| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -17.84% | 33.05% |
| CAGR﹪ | -8.97% | 14.64% |
| Sharpe | -2.33 | -2.0 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -2.32 | -1.99 |
| Sortino | -2.69 | -2.53 |
| Smart Sortino | -2.68 | -2.52 |
| Sortino/√2 | -1.9 | -1.79 |
| Smart Sortino/√2 | -1.89 | -1.78 |
| Omega | 0.64 | 0.64 |
| Max Drawdown | -43.46% | -33.92% |
| Longest DD Days | 364 | 180 |
| Volatility (ann.) | 31.73% | 25.93% |
| R^2 | 0.39 | 0.39 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | -0.21 | 0.43 |
| Skew | -2.11 | -0.55 |
| Kurtosis | 15.83 | 13.29 |
| Expected Daily | -0.04% | 0.06% |
| Expected Monthly | -0.75% | 1.1% |
| Expected Yearly | -6.34% | 9.99% |
| Kelly Criterion | -5.48% | 1.4% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.31% | -2.62% |
| Expected Shortfall (cVaR) | -3.31% | -2.62% |
| Max Consecutive Wins | 9 | 7 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | -0.03 | 0.15 |
| Gain/Pain (1M) | -0.1 | 0.86 |
| Payoff Ratio | 0.76 | 0.84 |
| Profit Factor | 0.97 | 1.15 |
| Common Sense Ratio | 0.81 | 1.0 |
| CPC Index | 0.4 | 0.53 |
| Tail Ratio | 0.83 | 0.87 |
| Outlier Win Ratio | 3.98 | 4.88 |
| Outlier Loss Ratio | 3.86 | 5.46 |
| MTD | -21.0% | -2.9% |
| 3M | -26.23% | -6.74% |
| 6M | -23.79% | -2.26% |
| YTD | -26.74% | -8.25% |
| 1Y | -18.61% | 11.7% |
| 3Y (ann.) | -8.97% | 14.64% |
| 5Y (ann.) | -8.97% | 14.64% |
| 10Y (ann.) | -8.97% | 14.64% |
| All-time (ann.) | -8.97% | 14.64% |
| Best Day | 6.19% | 9.38% |
| Worst Day | -18.26% | -11.98% |
| Best Month | 15.1% | 12.68% |
| Worst Month | -22.96% | -12.51% |
| Best Year | 18.59% | 28.05% |
| Worst Year | -26.74% | -8.25% |
| Avg. Drawdown | -6.13% | -2.16% |
| Avg. Drawdown Days | 40 | 12 |
| Recovery Factor | -0.41 | 0.97 |
| Ulcer Index | 0.14 | 0.07 |
| Serenity Index | -0.66 | -1.03 |
| Avg. Up Month | 5.56% | 4.94% |
| Avg. Down Month | -8.57% | -4.42% |
| Win Days | 54.51% | 55.1% |
| Win Month | 53.85% | 61.54% |
| Win Quarter | 66.67% | 77.78% |
| Win Year | 33.33% | 66.67% |
| Beta | 0.76 | - |
| Alpha | -0.18 | - |
| Correlation | 62.15% | - |
| Treynor Ratio | -154.95% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 13.25 | -5.42 | -0.41 | - |
| 2021 | 28.05 | 18.59 | 0.66 | - |
| 2022 | -8.25 | -26.74 | 3.24 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-13 | 2021-02-11 | -43.46 | 364 |
| 2021-10-27 | 2022-02-25 | -31.33 | 121 |
| 2021-02-18 | 2021-04-28 | -7.36 | 69 |
| 2021-09-16 | 2021-10-14 | -5.11 | 28 |
| 2021-05-10 | 2021-05-27 | -4.97 | 17 |
| 2021-06-29 | 2021-09-01 | -4.89 | 64 |
| 2020-01-27 | 2020-02-12 | -4.79 | 16 |
| 2021-06-16 | 2021-06-24 | -2.40 | 8 |
| 2021-04-29 | 2021-05-07 | -1.94 | 8 |
| 2021-09-10 | 2021-09-15 | -1.40 | 5 |