| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 88.0% | 88.0% |
| Cumulative Return | -7.65% | -6.26% |
| CAGR﹪ | -94.52% | -90.57% |
| Sharpe | -4.07 | -4.01 |
| Prob. Sharpe Ratio | 12.1% | 21.1% |
| Smart Sharpe | -2.73 | -2.69 |
| Sortino | -4.4 | -5.08 |
| Smart Sortino | -2.95 | -3.4 |
| Sortino/√2 | -3.11 | -3.59 |
| Smart Sortino/√2 | -2.09 | -2.41 |
| Omega | 0.31 | 0.31 |
| Max Drawdown | -10.55% | -10.49% |
| Longest DD Days | 7 | 9 |
| Volatility (ann.) | 58.93% | 49.64% |
| R^2 | 0.44 | 0.44 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | -8.96 | -8.64 |
| Skew | -2.24 | 0.26 |
| Kurtosis | 6.1 | 1.29 |
| Expected Daily | -0.99% | -0.81% |
| Expected Monthly | -7.65% | -6.26% |
| Expected Yearly | -7.65% | -6.26% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.01% | 0.01% |
| Daily Value-at-Risk | -7.03% | -5.91% |
| Expected Shortfall (cVaR) | -7.03% | -5.91% |
| Max Consecutive Wins | 1 | 1 |
| Max Consecutive Losses | 4 | 2 |
| Gain/Pain Ratio | -0.68 | -0.51 |
| Gain/Pain (1M) | -1.0 | -1.0 |
| Payoff Ratio | - | - |
| Profit Factor | 0.32 | 0.49 |
| Common Sense Ratio | 0.1 | 0.36 |
| CPC Index | - | - |
| Tail Ratio | 0.33 | 0.73 |
| Outlier Win Ratio | 3.28 | 1.89 |
| Outlier Loss Ratio | 3.39 | 3.04 |
| MTD | -7.65% | -6.26% |
| 3M | -7.65% | -6.26% |
| 6M | -7.65% | -6.26% |
| YTD | -7.65% | -6.26% |
| 1Y | -7.65% | -6.26% |
| 3Y (ann.) | -94.52% | -90.57% |
| 5Y (ann.) | -94.52% | -90.57% |
| 10Y (ann.) | -94.52% | -90.57% |
| All-time (ann.) | -94.52% | -90.57% |
| Best Day | 3.06% | 4.88% |
| Worst Day | -9.67% | -5.85% |
| Best Month | -7.65% | -6.26% |
| Worst Month | -7.65% | -6.26% |
| Best Year | -7.65% | -6.26% |
| Worst Year | -7.65% | -6.26% |
| Avg. Drawdown | -5.37% | -10.49% |
| Avg. Drawdown Days | 4 | 9 |
| Recovery Factor | -0.72 | -0.6 |
| Ulcer Index | 0.05 | 0.07 |
| Serenity Index | -1.16 | -0.53 |
| Avg. Up Month | - | - |
| Avg. Down Month | -7.65% | -6.26% |
| Win Days | 28.57% | 28.57% |
| Win Month | 0.0% | 0.0% |
| Win Quarter | 0.0% | 0.0% |
| Win Year | 0.0% | 0.0% |
| Beta | -0.79 | - |
| Alpha | -3.84 | - |
| Correlation | -66.24% | - |
| Treynor Ratio | 18.62% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | -6.26 | -7.65 | 1.22 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-18 | 2022-02-25 | -10.55 | 7 |
| 2022-02-16 | 2022-02-17 | -0.18 | 1 |