| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | -11.83% | -13.48% |
| CAGR﹪ | -18.55% | -21.02% |
| Sharpe | -0.84 | -1.38 |
| Prob. Sharpe Ratio | 8.82% | 2.36% |
| Smart Sharpe | -0.72 | -1.17 |
| Sortino | -1.13 | -1.53 |
| Smart Sortino | -0.96 | -1.3 |
| Sortino/√2 | -0.8 | -1.08 |
| Smart Sortino/√2 | -0.68 | -0.92 |
| Omega | 0.86 | 0.86 |
| Max Drawdown | -21.07% | -19.36% |
| Longest DD Days | 100 | 99 |
| Volatility (ann.) | 27.48% | 20.25% |
| R^2 | 0.31 | 0.31 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | -0.88 | -1.09 |
| Skew | -0.32 | -4.79 |
| Kurtosis | 3.88 | 41.43 |
| Expected Daily | -0.08% | -0.09% |
| Expected Monthly | -1.56% | -1.79% |
| Expected Yearly | -6.1% | -6.99% |
| Kelly Criterion | -9.17% | -12.18% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.91% | -2.18% |
| Expected Shortfall (cVaR) | -2.91% | -2.18% |
| Max Consecutive Wins | 4 | 7 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | -0.1 | -0.2 |
| Gain/Pain (1M) | -0.4 | -0.59 |
| Payoff Ratio | 0.97 | 0.67 |
| Profit Factor | 0.9 | 0.8 |
| Common Sense Ratio | 0.79 | 0.63 |
| CPC Index | 0.4 | 0.3 |
| Tail Ratio | 0.88 | 0.78 |
| Outlier Win Ratio | 2.34 | 4.84 |
| Outlier Loss Ratio | 2.7 | 3.48 |
| MTD | -9.19% | -15.19% |
| 3M | -19.44% | -18.35% |
| 6M | -11.74% | -14.21% |
| YTD | -13.39% | -18.58% |
| 1Y | -11.83% | -13.48% |
| 3Y (ann.) | -18.55% | -21.02% |
| 5Y (ann.) | -18.55% | -21.02% |
| 10Y (ann.) | -18.55% | -21.02% |
| All-time (ann.) | -18.55% | -21.02% |
| Best Day | 6.74% | 2.29% |
| Worst Day | -8.23% | -11.57% |
| Best Month | 10.09% | 3.79% |
| Worst Month | -9.19% | -15.19% |
| Best Year | 1.81% | 6.26% |
| Worst Year | -13.39% | -18.58% |
| Avg. Drawdown | -8.29% | -3.02% |
| Avg. Drawdown Days | 42 | 17 |
| Recovery Factor | -0.56 | -0.7 |
| Ulcer Index | 0.09 | 0.04 |
| Serenity Index | -0.25 | -1.06 |
| Avg. Up Month | 2.54% | 2.74% |
| Avg. Down Month | -5.51% | -5.2% |
| Win Days | 46.15% | 54.84% |
| Win Month | 37.5% | 37.5% |
| Win Quarter | 33.33% | 66.67% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.75 | - |
| Alpha | -0.01 | - |
| Correlation | 55.32% | - |
| Treynor Ratio | -25.08% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 6.26 | 1.81 | 0.29 | - |
| 2022 | -18.58 | -13.39 | 0.72 | + |
| 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 |