| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -3.64% | -25.66% |
| CAGR﹪ | -4.45% | -30.54% |
| Sharpe | -0.88 | 0.94 |
| Prob. Sharpe Ratio | 9.33% | 40.01% |
| Smart Sharpe | -0.85 | 0.9 |
| Sortino | -1.1 | 9.14 |
| Smart Sortino | -1.05 | 8.74 |
| Sortino/√2 | -0.78 | 6.46 |
| Smart Sortino/√2 | -0.74 | 6.18 |
| Omega | 0.84 | 0.84 |
| Max Drawdown | -9.26% | -90.35% |
| Longest DD Days | 174 | 180 |
| Volatility (ann.) | 11.93% | 978.95% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | -0.48 | -0.34 |
| Skew | -2.09 | 14.18 |
| Kurtosis | 16.27 | 203.55 |
| Expected Daily | -0.02% | -0.14% |
| Expected Monthly | -0.37% | -2.92% |
| Expected Yearly | -1.84% | -13.78% |
| Kelly Criterion | 0.01% | -135.67% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -97.74% |
| Expected Shortfall (cVaR) | -1.25% | -97.74% |
| Max Consecutive Wins | 6 | 5 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | -0.06 | 4.76 |
| Gain/Pain (1M) | -0.24 | 112.86 |
| Payoff Ratio | 1.05 | 0.3 |
| Profit Factor | 0.94 | 5.76 |
| Common Sense Ratio | 1.1 | 5.89 |
| CPC Index | 0.48 | 0.79 |
| Tail Ratio | 1.17 | 1.02 |
| Outlier Win Ratio | 3.47 | 0.18 |
| Outlier Loss Ratio | 7.48 | 2.56 |
| MTD | -6.44% | -23.26% |
| 3M | -6.79% | -25.32% |
| 6M | -6.51% | -25.19% |
| YTD | -7.72% | -24.55% |
| 1Y | -3.64% | -25.66% |
| 3Y (ann.) | -4.45% | -30.54% |
| 5Y (ann.) | -4.45% | -30.54% |
| 10Y (ann.) | -4.45% | -30.54% |
| All-time (ann.) | -4.45% | -30.54% |
| Best Day | 1.99% | 884.07% |
| Worst Day | -5.73% | -89.97% |
| Best Month | 2.76% | 3.2% |
| Worst Month | -6.44% | -23.26% |
| Best Year | 4.42% | -1.46% |
| Worst Year | -7.72% | -24.55% |
| Avg. Drawdown | -3.69% | -33.46% |
| Avg. Drawdown Days | 47 | 98 |
| Recovery Factor | -0.39 | -0.28 |
| Ulcer Index | 0.03 | 0.07 |
| Serenity Index | -0.51 | -20.02 |
| Avg. Up Month | 2.21% | 1.29% |
| Avg. Down Month | -2.63% | -5.95% |
| Win Days | 48.79% | 46.12% |
| Win Month | 50.0% | 30.0% |
| Win Quarter | 75.0% | 25.0% |
| Win Year | 50.0% | 0.0% |
| Beta | -0.0 | - |
| Alpha | -0.02 | - |
| Correlation | -14.09% | - |
| Treynor Ratio | 6195.69% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -1.46 | 4.42 | -3.02 | + |
| 2022 | -24.55 | -7.72 | 0.31 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-25 | 2022-02-25 | -9.26 | 31 |
| 2021-07-09 | 2021-12-30 | -6.95 | 174 |
| 2022-01-06 | 2022-01-24 | -2.82 | 18 |
| 2021-05-06 | 2021-06-30 | -2.47 | 55 |
| 2022-01-03 | 2022-01-04 | -0.49 | 1 |
| 2021-07-07 | 2021-07-08 | -0.14 | 1 |