| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | -11.83% | 3.83% |
| CAGR﹪ | -18.55% | 6.32% |
| Sharpe | -0.84 | 0.08 |
| Prob. Sharpe Ratio | 8.82% | 28.48% |
| Smart Sharpe | -0.72 | 0.07 |
| Sortino | -1.13 | 0.11 |
| Smart Sortino | -0.96 | 0.09 |
| Sortino/√2 | -0.8 | 0.08 |
| Smart Sortino/√2 | -0.68 | 0.06 |
| Omega | 0.86 | 0.86 |
| Max Drawdown | -21.07% | -13.65% |
| Longest DD Days | 100 | 135 |
| Volatility (ann.) | 27.48% | 22.11% |
| R^2 | 0.11 | 0.11 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | -0.88 | 0.46 |
| Skew | -0.32 | -0.44 |
| Kurtosis | 3.88 | 27.03 |
| Expected Daily | -0.08% | 0.02% |
| Expected Monthly | -1.56% | 0.47% |
| Expected Yearly | -6.1% | 1.9% |
| Kelly Criterion | -8.38% | 5.55% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.91% | -2.26% |
| Expected Shortfall (cVaR) | -2.91% | -2.26% |
| Max Consecutive Wins | 4 | 5 |
| Max Consecutive Losses | 7 | 4 |
| Gain/Pain Ratio | -0.1 | 0.09 |
| Gain/Pain (1M) | -0.4 | 2.57 |
| Payoff Ratio | 0.99 | 0.88 |
| Profit Factor | 0.9 | 1.09 |
| Common Sense Ratio | 0.79 | 0.98 |
| CPC Index | 0.41 | 0.54 |
| Tail Ratio | 0.88 | 0.89 |
| Outlier Win Ratio | 2.66 | 4.7 |
| Outlier Loss Ratio | 2.93 | 4.17 |
| MTD | -9.19% | -0.8% |
| 3M | -19.44% | -2.0% |
| 6M | -11.74% | 1.37% |
| YTD | -13.39% | -0.62% |
| 1Y | -11.83% | 3.83% |
| 3Y (ann.) | -18.55% | 6.32% |
| 5Y (ann.) | -18.55% | 6.32% |
| 10Y (ann.) | -18.55% | 6.32% |
| All-time (ann.) | -18.55% | 6.32% |
| Best Day | 6.74% | 9.28% |
| Worst Day | -8.23% | -9.77% |
| Best Month | 10.09% | 3.24% |
| Worst Month | -9.19% | -2.09% |
| Best Year | 1.81% | 4.48% |
| Worst Year | -13.39% | -0.62% |
| Avg. Drawdown | -8.29% | -1.78% |
| Avg. Drawdown Days | 42 | 15 |
| Recovery Factor | -0.56 | 0.28 |
| Ulcer Index | 0.09 | 0.04 |
| Serenity Index | -0.25 | -0.16 |
| Avg. Up Month | 2.54% | 2.47% |
| Avg. Down Month | -9.19% | -0.8% |
| Win Days | 46.15% | 55.84% |
| Win Month | 37.5% | 75.0% |
| Win Quarter | 33.33% | 33.33% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.41 | - |
| Alpha | -0.2 | - |
| Correlation | 32.98% | - |
| Treynor Ratio | -45.92% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 4.48 | 1.81 | 0.40 | - |
| 2022 | -0.62 | -13.39 | 21.64 | - |
| 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 |