| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 98.0% | 98.0% |
| Cumulative Return | -35.34% | -1.68% |
| CAGR﹪ | -91.36% | -9.05% |
| Sharpe | -4.88 | -9.14 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -3.27 | -6.12 |
| Sortino | -4.76 | -8.26 |
| Smart Sortino | -3.19 | -5.53 |
| Sortino/√2 | -3.37 | -5.84 |
| Smart Sortino/√2 | -2.26 | -3.91 |
| Omega | 0.15 | 0.15 |
| Max Drawdown | -38.92% | -9.98% |
| Longest DD Days | 34 | 28 |
| Volatility (ann.) | 87.67% | 23.67% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.14 | -0.14 |
| Calmar | -2.35 | -0.91 |
| Skew | -5.62 | -2.04 |
| Kurtosis | 34.44 | 8.93 |
| Expected Daily | -1.06% | -0.04% |
| Expected Monthly | -13.53% | -0.56% |
| Expected Yearly | -19.59% | -0.84% |
| Kelly Criterion | -2.16% | -23.1% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -9.95% | -2.48% |
| Expected Shortfall (cVaR) | -9.95% | -2.48% |
| Max Consecutive Wins | 4 | 5 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | -0.62 | -0.06 |
| Gain/Pain (1M) | -0.93 | -0.44 |
| Payoff Ratio | 0.96 | 0.63 |
| Profit Factor | 0.38 | 0.94 |
| Common Sense Ratio | 0.54 | 0.8 |
| CPC Index | 0.18 | 0.31 |
| Tail Ratio | 1.42 | 0.85 |
| Outlier Win Ratio | 3.14 | 3.76 |
| Outlier Loss Ratio | 4.63 | 12.42 |
| MTD | -37.0% | -2.89% |
| 3M | -35.34% | -1.68% |
| 6M | -35.34% | -1.68% |
| YTD | -36.38% | -3.22% |
| 1Y | -35.34% | -1.68% |
| 3Y (ann.) | -91.36% | -9.05% |
| 5Y (ann.) | -91.36% | -9.05% |
| 10Y (ann.) | -91.36% | -9.05% |
| All-time (ann.) | -91.36% | -9.05% |
| Best Day | 4.47% | 3.18% |
| Worst Day | -34.0% | -6.62% |
| Best Month | 1.64% | 1.59% |
| Worst Month | -37.0% | -2.89% |
| Best Year | 1.64% | 1.59% |
| Worst Year | -36.38% | -3.22% |
| Avg. Drawdown | -16.26% | -4.52% |
| Avg. Drawdown Days | 16 | 12 |
| Recovery Factor | -0.91 | -0.17 |
| Ulcer Index | 0.07 | 0.03 |
| Serenity Index | -41.48 | -63.57 |
| Avg. Up Month | 1.64% | 1.59% |
| Avg. Down Month | -37.0% | -2.89% |
| Win Days | 50.0% | 52.5% |
| Win Month | 66.67% | 33.33% |
| Win Quarter | 50.0% | 50.0% |
| Win Year | 50.0% | 50.0% |
| Beta | -0.54 | - |
| Alpha | -2.23 | - |
| Correlation | -14.51% | - |
| Treynor Ratio | 1368.6% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.59 | 1.64 | 1.03 | + |
| 2022 | -3.22 | -36.38 | 11.30 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-17 | 2022-02-25 | -38.92 | 8 |
| 2022-01-13 | 2022-02-16 | -8.02 | 34 |
| 2022-01-04 | 2022-01-11 | -1.83 | 7 |