| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 99.0% |
| Cumulative Return | -17.05% | 5.76% |
| CAGR﹪ | -60.24% | 31.84% |
| Sharpe | -3.12 | 1.23 |
| Prob. Sharpe Ratio | 0.28% | 58.91% |
| Smart Sharpe | -3.05 | 1.2 |
| Sortino | -3.26 | 1.95 |
| Smart Sortino | -3.19 | 1.9 |
| Sortino/√2 | -2.31 | 1.38 |
| Smart Sortino/√2 | -2.25 | 1.35 |
| Omega | 0.45 | 0.45 |
| Max Drawdown | -18.92% | -6.37% |
| Longest DD Days | 57 | 50 |
| Volatility (ann.) | 29.68% | 17.9% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.2 | -0.2 |
| Calmar | -3.18 | 5.0 |
| Skew | -4.3 | 0.22 |
| Kurtosis | 25.75 | -0.55 |
| Expected Daily | -0.36% | 0.11% |
| Expected Monthly | -6.04% | 1.89% |
| Expected Yearly | -8.93% | 2.84% |
| Kelly Criterion | -14.38% | 7.87% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.42% | -1.74% |
| Expected Shortfall (cVaR) | -3.42% | -1.74% |
| Max Consecutive Wins | 7 | 3 |
| Max Consecutive Losses | 8 | 5 |
| Gain/Pain Ratio | -0.52 | 0.28 |
| Gain/Pain (1M) | -0.9 | 525.05 |
| Payoff Ratio | 0.8 | 1.24 |
| Profit Factor | 0.48 | 1.28 |
| Common Sense Ratio | 0.36 | 1.4 |
| CPC Index | 0.19 | 0.78 |
| Tail Ratio | 0.75 | 1.09 |
| Outlier Win Ratio | 3.84 | 2.36 |
| Outlier Loss Ratio | 3.34 | 5.45 |
| MTD | -15.19% | 2.31% |
| 3M | -17.05% | 5.76% |
| 6M | -17.05% | 5.76% |
| YTD | -18.58% | 2.16% |
| 1Y | -17.05% | 5.76% |
| 3Y (ann.) | -60.24% | 31.84% |
| 5Y (ann.) | -60.24% | 31.84% |
| 10Y (ann.) | -60.24% | 31.84% |
| All-time (ann.) | -60.24% | 31.84% |
| Best Day | 2.29% | 2.71% |
| Worst Day | -11.57% | -1.95% |
| Best Month | 1.88% | 3.52% |
| Worst Month | -15.19% | -0.15% |
| Best Year | 1.88% | 3.52% |
| Worst Year | -18.58% | 2.16% |
| Avg. Drawdown | -7.24% | -1.86% |
| Avg. Drawdown Days | 22 | 13 |
| Recovery Factor | -0.9 | 0.91 |
| Ulcer Index | 0.05 | 0.03 |
| Serenity Index | -0.88 | -0.07 |
| Avg. Up Month | 1.88% | 3.52% |
| Avg. Down Month | -4.0% | -0.15% |
| Win Days | 49.02% | 49.02% |
| Win Month | 33.33% | 66.67% |
| Win Quarter | 50.0% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -0.22 | - |
| Alpha | -0.79 | - |
| Correlation | -13.38% | - |
| Treynor Ratio | 108.45% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.52 | 1.88 | 0.53 | - |
| 2022 | 2.16 | -18.58 | -8.59 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-30 | 2022-02-25 | -18.92 | 57 |
| 2021-12-16 | 2021-12-23 | -2.44 | 7 |
| 2021-12-14 | 2021-12-15 | -0.37 | 1 |