| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -5.69% | -10.65% |
| CAGR﹪ | -13.45% | -24.26% |
| Sharpe | -0.53 | -0.97 |
| Prob. Sharpe Ratio | 18.22% | 12.01% |
| Smart Sharpe | -0.44 | -0.8 |
| Sortino | -0.72 | -1.35 |
| Smart Sortino | -0.59 | -1.11 |
| Sortino/√2 | -0.51 | -0.95 |
| Smart Sortino/√2 | -0.42 | -0.79 |
| Omega | 0.91 | 0.91 |
| Max Drawdown | -21.07% | -17.67% |
| Longest DD Days | 100 | 147 |
| Volatility (ann.) | 30.91% | 30.64% |
| R^2 | 0.11 | 0.11 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | -0.64 | -1.37 |
| Skew | -0.35 | 0.26 |
| Kurtosis | 3.43 | 3.75 |
| Expected Daily | -0.06% | -0.11% |
| Expected Monthly | -0.97% | -1.86% |
| Expected Yearly | -2.89% | -5.48% |
| Kelly Criterion | 4.8% | -8.85% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.24% | -3.27% |
| Expected Shortfall (cVaR) | -3.24% | -3.27% |
| Max Consecutive Wins | 4 | 4 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | -0.05 | -0.13 |
| Gain/Pain (1M) | -0.23 | -0.53 |
| Payoff Ratio | 1.31 | 1.02 |
| Profit Factor | 0.95 | 0.87 |
| Common Sense Ratio | 0.84 | 0.83 |
| CPC Index | 0.57 | 0.4 |
| Tail Ratio | 0.88 | 0.96 |
| Outlier Win Ratio | 3.16 | 3.31 |
| Outlier Loss Ratio | 3.4 | 3.42 |
| MTD | -9.19% | 4.92% |
| 3M | -19.44% | -5.27% |
| 6M | -5.69% | -10.65% |
| YTD | -13.39% | -3.72% |
| 1Y | -5.69% | -10.65% |
| 3Y (ann.) | -13.45% | -24.26% |
| 5Y (ann.) | -13.45% | -24.26% |
| 10Y (ann.) | -13.45% | -24.26% |
| All-time (ann.) | -13.45% | -24.26% |
| Best Day | 6.74% | 7.88% |
| Worst Day | -8.23% | -7.3% |
| Best Month | 10.09% | 4.92% |
| Worst Month | -9.19% | -8.23% |
| Best Year | 8.9% | -3.72% |
| Worst Year | -13.39% | -7.2% |
| Avg. Drawdown | -3.86% | -17.67% |
| Avg. Drawdown Days | 16 | 147 |
| Recovery Factor | -0.27 | -0.6 |
| Ulcer Index | 0.09 | 0.1 |
| Serenity Index | -0.16 | -0.22 |
| Avg. Up Month | - | - |
| Avg. Down Month | -4.62% | -8.23% |
| Win Days | 46.08% | 45.1% |
| Win Month | 40.0% | 40.0% |
| Win Quarter | 50.0% | 0.0% |
| Win Year | 50.0% | 0.0% |
| Beta | 0.33 | - |
| Alpha | -0.02 | - |
| Correlation | 32.88% | - |
| Treynor Ratio | -38.25% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -7.20 | 8.90 | -1.24 | + |
| 2022 | -3.72 | -13.39 | 3.60 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-17 | 2022-02-25 | -21.07 | 100 |
| 2021-10-01 | 2021-10-13 | -4.10 | 12 |
| 2021-10-22 | 2021-11-01 | -2.20 | 10 |
| 2021-11-02 | 2021-11-05 | -1.09 | 3 |
| 2021-11-15 | 2021-11-16 | -0.86 | 1 |
| 2021-10-20 | 2021-10-21 | -0.66 | 1 |
| 2021-10-14 | 2021-10-18 | -0.63 | 4 |
| 2021-11-10 | 2021-11-11 | -0.23 | 1 |