| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -2.45% | 6.56% |
| CAGR﹪ | -3.63% | 9.92% |
| Sharpe | -21.75 | -34.12 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -18.57 | -29.14 |
| Sortino | -12.85 | -14.42 |
| Smart Sortino | -10.98 | -12.32 |
| Sortino/√2 | -9.09 | -10.2 |
| Smart Sortino/√2 | -7.76 | -8.71 |
| Omega | 0.01 | 0.01 |
| Max Drawdown | -9.61% | -3.24% |
| Longest DD Days | 83 | 52 |
| Volatility (ann.) | 9.76% | 5.82% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | -0.09 | -0.09 |
| Calmar | -0.38 | 3.07 |
| Skew | -3.52 | 0.16 |
| Kurtosis | 24.96 | 1.18 |
| Expected Daily | -0.02% | 0.04% |
| Expected Monthly | -0.28% | 0.71% |
| Expected Yearly | -1.23% | 3.23% |
| Kelly Criterion | 1.95% | 12.65% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.03% | -0.56% |
| Expected Shortfall (cVaR) | -1.03% | -0.56% |
| Max Consecutive Wins | 7 | 11 |
| Max Consecutive Losses | 7 | 5 |
| Gain/Pain Ratio | -0.07 | 0.35 |
| Gain/Pain (1M) | -0.21 | 3.12 |
| Payoff Ratio | 0.96 | 1.04 |
| Profit Factor | 0.93 | 1.35 |
| Common Sense Ratio | 1.05 | 1.47 |
| CPC Index | 0.46 | 0.78 |
| Tail Ratio | 1.13 | 1.08 |
| Outlier Win Ratio | 3.55 | 4.17 |
| Outlier Loss Ratio | 3.61 | 5.44 |
| MTD | -8.05% | -0.08% |
| 3M | -8.34% | -0.02% |
| 6M | -6.26% | 2.17% |
| YTD | -9.61% | -1.56% |
| 1Y | -2.45% | 6.56% |
| 3Y (ann.) | -3.63% | 9.92% |
| 5Y (ann.) | -3.63% | 9.92% |
| 10Y (ann.) | -3.63% | 9.92% |
| All-time (ann.) | -3.63% | 9.92% |
| Best Day | 1.27% | 1.21% |
| Worst Day | -4.78% | -1.02% |
| Best Month | 3.78% | 3.79% |
| Worst Month | -8.05% | -1.48% |
| Best Year | 7.92% | 8.24% |
| Worst Year | -9.61% | -1.56% |
| Avg. Drawdown | -1.91% | -0.86% |
| Avg. Drawdown Days | 23 | 15 |
| Recovery Factor | -0.25 | 2.03 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | -80.97 | -95.1 |
| Avg. Up Month | 1.39% | 1.43% |
| Avg. Down Month | -3.45% | -0.7% |
| Win Days | 51.92% | 55.41% |
| Win Month | 66.67% | 66.67% |
| Win Quarter | 75.0% | 75.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.5 | - |
| Alpha | -0.09 | - |
| Correlation | 30.06% | - |
| Treynor Ratio | -1392.61% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 8.24 | 7.92 | 0.96 | - |
| 2022 | -1.56 | -9.61 | 6.16 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-04 | 2022-02-25 | -9.61 | 52 |
| 2021-08-04 | 2021-10-26 | -2.13 | 83 |
| 2021-11-16 | 2021-12-30 | -1.44 | 44 |
| 2021-10-28 | 2021-11-08 | -1.39 | 11 |
| 2021-07-20 | 2021-07-23 | -0.93 | 3 |
| 2021-07-29 | 2021-07-30 | -0.73 | 1 |
| 2021-07-05 | 2021-07-12 | -0.64 | 7 |
| 2021-11-10 | 2021-11-15 | -0.21 | 5 |
| 2021-07-16 | 2021-07-19 | -0.14 | 3 |