| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 9.87% | 25.21% |
| CAGR﹪ | 4.6% | 11.34% |
| Sharpe | -8.94 | -9.45 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -8.04 | -8.5 |
| Sortino | -8.24 | -8.79 |
| Smart Sortino | -7.41 | -7.91 |
| Sortino/√2 | -5.83 | -6.22 |
| Smart Sortino/√2 | -5.24 | -5.59 |
| Omega | 0.18 | 0.18 |
| Max Drawdown | -28.83% | -23.51% |
| Longest DD Days | 182 | 311 |
| Volatility (ann.) | 22.58% | 20.74% |
| R^2 | 0.39 | 0.39 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.16 | 0.48 |
| Skew | -1.77 | -0.48 |
| Kurtosis | 11.93 | 7.43 |
| Expected Daily | 0.02% | 0.04% |
| Expected Monthly | 0.36% | 0.87% |
| Expected Yearly | 3.19% | 7.78% |
| Kelly Criterion | 1.47% | 2.12% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.31% | -2.1% |
| Expected Shortfall (cVaR) | -2.31% | -2.1% |
| Max Consecutive Wins | 11 | 11 |
| Max Consecutive Losses | 8 | 7 |
| Gain/Pain Ratio | 0.06 | 0.12 |
| Gain/Pain (1M) | 0.34 | 0.69 |
| Payoff Ratio | 0.77 | 0.92 |
| Profit Factor | 1.06 | 1.12 |
| Common Sense Ratio | 1.03 | 1.15 |
| CPC Index | 0.47 | 0.55 |
| Tail Ratio | 0.97 | 1.03 |
| Outlier Win Ratio | 4.23 | 3.97 |
| Outlier Loss Ratio | 3.72 | 4.34 |
| MTD | -15.19% | -11.84% |
| 3M | -18.35% | -11.24% |
| 6M | -14.21% | -15.26% |
| YTD | -18.58% | -11.0% |
| 1Y | -8.14% | -6.22% |
| 3Y (ann.) | 4.6% | 11.34% |
| 5Y (ann.) | 4.6% | 11.34% |
| 10Y (ann.) | 4.6% | 11.34% |
| All-time (ann.) | 4.6% | 11.34% |
| Best Day | 4.61% | 7.57% |
| Worst Day | -11.57% | -7.87% |
| Best Month | 10.56% | 12.54% |
| Worst Month | -15.19% | -11.84% |
| Best Year | 19.01% | 32.08% |
| Worst Year | -18.58% | -11.0% |
| Avg. Drawdown | -2.6% | -3.79% |
| Avg. Drawdown Days | 16 | 27 |
| Recovery Factor | 0.34 | 1.07 |
| Ulcer Index | 0.07 | 0.06 |
| Serenity Index | -10.84 | -12.79 |
| Avg. Up Month | 3.92% | 4.9% |
| Avg. Down Month | -5.37% | -5.37% |
| Win Days | 57.25% | 53.07% |
| Win Month | 61.54% | 61.54% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 66.67% | 66.67% |
| Beta | 0.68 | - |
| Alpha | -0.02 | - |
| Correlation | 62.41% | - |
| Treynor Ratio | -1015.8% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 32.08 | 13.39 | 0.42 | - |
| 2021 | 6.52 | 19.01 | 2.92 | + |
| 2022 | -11.00 | -18.58 | 1.69 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-21 | 2020-08-21 | -28.83 | 182 |
| 2021-11-18 | 2022-02-25 | -19.36 | 99 |
| 2020-09-03 | 2020-11-09 | -7.45 | 67 |
| 2021-02-18 | 2021-04-05 | -5.29 | 46 |
| 2021-09-10 | 2021-10-19 | -5.05 | 39 |
| 2021-04-19 | 2021-06-01 | -4.11 | 43 |
| 2021-01-27 | 2021-02-05 | -3.65 | 9 |
| 2020-01-27 | 2020-02-04 | -2.52 | 8 |
| 2021-07-15 | 2021-08-12 | -2.52 | 28 |
| 2021-08-17 | 2021-08-27 | -2.33 | 10 |