| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 99.0% |
| Cumulative Return | -43.17% | -5.49% |
| CAGR﹪ | -89.11% | -19.88% |
| Sharpe | -3.33 | -1.32 |
| Prob. Sharpe Ratio | 0.01% | 16.32% |
| Smart Sharpe | -1.55 | -0.61 |
| Sortino | -3.37 | -1.91 |
| Smart Sortino | -1.56 | -0.88 |
| Sortino/√2 | -2.38 | -1.35 |
| Smart Sortino/√2 | -1.11 | -0.63 |
| Omega | 0.36 | 0.36 |
| Max Drawdown | -45.85% | -12.28% |
| Longest DD Days | 52 | 52 |
| Volatility (ann.) | 69.49% | 22.42% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.18 | -0.18 |
| Calmar | -1.94 | -1.62 |
| Skew | -4.92 | 0.51 |
| Kurtosis | 28.19 | 0.36 |
| Expected Daily | -1.0% | -0.1% |
| Expected Monthly | -13.17% | -1.4% |
| Expected Yearly | -24.61% | -2.78% |
| Kelly Criterion | -10.84% | -3.4% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -8.09% | -2.41% |
| Expected Shortfall (cVaR) | -8.09% | -2.41% |
| Max Consecutive Wins | 4 | 3 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | -0.63 | -0.15 |
| Gain/Pain (1M) | -0.86 | -0.36 |
| Payoff Ratio | 1.26 | 1.29 |
| Profit Factor | 0.37 | 0.85 |
| Common Sense Ratio | 0.28 | 0.99 |
| CPC Index | 0.18 | 0.45 |
| Tail Ratio | 0.76 | 1.17 |
| Outlier Win Ratio | 2.38 | 2.71 |
| Outlier Loss Ratio | 5.03 | 11.36 |
| MTD | -40.83% | -2.36% |
| 3M | -43.17% | -5.49% |
| 6M | -43.17% | -5.49% |
| YTD | -45.85% | -9.89% |
| 1Y | -43.17% | -5.49% |
| 3Y (ann.) | -89.11% | -19.88% |
| 5Y (ann.) | -89.11% | -19.88% |
| 10Y (ann.) | -89.11% | -19.88% |
| All-time (ann.) | -89.11% | -19.88% |
| Best Day | 3.7% | 3.51% |
| Worst Day | -27.91% | -2.92% |
| Best Month | 8.62% | 9.33% |
| Worst Month | -40.83% | -7.71% |
| Best Year | 4.95% | 4.89% |
| Worst Year | -45.85% | -9.89% |
| Avg. Drawdown | -13.42% | -6.44% |
| Avg. Drawdown Days | 20 | 25 |
| Recovery Factor | -0.94 | -0.45 |
| Ulcer Index | 0.1 | 0.07 |
| Serenity Index | -1.21 | -0.2 |
| Avg. Up Month | 8.62% | 9.33% |
| Avg. Down Month | -17.56% | -4.71% |
| Win Days | 38.18% | 41.82% |
| Win Month | 25.0% | 25.0% |
| Win Quarter | 50.0% | 50.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.17 | - |
| Alpha | -2.21 | - |
| Correlation | 5.43% | - |
| Treynor Ratio | -297.98% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 4.89 | 4.95 | 1.01 | + |
| 2022 | -9.89 | -45.85 | 4.63 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-04 | 2022-02-25 | -45.85 | 52 |
| 2021-11-26 | 2021-12-08 | -4.70 | 12 |
| 2021-12-09 | 2021-12-17 | -1.82 | 8 |
| 2021-12-20 | 2021-12-29 | -1.33 | 9 |