |
| Longest DD Days | 107 | 52 |
| Volatility (ann.) | 41.26% | 13.96% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.09 | -0.09 |
| Calmar | -1.02 | 0.72 |
| Skew | -11.27 | -0.25 |
| Kurtosis | 147.94 | 0.41 |
| Expected Daily | -0.24% | 0.03% |
| Expected Monthly | -4.57% | 0.57% |
| Expected Yearly | -22.7% | 3.15% |
| Kelly Criterion | -12.25% | 2.31% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.47% | -1.41% |
| Expected Shortfall (cVaR) | -4.47% | -1.41% |
| Max Consecutive Wins | 5 | 7 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | -0.37 | 0.1 |
| Gain/Pain (1M) | -0.73 | 0.53 |
| Payoff Ratio | 0.83 | 0.87 |
| Profit Factor | 0.63 | 1.1 |
| Common Sense Ratio | 0.46 | 0.92 |
| CPC Index | 0.26 | 0.52 |
| Tail Ratio | 0.73 | 0.84 |
| Outlier Win Ratio | 2.86 | 3.04 |
| Outlier Loss Ratio | 2.29 | 3.4 |
| MTD | -41.63% | -2.77% |
| 3M | -42.56% | -6.4% |
| 6M | -42.58% | -1.57% |
| YTD | -43.42% | -8.04% |
| 1Y | -40.25% | 6.41% |
| 3Y (ann.) | -44.84% | 7.44% |
| 5Y (ann.) | -44.84% | 7.44% |
| 10Y (ann.) | -44.84% | 7.44% |
| All-time (ann.) | -44.84% | 7.44% |
| Best Day | 2.95% | 2.45% |
| Worst Day | -34.76% | -2.43% |
| Best Month | 4.96% | 7.01% |
| Worst Month | -41.63% | -5.42% |
| Best Year | 5.59% | 15.71% |
| Worst Year | -43.42% | -8.04% |
| Avg. Drawdown | -4.55% | -1.62% |
| Avg. Drawdown Days | 20 | 9 |
| Recovery Factor | -0.91 | 0.62 |
| Ulcer Index | 0.04 | 0.03 |
| Serenity Index | -11.66 | -4.72 |
| Avg. Up Month | 3.09% | 3.57% |
| Avg. Down Month | -13.25% | -3.38% |
| Win Days | 49.07% | 54.67% |
| Win Month | 45.45% | 63.64% |
| Win Quarter | 50.0% | 75.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.17 | - |
| Alpha | -0.51 | - |
| Correlation | 5.9% | - |
| Treynor Ratio | -804.78% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 15.71 | 5.59 | 0.36 | - |
| 2022 | -8.04 | -43.42 | 5.40 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-10 | 2022-02-25 | -44.11 | 107 |
| 2021-09-07 | 2021-11-03 | -5.79 | 57 |
| 2021-06-16 | 2021-08-13 | -4.70 | 58 |
| 2021-08-16 | 2021-09-02 | -2.79 | 17 |
| 2021-05-10 | 2021-05-20 | -2.76 | 10 |
| 2021-04-19 | 2021-05-06 | -1.92 | 17 |
| 2021-06-03 | 2021-06-04 | -0.62 | 1 |
| 2021-05-25 | 2021-05-27 | -0.31 | 2 |
| 2021-06-09 | 2021-06-10 | -0.27 | 1 |
| 2021-05-28 | 2021-06-01 | -0.15 | 4 |