| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | -10.56% | -13.5% |
| CAGR﹪ | -19.67% | -24.77% |
| Sharpe | -0.85 | -3.2 |
| Prob. Sharpe Ratio | 10.61% | 0.01% |
| Smart Sharpe | -0.72 | -2.7 |
| Sortino | -1.14 | -3.34 |
| Smart Sortino | -0.96 | -2.82 |
| Sortino/√2 | -0.81 | -2.36 |
| Smart Sortino/√2 | -0.68 | -2.0 |
| Omega | 0.86 | 0.86 |
| Max Drawdown | -21.07% | -15.96% |
| Longest DD Days | 100 | 107 |
| Volatility (ann.) | 28.38% | 10.65% |
| R^2 | 0.06 | 0.06 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | -0.93 | -1.55 |
| Skew | -0.34 | -4.68 |
| Kurtosis | 4.1 | 34.25 |
| Expected Daily | -0.09% | -0.11% |
| Expected Monthly | -1.58% | -2.05% |
| Expected Yearly | -5.43% | -7.0% |
| Kelly Criterion | -13.43% | -28.97% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.01% | -1.21% |
| Expected Shortfall (cVaR) | -3.01% | -1.21% |
| Max Consecutive Wins | 4 | 6 |
| Max Consecutive Losses | 7 | 5 |
| Gain/Pain Ratio | -0.11 | -0.46 |
| Gain/Pain (1M) | -0.38 | -0.77 |
| Payoff Ratio | 0.93 | 0.64 |
| Profit Factor | 0.89 | 0.54 |
| Common Sense Ratio | 0.78 | 0.38 |
| CPC Index | 0.38 | 0.17 |
| Tail Ratio | 0.88 | 0.71 |
| Outlier Win Ratio | 1.97 | 10.08 |
| Outlier Loss Ratio | 2.81 | 7.19 |
| MTD | -9.19% | -12.5% |
| 3M | -19.44% | -14.14% |
| 6M | -11.74% | -13.63% |
| YTD | -13.39% | -15.76% |
| 1Y | -10.56% | -13.5% |
| 3Y (ann.) | -19.67% | -24.77% |
| 5Y (ann.) | -19.67% | -24.77% |
| 10Y (ann.) | -19.67% | -24.77% |
| All-time (ann.) | -19.67% | -24.77% |
| Best Day | 6.74% | 0.96% |
| Worst Day | -8.23% | -5.52% |
| Best Month | 10.09% | 2.6% |
| Worst Month | -9.19% | -12.5% |
| Best Year | 3.27% | 2.68% |
| Worst Year | -13.39% | -15.76% |
| Avg. Drawdown | -6.1% | -3.99% |
| Avg. Drawdown Days | 29 | 33 |
| Recovery Factor | -0.5 | -0.85 |
| Ulcer Index | 0.09 | 0.04 |
| Serenity Index | -0.21 | -0.57 |
| Avg. Up Month | 2.23% | 0.83% |
| Avg. Down Month | -6.68% | -5.48% |
| Win Days | 45.38% | 49.61% |
| Win Month | 42.86% | 42.86% |
| Win Quarter | 33.33% | 66.67% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.65 | - |
| Alpha | 0.0 | - |
| Correlation | 24.48% | - |
| Treynor Ratio | -26.93% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.68 | 3.27 | 1.22 | + |
| 2022 | -15.76 | -13.39 | 0.85 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-17 | 2022-02-25 | -21.07 | 100 |
| 2021-09-07 | 2021-11-09 | -12.84 | 63 |
| 2021-08-26 | 2021-09-01 | -1.39 | 6 |
| 2021-11-15 | 2021-11-16 | -0.86 | 1 |
| 2021-11-10 | 2021-11-11 | -0.23 | 1 |
| 2021-09-02 | 2021-09-03 | -0.22 | 1 |