| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 83.0% | 100.0% |
| Cumulative Return | -24.07% | 53.33% |
| CAGR﹪ | -9.43% | 16.62% |
| Sharpe | 0.4 | -2.18 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | 0.37 | -1.98 |
| Sortino | 3.87 | -2.73 |
| Smart Sortino | 3.5 | -2.47 |
| Sortino/√2 | 2.74 | -1.93 |
| Smart Sortino/√2 | 2.48 | -1.75 |
| Omega | 2.8 | 2.8 |
| Max Drawdown | -90.67% | -33.92% |
| Longest DD Days | 161 | 180 |
| Volatility (ann.) | 550.66% | 23.25% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | -0.1 | 0.49 |
| Skew | 25.57 | -0.61 |
| Kurtosis | 662.53 | 16.05 |
| Expected Daily | -0.04% | 0.06% |
| Expected Monthly | -0.81% | 1.27% |
| Expected Yearly | -6.65% | 11.28% |
| Kelly Criterion | 43.2% | 1.28% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -55.9% | -2.34% |
| Expected Shortfall (cVaR) | -55.9% | -2.34% |
| Max Consecutive Wins | 9 | 7 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 3.89 | 0.18 |
| Gain/Pain (1M) | 49.33 | 1.12 |
| Payoff Ratio | 4.04 | 0.8 |
| Profit Factor | 4.89 | 1.18 |
| Common Sense Ratio | 5.19 | 1.05 |
| CPC Index | 10.75 | 0.53 |
| Tail Ratio | 1.06 | 0.89 |
| Outlier Win Ratio | 1.18 | 3.2 |
| Outlier Loss Ratio | 4.09 | 3.45 |
| MTD | -27.03% | -2.9% |
| 3M | -31.52% | -6.74% |
| 6M | -32.1% | -2.26% |
| YTD | -30.76% | -8.25% |
| 1Y | -31.46% | 11.7% |
| 3Y (ann.) | -9.43% | 16.62% |
| 5Y (ann.) | -9.43% | 16.62% |
| 10Y (ann.) | -9.43% | 16.62% |
| All-time (ann.) | -9.43% | 16.62% |
| Best Day | 897.53% | 9.38% |
| Worst Day | -89.91% | -11.98% |
| Best Month | 5.75% | 12.68% |
| Worst Month | -27.03% | -12.51% |
| Best Year | 6.3% | 28.05% |
| Worst Year | -30.76% | -8.25% |
| Avg. Drawdown | -2.3% | -1.86% |
| Avg. Drawdown Days | 15 | 11 |
| Recovery Factor | -0.27 | 1.57 |
| Ulcer Index | 0.04 | 0.07 |
| Serenity Index | -117.13 | -0.83 |
| Avg. Up Month | 1.05% | 4.27% |
| Avg. Down Month | -5.07% | -4.91% |
| Win Days | 54.48% | 56.21% |
| Win Month | 63.64% | 67.65% |
| Win Quarter | 66.67% | 83.33% |
| Win Year | 50.0% | 75.0% |
| Beta | 0.38 | - |
| Alpha | 2.85 | - |
| Correlation | 1.59% | - |
| Treynor Ratio | -330.03% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 12.65 | 6.30 | 0.50 | - |
| 2020 | 15.86 | 4.06 | 0.26 | - |
| 2021 | 28.05 | -0.86 | -0.03 | - |
| 2022 | -8.25 | -30.76 | 3.73 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-17 | 2022-02-25 | -90.67 | 161 |
| 2020-01-17 | 2020-05-27 | -12.15 | 131 |
| 2021-03-03 | 2021-05-18 | -1.63 | 76 |
| 2020-09-02 | 2020-11-05 | -1.19 | 64 |
| 2020-06-15 | 2020-07-15 | -0.96 | 30 |
| 2019-09-06 | 2019-10-14 | -0.74 | 38 |
| 2020-12-22 | 2021-01-08 | -0.70 | 17 |
| 2021-01-15 | 2021-02-19 | -0.70 | 35 |
| 2019-05-21 | 2019-05-24 | -0.69 | 3 |
| 2019-11-11 | 2019-12-04 | -0.65 | 23 |