| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 12.17% | 20.87% |
| CAGR﹪ | 9.5% | 16.15% |
| Sharpe | -9.29 | -9.48 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -8.7 | -8.88 |
| Sortino | -8.48 | -8.65 |
| Smart Sortino | -7.95 | -8.11 |
| Sortino/√2 | -6.0 | -6.12 |
| Smart Sortino/√2 | -5.62 | -5.73 |
| Omega | 0.19 | 0.19 |
| Max Drawdown | -23.69% | -15.9% |
| Longest DD Days | 57 | 57 |
| Volatility (ann.) | 21.2% | 20.15% |
| R^2 | 0.64 | 0.64 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.4 | 1.02 |
| Skew | -1.03 | -0.35 |
| Kurtosis | 6.5 | 0.82 |
| Expected Daily | 0.04% | 0.06% |
| Expected Monthly | 0.72% | 1.19% |
| Expected Yearly | 3.9% | 6.52% |
| Kelly Criterion | 5.6% | 6.62% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.15% | -2.02% |
| Expected Shortfall (cVaR) | -2.15% | -2.02% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 8 | 6 |
| Gain/Pain Ratio | 0.1 | 0.16 |
| Gain/Pain (1M) | 0.52 | 1.04 |
| Payoff Ratio | 0.99 | 0.91 |
| Profit Factor | 1.1 | 1.16 |
| Common Sense Ratio | 1.05 | 0.97 |
| CPC Index | 0.58 | 0.59 |
| Tail Ratio | 0.95 | 0.84 |
| Outlier Win Ratio | 3.03 | 3.2 |
| Outlier Loss Ratio | 2.95 | 2.99 |
| MTD | -11.18% | -5.64% |
| 3M | -18.22% | -12.32% |
| 6M | -13.98% | -8.03% |
| YTD | -19.22% | -13.49% |
| 1Y | 0.72% | 8.28% |
| 3Y (ann.) | 9.5% | 16.15% |
| 5Y (ann.) | 9.5% | 16.15% |
| 10Y (ann.) | 9.5% | 16.15% |
| All-time (ann.) | 9.5% | 16.15% |
| Best Day | 4.24% | 4.07% |
| Worst Day | -9.01% | -4.31% |
| Best Month | 6.75% | 6.95% |
| Worst Month | -11.18% | -8.32% |
| Best Year | 29.99% | 30.71% |
| Worst Year | -19.22% | -13.49% |
| Avg. Drawdown | -2.74% | -2.35% |
| Avg. Drawdown Days | 12 | 12 |
| Recovery Factor | 0.51 | 1.31 |
| Ulcer Index | 0.05 | 0.05 |
| Serenity Index | -19.86 | -22.28 |
| Avg. Up Month | 4.14% | 4.03% |
| Avg. Down Month | -5.49% | -4.22% |
| Win Days | 53.02% | 55.52% |
| Win Month | 62.5% | 68.75% |
| Win Quarter | 83.33% | 83.33% |
| Win Year | 66.67% | 66.67% |
| Beta | 0.84 | - |
| Alpha | -0.03 | - |
| Correlation | 80.26% | - |
| Treynor Ratio | -814.27% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 6.89 | 6.82 | 0.99 | - |
| 2021 | 30.71 | 29.99 | 0.98 | - |
| 2022 | -13.49 | -19.22 | 1.43 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-30 | 2022-02-25 | -23.69 | 57 |
| 2021-02-16 | 2021-04-08 | -9.45 | 51 |
| 2021-09-08 | 2021-11-01 | -7.35 | 54 |
| 2021-04-19 | 2021-06-11 | -7.27 | 53 |
| 2021-11-22 | 2021-12-29 | -6.75 | 37 |
| 2021-01-27 | 2021-02-04 | -4.12 | 8 |
| 2021-07-15 | 2021-07-23 | -3.09 | 8 |
| 2020-12-30 | 2021-01-20 | -2.83 | 21 |
| 2021-08-09 | 2021-08-23 | -2.41 | 14 |
| 2020-12-09 | 2020-12-16 | -2.13 | 7 |