| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -0.45% | 1.17% |
| CAGR﹪ | -0.61% | 1.6% |
| Sharpe | -1.3 | -0.9 |
| Prob. Sharpe Ratio | 16.03% | 26.1% |
| Smart Sharpe | -1.28 | -0.88 |
| Sortino | -1.66 | -1.21 |
| Smart Sortino | -1.64 | -1.2 |
| Sortino/√2 | -1.18 | -0.86 |
| Smart Sortino/√2 | -1.16 | -0.85 |
| Omega | 0.81 | 0.81 |
| Max Drawdown | -5.18% | -4.79% |
| Longest DD Days | 101 | 107 |
| Volatility (ann.) | 5.58% | 5.49% |
| R^2 | 0.43 | 0.43 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | -0.12 | 0.33 |
| Skew | -0.35 | -0.06 |
| Kurtosis | 0.46 | 1.07 |
| Expected Daily | -0.0% | 0.01% |
| Expected Monthly | -0.05% | 0.13% |
| Expected Yearly | -0.22% | 0.58% |
| Kelly Criterion | -0.47% | -0.11% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.58% | -0.56% |
| Expected Shortfall (cVaR) | -0.58% | -0.56% |
| Max Consecutive Wins | 6 | 9 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | -0.01 | 0.06 |
| Gain/Pain (1M) | -0.06 | 0.3 |
| Payoff Ratio | 0.97 | 0.97 |
| Profit Factor | 0.99 | 1.06 |
| Common Sense Ratio | 0.69 | 1.02 |
| CPC Index | 0.48 | 0.52 |
| Tail Ratio | 0.7 | 0.97 |
| Outlier Win Ratio | 2.87 | 2.94 |
| Outlier Loss Ratio | 3.03 | 3.41 |
| MTD | -2.23% | -0.81% |
| 3M | -3.77% | -2.04% |
| 6M | -3.15% | -1.58% |
| YTD | -4.58% | -2.93% |
| 1Y | -0.45% | 1.17% |
| 3Y (ann.) | -0.61% | 1.6% |
| 5Y (ann.) | -0.61% | 1.6% |
| 10Y (ann.) | -0.61% | 1.6% |
| All-time (ann.) | -0.61% | 1.6% |
| Best Day | 1.08% | 1.08% |
| Worst Day | -0.99% | -1.07% |
| Best Month | 3.39% | 3.23% |
| Worst Month | -2.41% | -2.14% |
| Best Year | 4.33% | 4.22% |
| Worst Year | -4.58% | -2.93% |
| Avg. Drawdown | -1.13% | -1.2% |
| Avg. Drawdown Days | 22 | 29 |
| Recovery Factor | -0.09 | 0.24 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | -0.4 | -0.34 |
| Avg. Up Month | 1.14% | 1.1% |
| Avg. Down Month | -1.5% | -1.07% |
| Win Days | 50.59% | 50.58% |
| Win Month | 55.56% | 55.56% |
| Win Quarter | 75.0% | 75.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.66 | - |
| Alpha | -0.02 | - |
| Correlation | 65.26% | - |
| Treynor Ratio | -11.23% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 4.22 | 4.33 | 1.03 | + |
| 2022 | -2.93 | -4.58 | 1.57 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-16 | 2022-02-25 | -5.18 | 101 |
| 2021-08-04 | 2021-10-26 | -1.79 | 83 |
| 2021-10-28 | 2021-11-08 | -1.49 | 11 |
| 2021-06-11 | 2021-07-02 | -1.31 | 21 |
| 2021-07-29 | 2021-07-30 | -0.62 | 1 |
| 2021-07-21 | 2021-07-22 | -0.40 | 1 |
| 2021-07-16 | 2021-07-19 | -0.18 | 3 |
| 2021-07-05 | 2021-07-06 | -0.13 | 1 |
| 2021-11-10 | 2021-11-12 | -0.10 | 2 |
| 2021-06-07 | 2021-06-08 | -0.06 | 1 |