| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 88.0% | 98.0% |
| Cumulative Return | -8.33% | -3.93% |
| CAGR﹪ | -27.66% | -13.88% |
| Sharpe | -1.93 | -0.81 |
| Prob. Sharpe Ratio | 10.26% | 23.3% |
| Smart Sharpe | -1.49 | -0.62 |
| Sortino | -2.34 | -1.09 |
| Smart Sortino | -1.8 | -0.84 |
| Sortino/√2 | -1.65 | -0.77 |
| Smart Sortino/√2 | -1.28 | -0.6 |
| Omega | 0.71 | 0.71 |
| Max Drawdown | -13.3% | -12.6% |
| Longest DD Days | 81 | 85 |
| Volatility (ann.) | 25.41% | 29.28% |
| R^2 | 0.3 | 0.3 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | -2.08 | -1.1 |
| Skew | -1.02 | -0.05 |
| Kurtosis | 2.94 | -0.23 |
| Expected Daily | -0.18% | -0.08% |
| Expected Monthly | -1.72% | -0.8% |
| Expected Yearly | -4.25% | -1.99% |
| Kelly Criterion | -24.12% | 0.09% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.8% | -3.1% |
| Expected Shortfall (cVaR) | -2.8% | -3.1% |
| Max Consecutive Wins | 4 | 4 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | -0.26 | -0.09 |
| Gain/Pain (1M) | -0.79 | -0.33 |
| Payoff Ratio | 0.62 | 0.88 |
| Profit Factor | 0.74 | 0.91 |
| Common Sense Ratio | 0.77 | 0.86 |
| CPC Index | 0.24 | 0.43 |
| Tail Ratio | 1.03 | 0.94 |
| Outlier Win Ratio | 3.8 | 2.41 |
| Outlier Loss Ratio | 2.76 | 2.56 |
| MTD | 0.0% | -0.77% |
| 3M | -10.28% | -5.33% |
| 6M | -8.33% | -3.93% |
| YTD | -10.28% | -5.33% |
| 1Y | -8.33% | -3.93% |
| 3Y (ann.) | -27.66% | -13.88% |
| 5Y (ann.) | -27.66% | -13.88% |
| 10Y (ann.) | -27.66% | -13.88% |
| All-time (ann.) | -27.66% | -13.88% |
| Best Day | 2.51% | 4.03% |
| Worst Day | -6.13% | -4.21% |
| Best Month | 2.18% | 4.15% |
| Worst Month | -8.8% | -8.83% |
| Best Year | 2.18% | 1.48% |
| Worst Year | -10.28% | -5.33% |
| Avg. Drawdown | -4.68% | -4.42% |
| Avg. Drawdown Days | 28 | 29 |
| Recovery Factor | -0.63 | -0.31 |
| Ulcer Index | 0.09 | 0.07 |
| Serenity Index | -0.19 | -0.27 |
| Avg. Up Month | 2.18% | 1.48% |
| Avg. Down Month | -8.8% | -8.83% |
| Win Days | 52.38% | 53.19% |
| Win Month | 33.33% | 60.0% |
| Win Quarter | 50.0% | 33.33% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.48 | - |
| Alpha | -0.34 | - |
| Correlation | 54.82% | - |
| Treynor Ratio | -32.21% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.48 | 2.18 | 1.47 | + |
| 2022 | -5.33 | -10.28 | 1.93 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-10 | 2022-04-01 | -13.30 | 81 |
| 2022-01-05 | 2022-01-06 | -0.69 | 1 |
| 2022-01-03 | 2022-01-04 | -0.06 | 1 |