| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -39.55% | 1.17% |
| CAGR﹪ | -44.61% | 1.38% |
| Sharpe | -6.18 | -14.52 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -3.74 | -8.79 |
| Sortino | -5.79 | -11.01 |
| Smart Sortino | -3.5 | -6.67 |
| Sortino/√2 | -4.09 | -7.79 |
| Smart Sortino/√2 | -2.48 | -4.71 |
| Omega | 0.06 | 0.06 |
| Max Drawdown | -44.24% | -9.85% |
| Longest DD Days | 171 | 78 |
| Volatility (ann.) | 41.81% | 14.21% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | -1.01 | 0.14 |
| Skew | -11.14 | -0.49 |
| Kurtosis | 144.35 | 3.09 |
| Expected Daily | -0.24% | 0.01% |
| Expected Monthly | -4.47% | 0.11% |
| Expected Yearly | -22.25% | 0.58% |
| Kelly Criterion | -18.36% | -4.63% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.53% | -1.46% |
| Expected Shortfall (cVaR) | -4.53% | -1.46% |
| Max Consecutive Wins | 5 | 5 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | -0.37 | 0.03 |
| Gain/Pain (1M) | -0.72 | 0.15 |
| Payoff Ratio | 0.72 | 0.85 |
| Profit Factor | 0.63 | 1.03 |
| Common Sense Ratio | 0.46 | 0.91 |
| CPC Index | 0.23 | 0.45 |
| Tail Ratio | 0.73 | 0.88 |
| Outlier Win Ratio | 2.83 | 2.98 |
| Outlier Loss Ratio | 2.39 | 3.87 |
| MTD | -41.63% | -1.65% |
| 3M | -42.56% | -3.58% |
| 6M | -42.58% | -3.78% |
| YTD | -43.42% | -5.14% |
| 1Y | -39.55% | 1.17% |
| 3Y (ann.) | -44.61% | 1.38% |
| 5Y (ann.) | -44.61% | 1.38% |
| 10Y (ann.) | -44.61% | 1.38% |
| All-time (ann.) | -44.61% | 1.38% |
| Best Day | 2.95% | 3.53% |
| Worst Day | -34.76% | -4.14% |
| Best Month | 4.96% | 5.39% |
| Worst Month | -41.63% | -4.65% |
| Best Year | 6.83% | 6.65% |
| Worst Year | -43.42% | -5.14% |
| Avg. Drawdown | -5.67% | -3.29% |
| Avg. Drawdown Days | 28 | 28 |
| Recovery Factor | -0.89 | 0.12 |
| Ulcer Index | 0.04 | 0.03 |
| Serenity Index | -55.44 | -41.06 |
| Avg. Up Month | 2.7% | 2.62% |
| Avg. Down Month | -10.76% | -2.8% |
| Win Days | 50.48% | 51.92% |
| Win Month | 54.55% | 54.55% |
| Win Quarter | 50.0% | 50.0% |
| Win Year | 50.0% | 50.0% |
| Beta | -0.02 | - |
| Alpha | -0.5 | - |
| Correlation | -0.66% | - |
| Treynor Ratio | 38131.89% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 6.65 | 6.83 | 1.03 | + |
| 2022 | -5.14 | -43.42 | 8.45 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-07 | 2022-02-25 | -44.24 | 171 |
| 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 |
| 2021-04-27 | 2021-05-06 | -1.33 | 9 |
| 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 |
| 2021-06-14 | 2021-06-15 | -0.12 | 1 |
| 2021-05-21 | 2021-05-24 | -0.05 | 3 |