| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -13.73% | 12.26% |
| CAGR﹪ | -25.4% | 25.8% |
| Sharpe | -2.64 | 1.35 |
| Prob. Sharpe Ratio | 0.27% | 86.27% |
| Smart Sharpe | -1.84 | 0.94 |
| Sortino | -2.79 | 2.79 |
| Smart Sortino | -1.95 | 1.95 |
| Sortino/√2 | -1.98 | 1.97 |
| Smart Sortino/√2 | -1.38 | 1.38 |
| Omega | 0.53 | 0.53 |
| Max Drawdown | -15.96% | -6.37% |
| Longest DD Days | 107 | 87 |
| Volatility (ann.) | 10.72% | 17.94% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.15 | -0.15 |
| Calmar | -1.59 | 4.05 |
| Skew | -4.64 | 3.08 |
| Kurtosis | 33.74 | 20.17 |
| Expected Daily | -0.11% | 0.09% |
| Expected Monthly | -2.09% | 1.67% |
| Expected Yearly | -7.12% | 5.95% |
| Kelly Criterion | -95.21% | -21.3% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.22% | -1.76% |
| Expected Shortfall (cVaR) | -1.22% | -1.76% |
| Max Consecutive Wins | 6 | 3 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | -0.47 | 0.32 |
| Gain/Pain (1M) | -0.78 | 3.06 |
| Payoff Ratio | 0.36 | 0.84 |
| Profit Factor | 0.53 | 1.32 |
| Common Sense Ratio | 0.37 | 2.21 |
| CPC Index | 0.09 | 0.49 |
| Tail Ratio | 0.7 | 1.68 |
| Outlier Win Ratio | 7.98 | 2.28 |
| Outlier Loss Ratio | 4.69 | 4.01 |
| MTD | -12.5% | 7.35% |
| 3M | -14.14% | 10.68% |
| 6M | -13.73% | 12.26% |
| YTD | -15.76% | 11.14% |
| 1Y | -13.73% | 12.26% |
| 3Y (ann.) | -25.4% | 25.8% |
| 5Y (ann.) | -25.4% | 25.8% |
| 10Y (ann.) | -25.4% | 25.8% |
| All-time (ann.) | -25.4% | 25.8% |
| Best Day | 0.96% | 8.19% |
| Worst Day | -5.52% | -2.64% |
| Best Month | 2.6% | 7.35% |
| Worst Month | -12.5% | -2.45% |
| Best Year | 2.41% | 11.14% |
| Worst Year | -15.76% | 1.01% |
| Avg. Drawdown | -3.99% | -2.45% |
| Avg. Drawdown Days | 33 | 17 |
| Recovery Factor | -0.86 | 1.93 |
| Ulcer Index | 0.04 | 0.03 |
| Serenity Index | -0.38 | 0.99 |
| Avg. Up Month | 2.6% | 0.83% |
| Avg. Down Month | -0.2% | -0.66% |
| Win Days | 48.82% | 44.53% |
| Win Month | 42.86% | 57.14% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 50.0% | 100.0% |
| Beta | -0.1 | - |
| Alpha | -0.26 | - |
| Correlation | -17.22% | - |
| Treynor Ratio | 133.42% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.01 | 2.41 | 2.38 | + |
| 2022 | 11.14 | -15.76 | -1.41 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-10 | 2022-02-25 | -15.96 | 107 |
| 2021-09-16 | 2021-11-05 | -2.65 | 50 |
| 2021-08-26 | 2021-08-27 | -0.59 | 1 |
| 2021-09-02 | 2021-09-03 | -0.50 | 1 |
| 2021-09-06 | 2021-09-10 | -0.24 | 4 |