| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -22.75% | -1.43% |
| CAGR﹪ | -39.75% | -2.78% |
| Sharpe | -5.63 | -4.49 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -4.45 | -3.55 |
| Sortino | -5.58 | -5.07 |
| Smart Sortino | -4.41 | -4.01 |
| Sortino/√2 | -3.95 | -3.59 |
| Smart Sortino/√2 | -3.12 | -2.83 |
| Omega | 0.29 | 0.29 |
| Max Drawdown | -28.36% | -10.4% |
| Longest DD Days | 107 | 52 |
| Volatility (ann.) | 21.07% | 15.83% |
| R^2 | 0.13 | 0.13 |
| Information Ratio | -0.14 | -0.14 |
| Calmar | -1.4 | -0.27 |
| Skew | -3.7 | -0.15 |
| Kurtosis | 25.87 | -0.01 |
| Expected Daily | -0.2% | -0.01% |
| Expected Monthly | -3.62% | -0.21% |
| Expected Yearly | -12.11% | -0.72% |
| Kelly Criterion | -45.11% | -2.47% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.38% | -1.65% |
| Expected Shortfall (cVaR) | -2.38% | -1.65% |
| Max Consecutive Wins | 4 | 7 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | -0.39 | -0.02 |
| Gain/Pain (1M) | -0.76 | -0.06 |
| Payoff Ratio | 0.51 | 0.85 |
| Profit Factor | 0.61 | 0.98 |
| Common Sense Ratio | 0.44 | 0.85 |
| CPC Index | 0.16 | 0.44 |
| Tail Ratio | 0.71 | 0.86 |
| Outlier Win Ratio | 3.28 | 2.74 |
| Outlier Loss Ratio | 2.58 | 3.25 |
| MTD | -18.5% | -2.77% |
| 3M | -22.43% | -6.4% |
| 6M | -23.28% | -1.57% |
| YTD | -24.2% | -8.04% |
| 1Y | -22.75% | -1.43% |
| 3Y (ann.) | -39.75% | -2.78% |
| 5Y (ann.) | -39.75% | -2.78% |
| 10Y (ann.) | -39.75% | -2.78% |
| All-time (ann.) | -39.75% | -2.78% |
| Best Day | 1.89% | 2.45% |
| Worst Day | -10.27% | -2.43% |
| Best Month | 3.37% | 7.01% |
| Worst Month | -18.5% | -5.42% |
| Best Year | 1.91% | 7.19% |
| Worst Year | -24.2% | -8.04% |
| Avg. Drawdown | -4.03% | -2.03% |
| Avg. Drawdown Days | 18 | 11 |
| Recovery Factor | -0.8 | -0.14 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | -1.42 | -3.61 |
| Avg. Up Month | 2.4% | 4.25% |
| Avg. Down Month | -10.33% | -2.96% |
| Win Days | 51.2% | 52.8% |
| Win Month | 57.14% | 42.86% |
| Win Quarter | 33.33% | 33.33% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.49 | - |
| Alpha | -0.49 | - |
| Correlation | 36.52% | - |
| Treynor Ratio | -252.66% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.19 | 1.91 | 0.27 | - |
| 2022 | -8.04 | -24.20 | 3.01 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-10 | 2022-02-25 | -28.36 | 107 |
| 2021-10-27 | 2021-11-09 | -2.42 | 13 |
| 2021-09-16 | 2021-10-15 | -2.10 | 29 |
| 2021-08-25 | 2021-08-27 | -1.15 | 2 |
| 2021-09-07 | 2021-09-13 | -0.99 | 6 |
| 2021-10-18 | 2021-10-20 | -0.45 | 2 |
| 2021-09-02 | 2021-09-03 | -0.35 | 1 |
| 2021-10-21 | 2021-10-22 | -0.25 | 1 |
| 2021-09-14 | 2021-09-15 | -0.18 | 1 |