| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 94.0% |
| Cumulative Return | -13.9% | -13.03% |
| CAGR﹪ | -21.39% | -20.11% |
| Sharpe | -1.35 | -2.43 |
| Prob. Sharpe Ratio | 2.51% | 0.02% |
| Smart Sharpe | -1.24 | -2.22 |
| Sortino | -1.49 | -2.52 |
| Smart Sortino | -1.37 | -2.31 |
| Sortino/√2 | -1.06 | -1.78 |
| Smart Sortino/√2 | -0.97 | -1.63 |
| Omega | 0.73 | 0.73 |
| Max Drawdown | -19.36% | -14.54% |
| Longest DD Days | 99 | 183 |
| Volatility (ann.) | 21.98% | 12.25% |
| R^2 | 0.41 | 0.41 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | -1.1 | -1.38 |
| Skew | -5.22 | -6.97 |
| Kurtosis | 46.61 | 65.93 |
| Expected Daily | -0.1% | -0.09% |
| Expected Monthly | -1.85% | -1.73% |
| Expected Yearly | -7.21% | -6.74% |
| Kelly Criterion | -20.36% | -41.64% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.37% | -1.36% |
| Expected Shortfall (cVaR) | -2.37% | -1.36% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 8 | 6 |
| Gain/Pain Ratio | -0.21 | -0.42 |
| Gain/Pain (1M) | -0.6 | -0.79 |
| Payoff Ratio | 0.62 | 0.58 |
| Profit Factor | 0.79 | 0.58 |
| Common Sense Ratio | 0.55 | 0.45 |
| CPC Index | 0.26 | 0.16 |
| Tail Ratio | 0.7 | 0.79 |
| Outlier Win Ratio | 2.15 | 5.47 |
| Outlier Loss Ratio | 2.37 | 5.06 |
| MTD | -13.25% | -11.7% |
| 3M | -18.35% | -10.26% |
| 6M | -14.21% | -14.45% |
| YTD | -18.58% | -12.83% |
| 1Y | -13.9% | -13.03% |
| 3Y (ann.) | -21.39% | -20.11% |
| 5Y (ann.) | -21.39% | -20.11% |
| 10Y (ann.) | -21.39% | -20.11% |
| All-time (ann.) | -21.39% | -20.11% |
| Best Day | 3.14% | 0.76% |
| Worst Day | -12.71% | -7.71% |
| Best Month | 3.79% | 2.44% |
| Worst Month | -13.25% | -11.7% |
| Best Year | 5.75% | -0.23% |
| Worst Year | -18.58% | -12.83% |
| Avg. Drawdown | -4.05% | -2.64% |
| Avg. Drawdown Days | 24 | 35 |
| Recovery Factor | -0.72 | -0.9 |
| Ulcer Index | 0.03 | 0.03 |
| Serenity Index | -1.39 | -0.93 |
| Avg. Up Month | 2.64% | 1.46% |
| Avg. Down Month | -5.51% | -3.92% |
| Win Days | 54.11% | 48.2% |
| Win Month | 37.5% | 37.5% |
| Win Quarter | 33.33% | 0.0% |
| Win Year | 50.0% | 0.0% |
| Beta | 1.15 | - |
| Alpha | 0.03 | - |
| Correlation | 64.04% | - |
| Treynor Ratio | -18.19% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -0.23 | 5.75 | -25.27 | + |
| 2022 | -12.83 | -18.58 | 1.45 | - |
| 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 |
| 2021-11-09 | 2021-11-12 | -1.62 | 3 |
| 2021-10-21 | 2021-11-02 | -0.82 | 12 |
| 2021-08-30 | 2021-09-01 | -0.34 | 2 |
| 2021-09-07 | 2021-09-08 | -0.32 | 1 |