| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 18.67% | -18.79% |
| CAGR﹪ | 15.71% | -16.27% |
| Sharpe | -10.07 | -5.12 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -9.21 | -4.68 |
| Sortino | -9.13 | -5.41 |
| Smart Sortino | -8.35 | -4.95 |
| Sortino/√2 | -6.46 | -3.82 |
| Smart Sortino/√2 | -5.91 | -3.5 |
| Omega | 0.19 | 0.19 |
| Max Drawdown | -15.54% | -51.26% |
| Longest DD Days | 81 | 127 |
| Volatility (ann.) | 19.12% | 42.24% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 1.01 | -0.32 |
| Skew | 0.04 | -5.46 |
| Kurtosis | 2.04 | 93.06 |
| Expected Daily | 0.06% | -0.07% |
| Expected Monthly | 1.15% | -1.38% |
| Expected Yearly | 5.87% | -6.7% |
| Kelly Criterion | 4.45% | -12.72% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.92% | -4.41% |
| Expected Shortfall (cVaR) | -1.92% | -4.41% |
| Max Consecutive Wins | 8 | 9 |
| Max Consecutive Losses | 7 | 4 |
| Gain/Pain Ratio | 0.15 | -0.05 |
| Gain/Pain (1M) | 0.94 | -0.22 |
| Payoff Ratio | 0.95 | 0.64 |
| Profit Factor | 1.15 | 0.95 |
| Common Sense Ratio | 1.13 | 0.83 |
| CPC Index | 0.58 | 0.34 |
| Tail Ratio | 0.98 | 0.87 |
| Outlier Win Ratio | 3.44 | 3.18 |
| Outlier Loss Ratio | 4.63 | 3.25 |
| MTD | -4.78% | -30.02% |
| 3M | -9.36% | -36.5% |
| 6M | -3.3% | -35.02% |
| YTD | -10.47% | -34.42% |
| 1Y | 13.58% | -22.51% |
| 3Y (ann.) | 15.71% | -16.27% |
| 5Y (ann.) | 15.71% | -16.27% |
| 10Y (ann.) | 15.71% | -16.27% |
| All-time (ann.) | 15.71% | -16.27% |
| Best Day | 5.51% | 20.04% |
| Worst Day | -4.91% | -33.28% |
| Best Month | 6.59% | 6.87% |
| Worst Month | -6.6% | -30.02% |
| Best Year | 30.72% | 21.79% |
| Worst Year | -10.47% | -34.42% |
| Avg. Drawdown | -3.6% | -3.66% |
| Avg. Drawdown Days | 19 | 15 |
| Recovery Factor | 1.2 | -0.37 |
| Ulcer Index | 0.05 | 0.08 |
| Serenity Index | -19.62 | -15.28 |
| Avg. Up Month | 3.45% | 2.67% |
| Avg. Down Month | -5.38% | -18.16% |
| Win Days | 53.56% | 55.89% |
| Win Month | 73.33% | 60.0% |
| Win Quarter | 83.33% | 66.67% |
| Win Year | 66.67% | 66.67% |
| Beta | 0.14 | - |
| Alpha | 0.17 | - |
| Correlation | 30.53% | - |
| Treynor Ratio | -4928.49% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 1.68 | 1.39 | 0.83 | - |
| 2021 | 21.79 | 30.72 | 1.41 | + |
| 2022 | -34.42 | -10.47 | 0.30 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-05 | 2022-02-25 | -15.54 | 51 |
| 2021-04-12 | 2021-07-02 | -9.96 | 81 |
| 2021-08-31 | 2021-11-08 | -8.27 | 69 |
| 2021-02-16 | 2021-04-01 | -7.94 | 44 |
| 2021-11-23 | 2021-12-29 | -6.90 | 36 |
| 2021-01-04 | 2021-01-21 | -3.12 | 17 |
| 2021-01-27 | 2021-02-02 | -3.08 | 6 |
| 2021-07-15 | 2021-07-23 | -2.63 | 8 |
| 2021-07-27 | 2021-08-06 | -2.27 | 10 |
| 2021-08-09 | 2021-08-19 | -2.01 | 10 |