| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -11.83% | 12.05% |
| CAGR﹪ | -18.55% | 20.37% |
| Sharpe | -0.6 | 1.19 |
| Prob. Sharpe Ratio | 31.81% | 85.48% |
| Smart Sharpe | -0.51 | 1.01 |
| Sortino | -0.81 | 2.43 |
| Smart Sortino | -0.69 | 2.07 |
| Sortino/√2 | -0.57 | 1.72 |
| Smart Sortino/√2 | -0.49 | 1.46 |
| Omega | 0.9 | 0.9 |
| Max Drawdown | -21.07% | -6.9% |
| Longest DD Days | 100 | 125 |
| Volatility (ann.) | 27.48% | 16.46% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | -0.88 | 2.95 |
| Skew | -0.32 | 3.31 |
| Kurtosis | 3.88 | 23.84 |
| Expected Daily | -0.08% | 0.07% |
| Expected Monthly | -1.56% | 1.43% |
| Expected Yearly | -6.1% | 5.85% |
| Kelly Criterion | 0.94% | 10.58% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.91% | -1.63% |
| Expected Shortfall (cVaR) | -2.91% | -1.63% |
| Max Consecutive Wins | 4 | 5 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | -0.1 | 0.28 |
| Gain/Pain (1M) | -0.4 | 2.83 |
| Payoff Ratio | 1.19 | 1.51 |
| Profit Factor | 0.9 | 1.28 |
| Common Sense Ratio | 0.79 | 2.2 |
| CPC Index | 0.49 | 0.89 |
| Tail Ratio | 0.88 | 1.72 |
| Outlier Win Ratio | 2.8 | 4.52 |
| Outlier Loss Ratio | 2.46 | 5.67 |
| MTD | -9.19% | 7.35% |
| 3M | -19.44% | 10.68% |
| 6M | -11.74% | 12.57% |
| YTD | -13.39% | 11.14% |
| 1Y | -11.83% | 12.05% |
| 3Y (ann.) | -18.55% | 20.37% |
| 5Y (ann.) | -18.55% | 20.37% |
| 10Y (ann.) | -18.55% | 20.37% |
| All-time (ann.) | -18.55% | 20.37% |
| Best Day | 6.74% | 8.19% |
| Worst Day | -8.23% | -2.64% |
| Best Month | 10.09% | 7.35% |
| Worst Month | -9.19% | -2.45% |
| Best Year | 1.81% | 11.14% |
| Worst Year | -13.39% | 0.82% |
| Avg. Drawdown | -8.29% | -2.5% |
| Avg. Drawdown Days | 42 | 21 |
| Recovery Factor | -0.56 | 1.75 |
| Ulcer Index | 0.09 | 0.03 |
| Serenity Index | -0.16 | 0.87 |
| Avg. Up Month | 5.91% | 2.23% |
| Avg. Down Month | -4.11% | -0.95% |
| Win Days | 46.15% | 46.15% |
| Win Month | 37.5% | 62.5% |
| Win Quarter | 33.33% | 66.67% |
| Win Year | 50.0% | 100.0% |
| Beta | -0.27 | - |
| Alpha | -0.11 | - |
| Correlation | -16.09% | - |
| Treynor Ratio | 44.04% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.82 | 1.81 | 2.20 | + |
| 2022 | 11.14 | -13.39 | -1.20 | - |
| 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 |