| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 3.81% | 16.87% |
| CAGR﹪ | 1.82% | 7.79% |
| Sharpe | -7.95 | -10.09 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -6.6 | -8.38 |
| Sortino | -7.61 | -9.17 |
| Smart Sortino | -6.32 | -7.61 |
| Sortino/√2 | -5.38 | -6.48 |
| Smart Sortino/√2 | -4.47 | -5.38 |
| Omega | 0.21 | 0.21 |
| Max Drawdown | -31.09% | -30.57% |
| Longest DD Days | 181 | 181 |
| Volatility (ann.) | 25.61% | 19.74% |
| R^2 | 0.47 | 0.47 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.06 | 0.25 |
| Skew | -1.98 | -0.8 |
| Kurtosis | 17.97 | 11.45 |
| Expected Daily | 0.01% | 0.03% |
| Expected Monthly | 0.14% | 0.6% |
| Expected Yearly | 1.26% | 5.34% |
| Kelly Criterion | -2.49% | 1.17% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.63% | -2.01% |
| Expected Shortfall (cVaR) | -2.63% | -2.01% |
| Max Consecutive Wins | 6 | 12 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.04 | 0.1 |
| Gain/Pain (1M) | 0.22 | 0.48 |
| Payoff Ratio | 0.77 | 0.83 |
| Profit Factor | 1.04 | 1.1 |
| Common Sense Ratio | 0.93 | 1.15 |
| CPC Index | 0.44 | 0.5 |
| Tail Ratio | 0.89 | 1.04 |
| Outlier Win Ratio | 3.45 | 4.49 |
| Outlier Loss Ratio | 3.5 | 4.78 |
| MTD | -15.75% | -3.69% |
| 3M | -19.53% | -8.32% |
| 6M | -18.0% | -7.26% |
| YTD | -19.44% | -8.18% |
| 1Y | -16.23% | -3.43% |
| 3Y (ann.) | 1.82% | 7.79% |
| 5Y (ann.) | 1.82% | 7.79% |
| 10Y (ann.) | 1.82% | 7.79% |
| All-time (ann.) | 1.82% | 7.79% |
| Best Day | 7.62% | 7.55% |
| Worst Day | -15.29% | -8.49% |
| Best Month | 11.23% | 11.34% |
| Worst Month | -15.75% | -10.76% |
| Best Year | 16.54% | 15.48% |
| Worst Year | -19.44% | -8.18% |
| Avg. Drawdown | -3.0% | -3.27% |
| Avg. Drawdown Days | 19 | 26 |
| Recovery Factor | 0.12 | 0.55 |
| Ulcer Index | 0.07 | 0.07 |
| Serenity Index | -11.19 | -9.05 |
| Avg. Up Month | 4.08% | 4.22% |
| Avg. Down Month | -4.95% | -4.15% |
| Win Days | 55.27% | 55.29% |
| Win Month | 57.69% | 57.69% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 66.67% | 66.67% |
| Beta | 0.89 | - |
| Alpha | -0.03 | - |
| Correlation | 68.79% | - |
| Treynor Ratio | -780.01% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 15.48 | 16.54 | 1.07 | + |
| 2021 | 10.22 | 10.57 | 1.03 | + |
| 2022 | -8.18 | -19.44 | 2.38 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-13 | 2020-08-12 | -31.09 | 181 |
| 2021-11-08 | 2022-02-25 | -22.95 | 109 |
| 2020-08-28 | 2020-11-09 | -7.56 | 73 |
| 2021-02-18 | 2021-04-16 | -5.90 | 57 |
| 2021-09-16 | 2021-11-05 | -5.64 | 50 |
| 2021-01-27 | 2021-02-08 | -3.99 | 12 |
| 2021-07-15 | 2021-09-01 | -3.35 | 48 |
| 2021-04-19 | 2021-06-01 | -3.34 | 43 |
| 2020-08-20 | 2020-08-24 | -1.81 | 4 |
| 2021-06-16 | 2021-06-25 | -1.80 | 9 |