| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -14.66% | 4.84% |
| CAGR﹪ | -20.44% | 7.06% |
| Sharpe | -4.64 | -4.21 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -4.2 | -3.81 |
| Sortino | -4.72 | -4.78 |
| Smart Sortino | -4.27 | -4.34 |
| Sortino/√2 | -3.33 | -3.38 |
| Smart Sortino/√2 | -3.02 | -3.07 |
| Omega | 0.34 | 0.34 |
| Max Drawdown | -23.21% | -10.4% |
| Longest DD Days | 121 | 52 |
| Volatility (ann.) | 19.54% | 14.6% |
| R^2 | 0.08 | 0.08 |
| Information Ratio | -0.09 | -0.09 |
| Calmar | -0.88 | 0.68 |
| Skew | -5.35 | -0.24 |
| Kurtosis | 50.64 | 0.26 |
| Expected Daily | -0.09% | 0.03% |
| Expected Monthly | -1.75% | 0.53% |
| Expected Yearly | -7.62% | 2.39% |
| Kelly Criterion | -29.11% | 2.47% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.11% | -1.48% |
| Expected Shortfall (cVaR) | -2.11% | -1.48% |
| Max Consecutive Wins | 6 | 7 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | -0.22 | 0.09 |
| Gain/Pain (1M) | -0.63 | 0.41 |
| Payoff Ratio | 0.57 | 0.82 |
| Profit Factor | 0.78 | 1.09 |
| Common Sense Ratio | 0.58 | 0.9 |
| CPC Index | 0.24 | 0.5 |
| Tail Ratio | 0.74 | 0.82 |
| Outlier Win Ratio | 3.43 | 3.02 |
| Outlier Loss Ratio | 2.6 | 2.83 |
| MTD | -14.34% | -2.77% |
| 3M | -17.18% | -6.4% |
| 6M | -16.73% | -1.57% |
| YTD | -18.67% | -8.04% |
| 1Y | -14.66% | 4.84% |
| 3Y (ann.) | -20.44% | 7.06% |
| 5Y (ann.) | -20.44% | 7.06% |
| 10Y (ann.) | -20.44% | 7.06% |
| All-time (ann.) | -20.44% | 7.06% |
| Best Day | 2.39% | 2.45% |
| Worst Day | -11.99% | -2.43% |
| Best Month | 4.34% | 7.01% |
| Worst Month | -14.34% | -5.42% |
| Best Year | 4.93% | 14.0% |
| Worst Year | -18.67% | -8.04% |
| Avg. Drawdown | -3.73% | -1.58% |
| Avg. Drawdown Days | 25 | 8 |
| Recovery Factor | -0.63 | 0.47 |
| Ulcer Index | 0.06 | 0.03 |
| Serenity Index | -2.26 | -4.16 |
| Avg. Up Month | 2.8% | 4.14% |
| Avg. Down Month | -7.46% | -2.96% |
| Win Days | 53.22% | 56.14% |
| Win Month | 44.44% | 55.56% |
| Win Quarter | 50.0% | 75.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.38 | - |
| Alpha | -0.24 | - |
| Correlation | 28.73% | - |
| Treynor Ratio | -298.15% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 14.00 | 4.93 | 0.35 | - |
| 2022 | -8.04 | -18.67 | 2.32 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-27 | 2022-02-25 | -23.21 | 121 |
| 2021-08-04 | 2021-09-15 | -3.67 | 42 |
| 2021-06-29 | 2021-07-23 | -2.35 | 24 |
| 2021-09-16 | 2021-10-07 | -1.87 | 21 |
| 2021-06-18 | 2021-06-24 | -1.57 | 6 |
| 2021-10-18 | 2021-10-20 | -0.39 | 2 |
| 2021-07-29 | 2021-07-30 | -0.29 | 1 |
| 2021-10-08 | 2021-10-12 | -0.16 | 4 |
| 2021-10-21 | 2021-10-22 | -0.07 | 1 |