| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 99.0% |
| Cumulative Return | -13.41% | -0.04% |
| CAGR﹪ | -21.96% | -0.07% |
| Sharpe | -1.53 | -0.3 |
| Prob. Sharpe Ratio | 4.59% | 27.15% |
| Smart Sharpe | -1.36 | -0.27 |
| Sortino | -1.66 | -0.5 |
| Smart Sortino | -1.48 | -0.44 |
| Sortino/√2 | -1.18 | -0.35 |
| Smart Sortino/√2 | -1.05 | -0.31 |
| Omega | 0.7 | 0.7 |
| Max Drawdown | -19.09% | -8.48% |
| Longest DD Days | 98 | 147 |
| Volatility (ann.) | 28.59% | 17.84% |
| R^2 | 0.1 | 0.1 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | -1.15 | -0.01 |
| Skew | -4.21 | 1.73 |
| Kurtosis | 27.1 | 8.59 |
| Expected Daily | -0.16% | -0.0% |
| Expected Monthly | -1.78% | -0.01% |
| Expected Yearly | -6.95% | -0.02% |
| Kelly Criterion | -2.69% | -27.8% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.11% | -1.84% |
| Expected Shortfall (cVaR) | -3.11% | -1.84% |
| Max Consecutive Wins | 6 | 7 |
| Max Consecutive Losses | 4 | 11 |
| Gain/Pain Ratio | -0.26 | 0.02 |
| Gain/Pain (1M) | -0.59 | 0.08 |
| Payoff Ratio | 0.74 | 0.73 |
| Profit Factor | 0.74 | 1.02 |
| Common Sense Ratio | 0.53 | 0.86 |
| CPC Index | 0.31 | 0.34 |
| Tail Ratio | 0.72 | 0.85 |
| Outlier Win Ratio | 4.49 | 4.38 |
| Outlier Loss Ratio | 2.98 | 6.0 |
| MTD | -15.19% | -0.56% |
| 3M | -18.35% | 0.9% |
| 6M | -12.78% | -1.23% |
| YTD | -18.9% | 1.34% |
| 1Y | -13.41% | -0.04% |
| 3Y (ann.) | -21.96% | -0.07% |
| 5Y (ann.) | -21.96% | -0.07% |
| 10Y (ann.) | -21.96% | -0.07% |
| All-time (ann.) | -21.96% | -0.07% |
| Best Day | 2.29% | 5.6% |
| Worst Day | -12.71% | -3.13% |
| Best Month | 4.01% | 2.22% |
| Worst Month | -15.19% | -3.41% |
| Best Year | 6.78% | 1.34% |
| Worst Year | -18.9% | -1.37% |
| Avg. Drawdown | -4.17% | -2.61% |
| Avg. Drawdown Days | 23 | 32 |
| Recovery Factor | -0.7 | -0.0 |
| Ulcer Index | 0.03 | 0.04 |
| Serenity Index | -1.68 | -0.31 |
| Avg. Up Month | 2.93% | 1.19% |
| Avg. Down Month | -7.97% | -1.98% |
| Win Days | 56.32% | 45.98% |
| Win Month | 37.5% | 62.5% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 50.0% | 50.0% |
| Beta | -0.5 | - |
| Alpha | -0.36 | - |
| Correlation | -30.94% | - |
| Treynor Ratio | 41.17% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -1.37 | 6.78 | -4.96 | + |
| 2022 | 1.34 | -18.90 | -14.10 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-19 | 2022-02-25 | -19.09 | 98 |
| 2021-09-13 | 2021-10-19 | -5.07 | 36 |
| 2021-08-17 | 2021-08-30 | -2.29 | 13 |
| 2021-11-09 | 2021-11-12 | -1.62 | 3 |
| 2021-10-26 | 2021-11-02 | -0.59 | 7 |
| 2021-09-07 | 2021-09-08 | -0.32 | 1 |
| 2021-07-30 | 2021-08-04 | -0.21 | 5 |