| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -12.06% | -29.64% |
| CAGR﹪ | -19.44% | -44.65% |
| Sharpe | -0.87 | -1.63 |
| Prob. Sharpe Ratio | 8.83% | 1.27% |
| Smart Sharpe | -0.73 | -1.38 |
| Sortino | -1.16 | -1.85 |
| Smart Sortino | -0.98 | -1.57 |
| Sortino/√2 | -0.82 | -1.31 |
| Smart Sortino/√2 | -0.69 | -1.11 |
| Omega | 0.86 | 0.86 |
| Max Drawdown | -21.07% | -38.96% |
| Longest DD Days | 100 | 127 |
| Volatility (ann.) | 27.88% | 35.71% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | -0.92 | -1.15 |
| Skew | -0.31 | -2.68 |
| Kurtosis | 3.72 | 14.74 |
| Expected Daily | -0.08% | -0.23% |
| Expected Monthly | -1.59% | -4.3% |
| Expected Yearly | -6.22% | -16.12% |
| Kelly Criterion | 0.44% | -18.49% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.96% | -3.9% |
| Expected Shortfall (cVaR) | -2.96% | -3.9% |
| Max Consecutive Wins | 4 | 6 |
| Max Consecutive Losses | 7 | 4 |
| Gain/Pain Ratio | -0.11 | -0.27 |
| Gain/Pain (1M) | -0.41 | -0.74 |
| Payoff Ratio | 1.2 | 0.72 |
| Profit Factor | 0.89 | 0.73 |
| Common Sense Ratio | 0.8 | 0.54 |
| CPC Index | 0.49 | 0.27 |
| Tail Ratio | 0.9 | 0.73 |
| Outlier Win Ratio | 2.84 | 3.3 |
| Outlier Loss Ratio | 5.51 | 4.35 |
| MTD | -9.19% | -26.92% |
| 3M | -19.44% | -33.67% |
| 6M | -11.74% | -32.28% |
| YTD | -13.39% | -31.21% |
| 1Y | -12.06% | -29.64% |
| 3Y (ann.) | -19.44% | -44.65% |
| 5Y (ann.) | -19.44% | -44.65% |
| 10Y (ann.) | -19.44% | -44.65% |
| All-time (ann.) | -19.44% | -44.65% |
| Best Day | 6.74% | 6.78% |
| Worst Day | -8.23% | -14.14% |
| Best Month | 10.09% | 4.88% |
| Worst Month | -9.19% | -26.92% |
| Best Year | 1.54% | 2.28% |
| Worst Year | -13.39% | -31.21% |
| Avg. Drawdown | -6.76% | -4.1% |
| Avg. Drawdown Days | 34 | 15 |
| Recovery Factor | -0.57 | -0.76 |
| Ulcer Index | 0.09 | 0.11 |
| Serenity Index | -0.25 | -0.37 |
| Avg. Up Month | 2.54% | 2.58% |
| Avg. Down Month | -6.03% | -11.54% |
| Win Days | 45.7% | 50.33% |
| Win Month | 37.5% | 50.0% |
| Win Quarter | 33.33% | 33.33% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.14 | - |
| Alpha | -0.1 | - |
| Correlation | 18.47% | - |
| Treynor Ratio | -132.18% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.28 | 1.54 | 0.67 | - |
| 2022 | -31.21 | -13.39 | 0.43 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-17 | 2022-02-25 | -21.07 | 100 |
| 2021-09-07 | 2021-11-09 | -12.84 | 63 |
| 2021-07-26 | 2021-09-01 | -5.32 | 37 |
| 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 |