| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 91.0% |
| Cumulative Return | -12.37% | -10.47% |
| CAGR﹪ | -17.67% | -15.03% |
| Sharpe | -1.23 | -1.06 |
| Prob. Sharpe Ratio | 2.92% | 3.26% |
| Smart Sharpe | -1.17 | -1.02 |
| Sortino | -1.37 | -1.14 |
| Smart Sortino | -1.31 | -1.1 |
| Sortino/√2 | -0.97 | -0.81 |
| Smart Sortino/√2 | -0.93 | -0.77 |
| Omega | 0.77 | 0.77 |
| Max Drawdown | -19.36% | -14.95% |
| Longest DD Days | 99 | 232 |
| Volatility (ann.) | 19.43% | 19.48% |
| R^2 | 0.41 | 0.41 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.91 | -1.01 |
| Skew | -4.89 | -8.3 |
| Kurtosis | 44.14 | 98.57 |
| Expected Daily | -0.08% | -0.06% |
| Expected Monthly | -1.46% | -1.22% |
| Expected Yearly | -6.39% | -5.38% |
| Kelly Criterion | -34.94% | -90.3% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.08% | -2.07% |
| Expected Shortfall (cVaR) | -2.08% | -2.07% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 8 | 5 |
| Gain/Pain Ratio | -0.17 | -0.38 |
| Gain/Pain (1M) | -0.52 | -0.71 |
| Payoff Ratio | 0.49 | 0.22 |
| Profit Factor | 0.83 | 0.62 |
| Common Sense Ratio | 0.66 | 0.62 |
| CPC Index | 0.23 | 0.09 |
| Tail Ratio | 0.79 | 0.99 |
| Outlier Win Ratio | 2.52 | 11.12 |
| Outlier Loss Ratio | 3.14 | 5.94 |
| MTD | -15.19% | -13.68% |
| 3M | -18.35% | -12.43% |
| 6M | -14.21% | -11.26% |
| YTD | -18.58% | -12.93% |
| 1Y | -12.37% | -10.47% |
| 3Y (ann.) | -17.67% | -15.03% |
| 5Y (ann.) | -17.67% | -15.03% |
| 10Y (ann.) | -17.67% | -15.03% |
| All-time (ann.) | -17.67% | -15.03% |
| Best Day | 2.29% | 5.19% |
| Worst Day | -11.57% | -13.96% |
| Best Month | 3.79% | 0.86% |
| Worst Month | -15.19% | -13.68% |
| Best Year | 7.63% | 2.83% |
| Worst Year | -18.58% | -12.93% |
| Avg. Drawdown | -2.91% | -3.13% |
| Avg. Drawdown Days | 17 | 47 |
| Recovery Factor | -0.64 | -0.7 |
| Ulcer Index | 0.03 | 0.04 |
| Serenity Index | -1.06 | -0.99 |
| Avg. Up Month | 2.66% | 0.37% |
| Avg. Down Month | -15.19% | -13.68% |
| Win Days | 55.49% | 66.04% |
| Win Month | 44.44% | 88.89% |
| Win Quarter | 50.0% | 75.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.64 | - |
| Alpha | -0.08 | - |
| Correlation | 64.12% | - |
| Treynor Ratio | -30.29% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.83 | 7.63 | 2.70 | + |
| 2022 | -12.93 | -18.58 | 1.44 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-18 | 2022-02-25 | -19.36 | 99 |
| 2021-09-09 | 2021-10-19 | -5.07 | 40 |
| 2021-07-15 | 2021-08-12 | -2.52 | 28 |
| 2021-08-17 | 2021-08-27 | -2.33 | 10 |
| 2021-07-06 | 2021-07-14 | -1.63 | 8 |
| 2021-11-09 | 2021-11-12 | -1.62 | 3 |
| 2021-10-21 | 2021-10-28 | -0.82 | 7 |
| 2021-10-29 | 2021-11-02 | -0.67 | 4 |
| 2021-08-30 | 2021-09-01 | -0.34 | 2 |
| 2021-09-07 | 2021-09-08 | -0.32 | 1 |