| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 86.0% | 72.0% |
| Cumulative Return | -13.21% | -13.06% |
| CAGR﹪ | -81.13% | -80.76% |
| Sharpe | -5.97 | -8.81 |
| Prob. Sharpe Ratio | 3.48% | 0.0% |
| Smart Sharpe | -4.52 | -6.66 |
| Sortino | -6.08 | -8.18 |
| Smart Sortino | -4.59 | -6.18 |
| Sortino/√2 | -4.3 | -5.78 |
| Smart Sortino/√2 | -3.25 | -4.37 |
| Omega | 0.21 | 0.21 |
| Max Drawdown | -15.19% | -13.64% |
| Longest DD Days | 4 | 25 |
| Volatility (ann.) | 80.6% | 55.81% |
| R^2 | 0.67 | 0.67 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | -5.34 | -5.92 |
| Skew | -2.07 | -1.92 |
| Kurtosis | 4.54 | 3.64 |
| Expected Daily | -2.0% | -1.98% |
| Expected Monthly | -6.84% | -6.76% |
| Expected Yearly | -13.21% | -13.06% |
| Kelly Criterion | -522.11% | -541.39% |
| Risk of Ruin | 0.0% | 0.06% |
| Daily Value-at-Risk | -10.24% | -7.71% |
| Expected Shortfall (cVaR) | -10.24% | -7.71% |
| Max Consecutive Wins | 2 | 1 |
| Max Consecutive Losses | 1 | 4 |
| Gain/Pain Ratio | -0.79 | -0.95 |
| Gain/Pain (1M) | -0.85 | -1.0 |
| Payoff Ratio | 0.09 | 0.14 |
| Profit Factor | 0.21 | 0.05 |
| Common Sense Ratio | 0.04 | 0.0 |
| CPC Index | 0.01 | 0.0 |
| Tail Ratio | 0.18 | 0.06 |
| Outlier Win Ratio | 1.58 | 6.37 |
| Outlier Loss Ratio | 1.89 | 2.98 |
| MTD | -15.19% | -12.52% |
| 3M | -13.21% | -13.06% |
| 6M | -13.21% | -13.06% |
| YTD | -13.21% | -13.06% |
| 1Y | -13.21% | -13.06% |
| 3Y (ann.) | -81.13% | -80.76% |
| 5Y (ann.) | -81.13% | -80.76% |
| 10Y (ann.) | -81.13% | -80.76% |
| All-time (ann.) | -81.13% | -80.76% |
| Best Day | 2.29% | 0.66% |
| Worst Day | -12.71% | -9.24% |
| Best Month | 2.34% | -0.61% |
| Worst Month | -15.19% | -12.52% |
| Best Year | -13.21% | -13.06% |
| Worst Year | -13.21% | -13.06% |
| Avg. Drawdown | -7.92% | -13.64% |
| Avg. Drawdown Days | 2 | 25 |
| Recovery Factor | -0.87 | -0.96 |
| Ulcer Index | 0.06 | 0.06 |
| Serenity Index | -1.3 | -1.06 |
| Avg. Up Month | - | - |
| Avg. Down Month | -15.19% | -12.52% |
| Win Days | 50.0% | 20.0% |
| Win Month | 50.0% | 0.0% |
| Win Quarter | 0.0% | 0.0% |
| Win Year | 0.0% | 0.0% |
| Beta | 1.19 | - |
| Alpha | 1.0 | - |
| Correlation | 82.07% | - |
| Treynor Ratio | -17.05% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | -13.06 | -13.21 | 1.01 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-21 | 2022-02-25 | -15.19 | 4 |
| 2022-01-27 | 2022-01-28 | -0.65 | 1 |