| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | -11.83% | 5.36% |
| CAGR﹪ | -18.55% | 8.88% |
| Sharpe | -0.84 | 0.22 |
| Prob. Sharpe Ratio | 8.82% | 28.97% |
| Smart Sharpe | -0.72 | 0.19 |
| Sortino | -1.13 | 0.33 |
| Smart Sortino | -0.96 | 0.28 |
| Sortino/√2 | -0.8 | 0.23 |
| Smart Sortino/√2 | -0.68 | 0.2 |
| Omega | 0.86 | 0.86 |
| Max Drawdown | -21.07% | -20.65% |
| Longest DD Days | 100 | 108 |
| Volatility (ann.) | 27.48% | 36.19% |
| R^2 | 0.18 | 0.18 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | -0.88 | 0.43 |
| Skew | -0.32 | 0.53 |
| Kurtosis | 3.88 | 18.05 |
| Expected Daily | -0.08% | 0.03% |
| Expected Monthly | -1.56% | 0.65% |
| Expected Yearly | -6.1% | 2.64% |
| Kelly Criterion | -4.5% | 5.69% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.91% | -3.69% |
| Expected Shortfall (cVaR) | -2.91% | -3.69% |
| Max Consecutive Wins | 4 | 7 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | -0.1 | 0.11 |
| Gain/Pain (1M) | -0.4 | 1.08 |
| Payoff Ratio | 1.06 | 1.19 |
| Profit Factor | 0.9 | 1.11 |
| Common Sense Ratio | 0.79 | 1.09 |
| CPC Index | 0.44 | 0.64 |
| Tail Ratio | 0.88 | 0.98 |
| Outlier Win Ratio | 4.97 | 5.01 |
| Outlier Loss Ratio | 4.59 | 5.02 |
| MTD | -9.19% | -2.27% |
| 3M | -19.44% | -3.8% |
| 6M | -11.74% | 2.16% |
| YTD | -13.39% | -5.9% |
| 1Y | -11.83% | 5.36% |
| 3Y (ann.) | -18.55% | 8.88% |
| 5Y (ann.) | -18.55% | 8.88% |
| 10Y (ann.) | -18.55% | 8.88% |
| All-time (ann.) | -18.55% | 8.88% |
| Best Day | 6.74% | 14.12% |
| Worst Day | -8.23% | -12.97% |
| Best Month | 10.09% | 5.1% |
| Worst Month | -9.19% | -5.38% |
| Best Year | 1.81% | 11.97% |
| Worst Year | -13.39% | -5.9% |
| Avg. Drawdown | -8.29% | -4.54% |
| Avg. Drawdown Days | 42 | 22 |
| Recovery Factor | -0.56 | 0.26 |
| Ulcer Index | 0.09 | 0.07 |
| Serenity Index | -0.25 | -0.04 |
| Avg. Up Month | 5.05% | 3.91% |
| Avg. Down Month | -6.68% | -3.79% |
| Win Days | 46.15% | 48.7% |
| Win Month | 37.5% | 62.5% |
| Win Quarter | 33.33% | 33.33% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.32 | - |
| Alpha | -0.21 | - |
| Correlation | 42.35% | - |
| Treynor Ratio | -58.55% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 11.97 | 1.81 | 0.15 | - |
| 2022 | -5.90 | -13.39 | 2.27 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-17 | 2022-02-25 | -21.07 | 100 |
| 2021-09-07 | 2021-11-09 | -12.84 | 63 |
| 2021-07-22 | 2021-09-06 | -6.47 | 46 |
| 2021-11-15 | 2021-11-16 | -0.86 | 1 |
| 2021-11-10 | 2021-11-11 | -0.23 | 1 |