| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | -11.83% | -25.39% |
| CAGR﹪ | -18.55% | -37.95% |
| Sharpe | -0.85 | 1.09 |
| Prob. Sharpe Ratio | 8.92% | 49.44% |
| Smart Sharpe | -0.71 | 0.92 |
| Sortino | -1.13 | 10.61 |
| Smart Sortino | -0.95 | 8.88 |
| Sortino/√2 | -0.8 | 7.5 |
| Smart Sortino/√2 | -0.67 | 6.28 |
| Omega | 0.86 | 0.86 |
| Max Drawdown | -21.07% | -90.35% |
| Longest DD Days | 100 | 131 |
| Volatility (ann.) | 27.68% | 1134.26% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | -0.88 | -0.42 |
| Skew | -0.32 | 12.24 |
| Kurtosis | 3.78 | 151.68 |
| Expected Daily | -0.08% | -0.19% |
| Expected Monthly | -1.56% | -3.59% |
| Expected Yearly | -6.1% | -13.62% |
| Kelly Criterion | -7.59% | 39.11% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.93% | -112.57% |
| Expected Shortfall (cVaR) | -2.93% | -112.57% |
| Max Consecutive Wins | 4 | 5 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | -0.1 | 5.04 |
| Gain/Pain (1M) | -0.4 | 118.46 |
| Payoff Ratio | 0.98 | 9.17 |
| Profit Factor | 0.9 | 6.04 |
| Common Sense Ratio | 0.8 | 5.62 |
| CPC Index | 0.41 | 24.99 |
| Tail Ratio | 0.89 | 0.93 |
| Outlier Win Ratio | 2.31 | 0.22 |
| Outlier Loss Ratio | 5.75 | 3.9 |
| MTD | -9.19% | -23.26% |
| 3M | -19.44% | -25.32% |
| 6M | -11.74% | -25.19% |
| YTD | -13.39% | -24.55% |
| 1Y | -11.83% | -25.39% |
| 3Y (ann.) | -18.55% | -37.95% |
| 5Y (ann.) | -18.55% | -37.95% |
| 10Y (ann.) | -18.55% | -37.95% |
| All-time (ann.) | -18.55% | -37.95% |
| Best Day | 6.74% | 884.07% |
| Worst Day | -8.23% | -89.97% |
| Best Month | 10.09% | 3.2% |
| Worst Month | -9.19% | -23.26% |
| Best Year | 1.81% | -1.11% |
| Worst Year | -13.39% | -24.55% |
| Avg. Drawdown | -8.29% | -32.86% |
| Avg. Drawdown Days | 42 | 73 |
| Recovery Factor | -0.56 | -0.28 |
| Ulcer Index | 0.09 | 0.08 |
| Serenity Index | -0.26 | -17.65 |
| Avg. Up Month | 5.91% | 1.9% |
| Avg. Down Month | -5.51% | -6.78% |
| Win Days | 46.75% | 45.1% |
| Win Month | 37.5% | 37.5% |
| Win Quarter | 33.33% | 33.33% |
| Win Year | 50.0% | 0.0% |
| Beta | 0.0 | - |
| Alpha | -0.2 | - |
| Correlation | 12.58% | - |
| Treynor Ratio | -6132.52% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -1.11 | 1.81 | -1.63 | + |
| 2022 | -24.55 | -13.39 | 0.55 | + |
| 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 |