| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -49.17% | -10.23% |
| CAGR﹪ | -67.79% | -16.53% |
| Sharpe | -1.96 | -0.94 |
| Prob. Sharpe Ratio | 0.08% | 8.89% |
| Smart Sharpe | -1.32 | -0.64 |
| Sortino | -2.09 | -1.3 |
| Smart Sortino | -1.41 | -0.88 |
| Sortino/√2 | -1.48 | -0.92 |
| Smart Sortino/√2 | -1.0 | -0.62 |
| Omega | 0.6 | 0.6 |
| Max Drawdown | -54.12% | -21.17% |
| Longest DD Days | 100 | 100 |
| Volatility (ann.) | 53.7% | 23.67% |
| R^2 | 0.12 | 0.12 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | -1.25 | -0.78 |
| Skew | -5.57 | 0.16 |
| Kurtosis | 45.62 | -0.15 |
| Expected Daily | -0.46% | -0.07% |
| Expected Monthly | -8.11% | -1.34% |
| Expected Yearly | -28.7% | -5.25% |
| Kelly Criterion | -5.43% | -2.64% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.95% | -2.51% |
| Expected Shortfall (cVaR) | -5.95% | -2.51% |
| Max Consecutive Wins | 6 | 6 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | -0.38 | -0.1 |
| Gain/Pain (1M) | -0.81 | -0.41 |
| Payoff Ratio | 0.93 | 0.96 |
| Profit Factor | 0.62 | 0.9 |
| Common Sense Ratio | 0.51 | 0.9 |
| CPC Index | 0.28 | 0.43 |
| Tail Ratio | 0.81 | 1.0 |
| Outlier Win Ratio | 3.19 | 3.67 |
| Outlier Loss Ratio | 3.51 | 5.83 |
| MTD | -44.38% | -2.11% |
| 3M | -52.43% | -15.72% |
| 6M | -48.51% | -9.16% |
| YTD | -49.19% | -9.17% |
| 1Y | -49.17% | -10.23% |
| 3Y (ann.) | -67.79% | -16.53% |
| 5Y (ann.) | -67.79% | -16.53% |
| 10Y (ann.) | -67.79% | -16.53% |
| All-time (ann.) | -67.79% | -16.53% |
| Best Day | 6.87% | 4.28% |
| Worst Day | -30.35% | -3.45% |
| Best Month | 6.06% | 6.1% |
| Worst Month | -44.38% | -7.21% |
| Best Year | 0.03% | -1.17% |
| Worst Year | -49.19% | -9.17% |
| Avg. Drawdown | -12.43% | -7.88% |
| Avg. Drawdown Days | 34 | 40 |
| Recovery Factor | -0.91 | -0.48 |
| Ulcer Index | 0.11 | 0.1 |
| Serenity Index | -0.82 | -0.15 |
| Avg. Up Month | 4.34% | 4.4% |
| Avg. Down Month | -13.08% | -4.6% |
| Win Days | 49.32% | 49.66% |
| Win Month | 37.5% | 37.5% |
| Win Quarter | 33.33% | 33.33% |
| Win Year | 50.0% | 0.0% |
| Beta | 0.77 | - |
| Alpha | -0.86 | - |
| Correlation | 34.09% | - |
| Treynor Ratio | -72.64% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -1.17 | 0.03 | -0.03 | + |
| 2022 | -9.17 | -49.19 | 5.37 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-17 | 2022-02-25 | -54.12 | 100 |
| 2021-09-07 | 2021-11-08 | -12.21 | 62 |
| 2021-07-23 | 2021-09-01 | -6.68 | 40 |
| 2021-11-10 | 2021-11-11 | -0.77 | 1 |
| 2021-11-15 | 2021-11-16 | -0.69 | 1 |
| 2021-09-02 | 2021-09-03 | -0.11 | 1 |