| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -12.64% | -6.98% |
| CAGR﹪ | -19.69% | -11.07% |
| Sharpe | -0.9 | -0.75 |
| Prob. Sharpe Ratio | 8.11% | 10.66% |
| Smart Sharpe | -0.76 | -0.63 |
| Sortino | -1.2 | -0.93 |
| Smart Sortino | -1.02 | -0.79 |
| Sortino/√2 | -0.85 | -0.65 |
| Smart Sortino/√2 | -0.72 | -0.56 |
| Omega | 0.85 | 0.85 |
| Max Drawdown | -21.07% | -19.17% |
| Longest DD Days | 100 | 69 |
| Volatility (ann.) | 27.42% | 21.43% |
| R^2 | 0.39 | 0.39 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | -0.93 | -0.58 |
| Skew | -0.31 | -1.73 |
| Kurtosis | 3.9 | 10.71 |
| Expected Daily | -0.09% | -0.05% |
| Expected Monthly | -1.68% | -0.9% |
| Expected Yearly | -6.53% | -3.55% |
| Kelly Criterion | -14.63% | -4.17% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.91% | -2.26% |
| Expected Shortfall (cVaR) | -2.91% | -2.26% |
| Max Consecutive Wins | 4 | 8 |
| Max Consecutive Losses | 7 | 5 |
| Gain/Pain Ratio | -0.11 | -0.07 |
| Gain/Pain (1M) | -0.42 | -0.24 |
| Payoff Ratio | 0.9 | 0.83 |
| Profit Factor | 0.89 | 0.93 |
| Common Sense Ratio | 0.78 | 0.85 |
| CPC Index | 0.37 | 0.4 |
| Tail Ratio | 0.87 | 0.92 |
| Outlier Win Ratio | 2.72 | 3.95 |
| Outlier Loss Ratio | 2.93 | 3.35 |
| MTD | -9.19% | -11.15% |
| 3M | -19.44% | -15.35% |
| 6M | -11.74% | -9.68% |
| YTD | -13.39% | -16.45% |
| 1Y | -12.64% | -6.98% |
| 3Y (ann.) | -19.69% | -11.07% |
| 5Y (ann.) | -19.69% | -11.07% |
| 10Y (ann.) | -19.69% | -11.07% |
| All-time (ann.) | -19.69% | -11.07% |
| Best Day | 6.74% | 3.26% |
| Worst Day | -8.23% | -8.84% |
| Best Month | 10.09% | 7.04% |
| Worst Month | -9.19% | -11.15% |
| Best Year | 0.87% | 11.34% |
| Worst Year | -13.39% | -16.45% |
| Avg. Drawdown | -7.07% | -3.88% |
| Avg. Drawdown Days | 36 | 18 |
| Recovery Factor | -0.6 | -0.36 |
| Ulcer Index | 0.09 | 0.05 |
| Serenity Index | -0.26 | -0.36 |
| Avg. Up Month | 5.05% | 5.03% |
| Avg. Down Month | -5.74% | -5.97% |
| Win Days | 45.86% | 52.87% |
| Win Month | 37.5% | 50.0% |
| Win Quarter | 33.33% | 33.33% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.8 | - |
| Alpha | -0.1 | - |
| Correlation | 62.47% | - |
| Treynor Ratio | -24.57% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 11.34 | 0.87 | 0.08 | - |
| 2022 | -16.45 | -13.39 | 0.81 | + |
| 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 |
| 2021-07-16 | 2021-07-19 | -0.92 | 3 |
| 2021-11-15 | 2021-11-16 | -0.86 | 1 |
| 2021-11-10 | 2021-11-11 | -0.23 | 1 |