| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -2.06% | -32.67% |
| CAGR﹪ | -3.02% | -44.13% |
| Sharpe | -22.56 | -4.63 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -19.97 | -4.1 |
| Sortino | -13.01 | -4.96 |
| Smart Sortino | -11.52 | -4.39 |
| Sortino/√2 | -9.2 | -3.51 |
| Smart Sortino/√2 | -8.15 | -3.11 |
| Omega | 0.01 | 0.01 |
| Max Drawdown | -9.61% | -51.26% |
| Longest DD Days | 83 | 127 |
| Volatility (ann.) | 9.37% | 53.81% |
| R^2 | 0.08 | 0.08 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | -0.31 | -0.86 |
| Skew | -3.57 | -4.42 |
| Kurtosis | 26.71 | 59.42 |
| Expected Daily | -0.01% | -0.23% |
| Expected Monthly | -0.23% | -4.3% |
| Expected Yearly | -1.04% | -17.94% |
| Kelly Criterion | -14.45% | -51.36% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.98% | -5.74% |
| Expected Shortfall (cVaR) | -0.98% | -5.74% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 7 | 4 |
| Gain/Pain Ratio | -0.06 | -0.2 |
| Gain/Pain (1M) | -0.17 | -0.72 |
| Payoff Ratio | 0.74 | 0.45 |
| Profit Factor | 0.94 | 0.8 |
| Common Sense Ratio | 1.14 | 0.54 |
| CPC Index | 0.36 | 0.19 |
| Tail Ratio | 1.2 | 0.68 |
| Outlier Win Ratio | 7.15 | 1.98 |
| Outlier Loss Ratio | 12.59 | 2.81 |
| MTD | -8.05% | -30.02% |
| 3M | -8.34% | -36.5% |
| 6M | -6.26% | -35.02% |
| YTD | -9.61% | -34.42% |
| 1Y | -2.06% | -32.67% |
| 3Y (ann.) | -3.02% | -44.13% |
| 5Y (ann.) | -3.02% | -44.13% |
| 10Y (ann.) | -3.02% | -44.13% |
| All-time (ann.) | -3.02% | -44.13% |
| Best Day | 1.27% | 20.04% |
| Worst Day | -4.78% | -33.28% |
| Best Month | 3.78% | 5.02% |
| Worst Month | -8.05% | -30.02% |
| Best Year | 8.35% | 2.68% |
| Worst Year | -9.61% | -34.42% |
| Avg. Drawdown | -1.62% | -5.99% |
| Avg. Drawdown Days | 19 | 19 |
| Recovery Factor | -0.21 | -0.64 |
| Ulcer Index | 0.02 | 0.1 |
| Serenity Index | -82.73 | -11.99 |
| Avg. Up Month | 0.97% | 2.03% |
| Avg. Down Month | -4.87% | -18.16% |
| Win Days | 51.45% | 52.87% |
| Win Month | 66.67% | 44.44% |
| Win Quarter | 75.0% | 50.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.05 | - |
| Alpha | -0.01 | - |
| Correlation | 27.6% | - |
| Treynor Ratio | -14605.37% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.68 | 8.35 | 3.12 | + |
| 2022 | -34.42 | -9.61 | 0.28 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-03 | 2022-02-25 | -9.61 | 53 |
| 2021-08-04 | 2021-10-26 | -2.13 | 83 |
| 2021-11-16 | 2021-12-30 | -1.57 | 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 | 2021-07-07 | -0.64 | 2 |
| 2021-07-08 | 2021-07-14 | -0.46 | 6 |
| 2021-11-10 | 2021-11-15 | -0.21 | 5 |
| 2021-07-16 | 2021-07-19 | -0.14 | 3 |