| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -3.64% | 10.9% |
| CAGR﹪ | -4.45% | 13.56% |
| Sharpe | -0.32 | 0.92 |
| Prob. Sharpe Ratio | 38.38% | 82.2% |
| Smart Sharpe | -0.31 | 0.9 |
| Sortino | -0.4 | 1.82 |
| Smart Sortino | -0.4 | 1.78 |
| Sortino/√2 | -0.29 | 1.29 |
| Smart Sortino/√2 | -0.28 | 1.26 |
| Omega | 0.94 | 0.94 |
| Max Drawdown | -9.26% | -7.16% |
| Longest DD Days | 174 | 202 |
| Volatility (ann.) | 11.79% | 14.69% |
| R^2 | 0.05 | 0.05 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | -0.48 | 1.89 |
| Skew | -2.1 | 3.54 |
| Kurtosis | 16.91 | 28.77 |
| Expected Daily | -0.02% | 0.05% |
| Expected Monthly | -0.37% | 1.04% |
| Expected Yearly | -1.84% | 5.31% |
| Kelly Criterion | 3.68% | 3.23% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.24% | -1.47% |
| Expected Shortfall (cVaR) | -1.24% | -1.47% |
| Max Consecutive Wins | 6 | 5 |
| Max Consecutive Losses | 9 | 6 |
| Gain/Pain Ratio | -0.06 | 0.21 |
| Gain/Pain (1M) | -0.24 | 2.1 |
| Payoff Ratio | 1.16 | 1.22 |
| Profit Factor | 0.94 | 1.21 |
| Common Sense Ratio | 1.1 | 1.74 |
| CPC Index | 0.53 | 0.69 |
| Tail Ratio | 1.17 | 1.44 |
| Outlier Win Ratio | 4.6 | 3.41 |
| Outlier Loss Ratio | 3.9 | 3.92 |
| MTD | -6.44% | 7.35% |
| 3M | -6.79% | 10.68% |
| 6M | -6.51% | 12.57% |
| YTD | -7.72% | 11.14% |
| 1Y | -3.64% | 10.9% |
| 3Y (ann.) | -4.45% | 13.56% |
| 5Y (ann.) | -4.45% | 13.56% |
| 10Y (ann.) | -4.45% | 13.56% |
| All-time (ann.) | -4.45% | 13.56% |
| Best Day | 1.99% | 8.19% |
| Worst Day | -5.73% | -2.64% |
| Best Month | 2.76% | 7.35% |
| Worst Month | -6.44% | -2.45% |
| Best Year | 4.42% | 11.14% |
| Worst Year | -7.72% | -0.22% |
| Avg. Drawdown | -3.69% | -2.73% |
| Avg. Drawdown Days | 47 | 31 |
| Recovery Factor | -0.39 | 1.52 |
| Ulcer Index | 0.03 | 0.03 |
| Serenity Index | -0.17 | 0.72 |
| Avg. Up Month | 1.97% | 1.33% |
| Avg. Down Month | -1.79% | -1.66% |
| Win Days | 48.33% | 46.89% |
| Win Month | 50.0% | 60.0% |
| Win Quarter | 75.0% | 50.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.18 | - |
| Alpha | -0.06 | - |
| Correlation | 22.88% | - |
| Treynor Ratio | -19.81% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -0.22 | 4.42 | -20.36 | + |
| 2022 | 11.14 | -7.72 | -0.69 | - |
| 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 |