| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -3.56% | -27.15% |
| CAGR﹪ | -4.26% | -31.63% |
| Sharpe | -18.07 | -4.75 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -17.71 | -4.66 |
| Sortino | -12.08 | -5.08 |
| Smart Sortino | -11.84 | -4.98 |
| Sortino/√2 | -8.54 | -3.59 |
| Smart Sortino/√2 | -8.37 | -3.52 |
| Omega | 0.04 | 0.04 |
| Max Drawdown | -9.26% | -51.26% |
| Longest DD Days | 174 | 127 |
| Volatility (ann.) | 11.76% | 48.89% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | -0.46 | -0.62 |
| Skew | -2.08 | -4.86 |
| Kurtosis | 16.79 | 71.77 |
| Expected Daily | -0.02% | -0.15% |
| Expected Monthly | -0.33% | -2.84% |
| Expected Yearly | -1.8% | -14.65% |
| Kelly Criterion | -30.66% | 2.37% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -5.16% |
| Expected Shortfall (cVaR) | -1.23% | -5.16% |
| Max Consecutive Wins | 6 | 6 |
| Max Consecutive Losses | 9 | 4 |
| Gain/Pain Ratio | -0.06 | -0.14 |
| Gain/Pain (1M) | -0.23 | -0.49 |
| Payoff Ratio | 0.65 | 0.84 |
| Profit Factor | 0.94 | 0.86 |
| Common Sense Ratio | 1.08 | 0.63 |
| CPC Index | 0.3 | 0.4 |
| Tail Ratio | 1.14 | 0.74 |
| Outlier Win Ratio | 5.18 | 2.44 |
| Outlier Loss Ratio | 8.58 | 2.78 |
| MTD | -6.44% | -30.02% |
| 3M | -6.79% | -36.5% |
| 6M | -6.51% | -35.02% |
| YTD | -7.72% | -34.42% |
| 1Y | -3.56% | -27.15% |
| 3Y (ann.) | -4.26% | -31.63% |
| 5Y (ann.) | -4.26% | -31.63% |
| 10Y (ann.) | -4.26% | -31.63% |
| All-time (ann.) | -4.26% | -31.63% |
| Best Day | 1.99% | 20.04% |
| Worst Day | -5.73% | -33.28% |
| Best Month | 2.76% | 6.87% |
| Worst Month | -6.44% | -30.02% |
| Best Year | 4.5% | 11.09% |
| Worst Year | -7.72% | -34.42% |
| Avg. Drawdown | -3.28% | -3.96% |
| Avg. Drawdown Days | 41 | 14 |
| Recovery Factor | -0.38 | -0.53 |
| Ulcer Index | 0.03 | 0.09 |
| Serenity Index | -33.21 | -13.14 |
| Avg. Up Month | 1.55% | 3.69% |
| Avg. Down Month | -3.9% | -18.16% |
| Win Days | 48.36% | 55.4% |
| Win Month | 54.55% | 45.45% |
| Win Quarter | 75.0% | 50.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.05 | - |
| Alpha | -0.02 | - |
| Correlation | 20.17% | - |
| Treynor Ratio | -14509.27% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 11.09 | 4.50 | 0.41 | - |
| 2022 | -34.42 | -7.72 | 0.22 | + |
| 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 |
| 2021-05-04 | 2021-06-30 | -2.60 | 57 |
| 2021-04-28 | 2021-04-30 | -0.69 | 2 |
| 2022-01-03 | 2022-01-04 | -0.49 | 1 |
| 2021-07-07 | 2021-07-08 | -0.14 | 1 |