| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -2.06% | 14.76% |
| CAGR﹪ | -2.96% | 21.98% |
| Sharpe | -0.27 | 1.32 |
| Prob. Sharpe Ratio | 40.8% | 89.76% |
| Smart Sharpe | -0.24 | 1.17 |
| Sortino | -0.32 | 2.7 |
| Smart Sortino | -0.28 | 2.39 |
| Sortino/√2 | -0.23 | 1.91 |
| Smart Sortino/√2 | -0.2 | 1.69 |
| Omega | 0.94 | 0.94 |
| Max Drawdown | -9.61% | -7.0% |
| Longest DD Days | 83 | 136 |
| Volatility (ann.) | 9.32% | 15.67% |
| R^2 | 0.08 | 0.08 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | -0.31 | 3.14 |
| Skew | -3.57 | 3.37 |
| Kurtosis | 26.86 | 25.63 |
| Expected Daily | -0.01% | 0.08% |
| Expected Monthly | -0.23% | 1.54% |
| Expected Yearly | -1.04% | 7.13% |
| Kelly Criterion | 0.79% | -0.89% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.98% | -1.54% |
| Expected Shortfall (cVaR) | -0.98% | -1.54% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | -0.06 | 0.31 |
| Gain/Pain (1M) | -0.17 | 4.75 |
| Payoff Ratio | 0.97 | 1.11 |
| Profit Factor | 0.94 | 1.31 |
| Common Sense Ratio | 1.14 | 1.94 |
| CPC Index | 0.47 | 0.68 |
| Tail Ratio | 1.21 | 1.48 |
| Outlier Win Ratio | 6.34 | 2.83 |
| Outlier Loss Ratio | 4.94 | 3.67 |
| MTD | -8.05% | 7.35% |
| 3M | -8.34% | 10.68% |
| 6M | -6.26% | 12.57% |
| YTD | -9.61% | 11.14% |
| 1Y | -2.06% | 14.76% |
| 3Y (ann.) | -2.96% | 21.98% |
| 5Y (ann.) | -2.96% | 21.98% |
| 10Y (ann.) | -2.96% | 21.98% |
| All-time (ann.) | -2.96% | 21.98% |
| Best Day | 1.27% | 8.19% |
| Worst Day | -4.78% | -2.64% |
| Best Month | 3.78% | 7.35% |
| Worst Month | -8.05% | -2.45% |
| Best Year | 8.35% | 11.14% |
| Worst Year | -9.61% | 3.26% |
| Avg. Drawdown | -1.66% | -2.23% |
| Avg. Drawdown Days | 20 | 19 |
| Recovery Factor | -0.21 | 2.11 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | -0.25 | 1.07 |
| Avg. Up Month | 1.39% | 1.29% |
| Avg. Down Month | -0.6% | -0.66% |
| Win Days | 51.14% | 46.89% |
| Win Month | 66.67% | 77.78% |
| Win Quarter | 75.0% | 75.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -0.17 | - |
| Alpha | 0.01 | - |
| Correlation | -28.79% | - |
| Treynor Ratio | 12.04% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.26 | 8.35 | 2.56 | + |
| 2022 | 11.14 | -9.61 | -0.86 | - |
| 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 |
| 2021-06-18 | 2021-06-24 | -0.47 | 6 |
| 2021-07-08 | 2021-07-14 | -0.46 | 6 |
| 2021-11-10 | 2021-11-15 | -0.21 | 5 |