| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -4.23% | -3.01% |
| CAGR﹪ | -5.2% | -3.72% |
| Sharpe | -33.83 | -53.57 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -32.68 | -51.74 |
| Sortino | -14.38 | -15.22 |
| Smart Sortino | -13.89 | -14.7 |
| Sortino/√2 | -10.17 | -10.76 |
| Smart Sortino/√2 | -9.82 | -10.4 |
| Omega | 0.0 | 0.0 |
| Max Drawdown | -9.29% | -8.21% |
| Longest DD Days | 162 | 107 |
| Volatility (ann.) | 6.33% | 3.97% |
| R^2 | 0.36 | 0.36 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | -0.56 | -0.45 |
| Skew | -0.43 | -0.64 |
| Kurtosis | 1.13 | 1.46 |
| Expected Daily | -0.02% | -0.02% |
| Expected Monthly | -0.43% | -0.31% |
| Expected Yearly | -2.14% | -1.52% |
| Kelly Criterion | -13.57% | -17.96% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.68% | -0.43% |
| Expected Shortfall (cVaR) | -0.68% | -0.43% |
| Max Consecutive Wins | 9 | 15 |
| Max Consecutive Losses | 5 | 8 |
| Gain/Pain Ratio | -0.13 | -0.16 |
| Gain/Pain (1M) | -0.38 | -0.35 |
| Payoff Ratio | 0.7 | 0.72 |
| Profit Factor | 0.87 | 0.84 |
| Common Sense Ratio | 0.69 | 0.47 |
| CPC Index | 0.32 | 0.31 |
| Tail Ratio | 0.8 | 0.55 |
| Outlier Win Ratio | 2.55 | 4.08 |
| Outlier Loss Ratio | 2.62 | 4.61 |
| MTD | -3.15% | -2.38% |
| 3M | -6.93% | -5.54% |
| 6M | -8.1% | -6.37% |
| YTD | -7.86% | -6.45% |
| 1Y | -4.23% | -3.01% |
| 3Y (ann.) | -5.2% | -3.72% |
| 5Y (ann.) | -5.2% | -3.72% |
| 10Y (ann.) | -5.2% | -3.72% |
| All-time (ann.) | -5.2% | -3.72% |
| Best Day | 1.11% | 0.85% |
| Worst Day | -1.47% | -0.84% |
| Best Month | 2.61% | 2.53% |
| Worst Month | -4.87% | -4.17% |
| Best Year | 3.95% | 3.67% |
| Worst Year | -7.86% | -6.45% |
| Avg. Drawdown | -1.09% | -1.3% |
| Avg. Drawdown Days | 18 | 24 |
| Recovery Factor | -0.45 | -0.37 |
| Ulcer Index | 0.03 | 0.03 |
| Serenity Index | -17.1 | -14.45 |
| Avg. Up Month | 1.62% | 1.4% |
| Avg. Down Month | -2.66% | -2.11% |
| Win Days | 53.19% | 50.53% |
| Win Month | 50.0% | 50.0% |
| Win Quarter | 50.0% | 75.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.95 | - |
| Alpha | -0.02 | - |
| Correlation | 59.67% | - |
| Treynor Ratio | -740.05% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.67 | 3.95 | 1.08 | + |
| 2022 | -6.45 | -7.86 | 1.22 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-16 | 2022-02-25 | -9.29 | 162 |
| 2021-05-10 | 2021-05-25 | -1.13 | 15 |
| 2021-07-13 | 2021-07-23 | -0.91 | 10 |
| 2021-08-04 | 2021-08-23 | -0.69 | 19 |
| 2021-06-14 | 2021-06-21 | -0.43 | 7 |
| 2021-09-13 | 2021-09-15 | -0.34 | 2 |
| 2021-07-26 | 2021-08-03 | -0.32 | 8 |
| 2021-09-03 | 2021-09-10 | -0.26 | 7 |
| 2021-06-24 | 2021-06-25 | -0.21 | 1 |
| 2021-05-27 | 2021-06-02 | -0.18 | 6 |