| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -13.22% | -5.29% |
| CAGR﹪ | -24.63% | -10.28% |
| Sharpe | -3.33 | -3.02 |
| Prob. Sharpe Ratio | 0.0% | 0.9% |
| Smart Sharpe | -2.08 | -1.89 |
| Sortino | -3.45 | -3.34 |
| Smart Sortino | -2.16 | -2.09 |
| Sortino/√2 | -2.44 | -2.36 |
| Smart Sortino/√2 | -1.53 | -1.48 |
| Omega | 0.43 | 0.43 |
| Max Drawdown | -15.96% | -8.64% |
| Longest DD Days | 107 | 107 |
| Volatility (ann.) | 11.02% | 6.05% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | -0.11 | -0.11 |
| Calmar | -1.54 | -1.19 |
| Skew | -4.7 | -2.56 |
| Kurtosis | 33.27 | 15.84 |
| Expected Daily | -0.12% | -0.05% |
| Expected Monthly | -2.0% | -0.77% |
| Expected Yearly | -6.84% | -2.68% |
| Kelly Criterion | -31.12% | -32.37% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.67% |
| Expected Shortfall (cVaR) | -1.26% | -0.67% |
| Max Consecutive Wins | 6 | 6 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | -0.49 | -0.32 |
| Gain/Pain (1M) | -0.75 | -0.61 |
| Payoff Ratio | 0.59 | 0.59 |
| Profit Factor | 0.51 | 0.68 |
| Common Sense Ratio | 0.37 | 0.48 |
| CPC Index | 0.15 | 0.2 |
| Tail Ratio | 0.73 | 0.7 |
| Outlier Win Ratio | 3.39 | 4.23 |
| Outlier Loss Ratio | 3.49 | 6.0 |
| MTD | -12.5% | -4.46% |
| 3M | -14.14% | -6.16% |
| 6M | -13.22% | -5.29% |
| YTD | -15.76% | -7.65% |
| 1Y | -13.22% | -5.29% |
| 3Y (ann.) | -24.63% | -10.28% |
| 5Y (ann.) | -24.63% | -10.28% |
| 10Y (ann.) | -24.63% | -10.28% |
| All-time (ann.) | -24.63% | -10.28% |
| Best Day | 0.94% | 0.91% |
| Worst Day | -5.52% | -2.57% |
| Best Month | 2.6% | 2.1% |
| Worst Month | -12.5% | -4.46% |
| Best Year | 3.02% | 2.55% |
| Worst Year | -15.76% | -7.65% |
| Avg. Drawdown | -4.74% | -2.6% |
| Avg. Drawdown Days | 40 | 40 |
| Recovery Factor | -0.83 | -0.61 |
| Ulcer Index | 0.04 | 0.03 |
| Serenity Index | -0.55 | -0.25 |
| Avg. Up Month | 1.53% | 1.13% |
| Avg. Down Month | -5.86% | -2.89% |
| Win Days | 51.3% | 50.86% |
| Win Month | 42.86% | 57.14% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.54 | - |
| Alpha | -0.24 | - |
| Correlation | 29.75% | - |
| Treynor Ratio | -37.34% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.55 | 3.02 | 1.18 | + |
| 2022 | -7.65 | -15.76 | 2.06 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-10 | 2022-02-25 | -15.96 | 107 |
| 2021-09-16 | 2021-11-05 | -2.23 | 50 |
| 2021-09-02 | 2021-09-03 | -0.50 | 1 |
| 2021-09-07 | 2021-09-10 | -0.24 | 3 |