| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -48.64% | 1.43% |
| CAGR﹪ | -66.07% | 2.32% |
| Sharpe | -3.09 | -4.38 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -1.96 | -2.77 |
| Sortino | -3.22 | -4.96 |
| Smart Sortino | -2.04 | -3.13 |
| Sortino/√2 | -2.28 | -3.5 |
| Smart Sortino/√2 | -1.44 | -2.22 |
| Omega | 0.44 | 0.44 |
| Max Drawdown | -54.12% | -10.4% |
| Longest DD Days | 100 | 52 |
| Volatility (ann.) | 52.64% | 15.06% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.12 | -0.12 |
| Calmar | -1.22 | 0.22 |
| Skew | -5.73 | -0.2 |
| Kurtosis | 48.0 | 0.15 |
| Expected Daily | -0.43% | 0.01% |
| Expected Monthly | -7.99% | 0.18% |
| Expected Yearly | -28.33% | 0.71% |
| Kelly Criterion | -22.1% | 2.3% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.82% | -1.55% |
| Expected Shortfall (cVaR) | -5.82% | -1.55% |
| Max Consecutive Wins | 6 | 7 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | -0.37 | 0.04 |
| Gain/Pain (1M) | -0.81 | 0.16 |
| Payoff Ratio | 0.72 | 0.87 |
| Profit Factor | 0.63 | 1.04 |
| Common Sense Ratio | 0.53 | 0.87 |
| CPC Index | 0.22 | 0.49 |
| Tail Ratio | 0.84 | 0.83 |
| Outlier Win Ratio | 2.77 | 5.17 |
| Outlier Loss Ratio | 3.28 | 8.21 |
| MTD | -44.38% | -2.77% |
| 3M | -52.43% | -6.4% |
| 6M | -48.51% | -1.57% |
| YTD | -49.19% | -8.04% |
| 1Y | -48.64% | 1.43% |
| 3Y (ann.) | -66.07% | 2.32% |
| 5Y (ann.) | -66.07% | 2.32% |
| 10Y (ann.) | -66.07% | 2.32% |
| All-time (ann.) | -66.07% | 2.32% |
| Best Day | 6.87% | 2.45% |
| Worst Day | -30.35% | -2.43% |
| Best Month | 6.06% | 7.01% |
| Worst Month | -44.38% | -5.42% |
| Best Year | 1.07% | 10.29% |
| Worst Year | -49.19% | -8.04% |
| Avg. Drawdown | -10.62% | -1.76% |
| Avg. Drawdown Days | 29 | 9 |
| Recovery Factor | -0.9 | 0.14 |
| Ulcer Index | 0.11 | 0.04 |
| Serenity Index | -2.27 | -3.99 |
| Avg. Up Month | 3.87% | 5.02% |
| Avg. Down Month | -19.55% | -4.28% |
| Win Days | 49.01% | 54.61% |
| Win Month | 37.5% | 50.0% |
| Win Quarter | 33.33% | 33.33% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.46 | - |
| Alpha | -0.95 | - |
| Correlation | 13.25% | - |
| Treynor Ratio | -321.18% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 10.29 | 1.07 | 0.10 | - |
| 2022 | -8.04 | -49.19 | 6.12 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-17 | 2022-02-25 | -54.12 | 100 |
| 2021-09-08 | 2021-11-05 | -11.49 | 58 |
| 2021-07-22 | 2021-09-01 | -6.72 | 41 |
| 2021-11-10 | 2021-11-11 | -0.77 | 1 |
| 2021-11-15 | 2021-11-16 | -0.69 | 1 |
| 2021-07-16 | 2021-07-20 | -0.45 | 4 |
| 2021-09-02 | 2021-09-03 | -0.11 | 1 |