| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 4.57% | 61.22% |
| CAGR﹪ | 1.62% | 18.7% |
| Sharpe | -1.77 | -2.07 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -1.76 | -2.06 |
| Sortino | -2.11 | -2.6 |
| Smart Sortino | -2.1 | -2.59 |
| Sortino/√2 | -1.49 | -1.84 |
| Smart Sortino/√2 | -1.48 | -1.83 |
| Omega | 0.71 | 0.71 |
| Max Drawdown | -48.03% | -33.79% |
| Longest DD Days | 472 | 172 |
| Volatility (ann.) | 34.84% | 23.51% |
| R^2 | 0.2 | 0.2 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.03 | 0.55 |
| Skew | -1.68 | -0.59 |
| Kurtosis | 11.46 | 15.54 |
| Expected Daily | 0.01% | 0.07% |
| Expected Monthly | 0.13% | 1.41% |
| Expected Yearly | 1.12% | 12.68% |
| Kelly Criterion | -7.33% | 1.02% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.58% | -2.35% |
| Expected Shortfall (cVaR) | -3.58% | -2.35% |
| Max Consecutive Wins | 13 | 7 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.05 | 0.2 |
| Gain/Pain (1M) | 0.21 | 1.29 |
| Payoff Ratio | 0.68 | 0.79 |
| Profit Factor | 1.05 | 1.2 |
| Common Sense Ratio | 0.93 | 1.08 |
| CPC Index | 0.4 | 0.53 |
| Tail Ratio | 0.89 | 0.9 |
| Outlier Win Ratio | 3.62 | 5.23 |
| Outlier Loss Ratio | 3.92 | 6.67 |
| MTD | -23.17% | -2.77% |
| 3M | -31.7% | -6.4% |
| 6M | -31.63% | -1.57% |
| YTD | -29.92% | -8.04% |
| 1Y | -19.42% | 13.29% |
| 3Y (ann.) | 1.62% | 18.7% |
| 5Y (ann.) | 1.62% | 18.7% |
| 10Y (ann.) | 1.62% | 18.7% |
| All-time (ann.) | 1.62% | 18.7% |
| Best Day | 9.36% | 9.39% |
| Worst Day | -17.58% | -11.98% |
| Best Month | 19.76% | 12.82% |
| Worst Month | -23.17% | -12.35% |
| Best Year | 32.8% | 29.88% |
| Worst Year | -29.92% | -8.04% |
| Avg. Drawdown | -4.67% | -1.74% |
| Avg. Drawdown Days | 27 | 10 |
| Recovery Factor | 0.1 | 1.81 |
| Ulcer Index | 0.16 | 0.06 |
| Serenity Index | -0.43 | -0.72 |
| Avg. Up Month | 5.71% | 4.55% |
| Avg. Down Month | -11.11% | -4.21% |
| Win Days | 56.67% | 56.46% |
| Win Month | 64.71% | 67.65% |
| Win Quarter | 58.33% | 83.33% |
| Win Year | 50.0% | 75.0% |
| Beta | 0.67 | - |
| Alpha | -0.06 | - |
| Correlation | 45.15% | - |
| Treynor Ratio | -142.67% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 14.40 | 32.80 | 2.28 | + |
| 2020 | 17.99 | -6.94 | -0.39 | - |
| 2021 | 29.88 | 20.74 | 0.69 | - |
| 2022 | -8.04 | -29.92 | 3.72 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-01-21 | 2021-05-07 | -48.03 | 472 |
| 2021-10-26 | 2022-02-25 | -46.17 | 122 |
| 2019-07-11 | 2019-09-16 | -10.85 | 67 |
| 2021-09-16 | 2021-09-27 | -7.18 | 11 |
| 2021-06-15 | 2021-08-11 | -6.50 | 57 |
| 2019-09-18 | 2019-10-23 | -5.80 | 35 |
| 2019-11-08 | 2019-12-12 | -4.74 | 34 |
| 2021-08-18 | 2021-09-01 | -3.53 | 14 |
| 2019-05-23 | 2019-06-03 | -2.31 | 11 |
| 2021-10-21 | 2021-10-25 | -2.06 | 4 |