| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 91.0% | 91.0% |
| Cumulative Return | -26.62% | -21.63% |
| CAGR﹪ | -97.39% | -94.33% |
| Sharpe | -6.02 | -4.1 |
| Prob. Sharpe Ratio | 3.38% | 10.79% |
| Smart Sharpe | -4.23 | -2.88 |
| Sortino | -6.22 | -4.48 |
| Smart Sortino | -4.38 | -3.15 |
| Sortino/√2 | -4.4 | -3.16 |
| Smart Sortino/√2 | -3.1 | -2.23 |
| Omega | 0.29 | 0.29 |
| Max Drawdown | -31.77% | -26.53% |
| Longest DD Days | 18 | 14 |
| Volatility (ann.) | 107.86% | 119.35% |
| R^2 | 0.66 | 0.66 |
| Information Ratio | -0.14 | -0.14 |
| Calmar | -3.07 | -3.56 |
| Skew | -1.15 | -1.2 |
| Kurtosis | 1.71 | 0.65 |
| Expected Daily | -2.77% | -2.19% |
| Expected Monthly | -14.34% | -11.48% |
| Expected Yearly | -26.62% | -21.63% |
| Kelly Criterion | -92.68% | -60.52% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -13.72% | -14.28% |
| Expected Shortfall (cVaR) | -13.72% | -14.28% |
| Max Consecutive Wins | 2 | 2 |
| Max Consecutive Losses | 4 | 1 |
| Gain/Pain Ratio | -0.71 | -0.54 |
| Gain/Pain (1M) | -0.84 | -0.83 |
| Payoff Ratio | 0.57 | 0.45 |
| Profit Factor | 0.29 | 0.46 |
| Common Sense Ratio | 0.1 | 0.18 |
| CPC Index | 0.05 | 0.1 |
| Tail Ratio | 0.33 | 0.38 |
| Outlier Win Ratio | 2.28 | 2.19 |
| Outlier Loss Ratio | 2.94 | 2.13 |
| MTD | -30.16% | -24.84% |
| 3M | -26.62% | -21.63% |
| 6M | -26.62% | -21.63% |
| YTD | -26.62% | -21.63% |
| 1Y | -26.62% | -21.63% |
| 3Y (ann.) | -97.39% | -94.33% |
| 5Y (ann.) | -97.39% | -94.33% |
| 10Y (ann.) | -97.39% | -94.33% |
| All-time (ann.) | -97.39% | -94.33% |
| Best Day | 7.18% | 6.3% |
| Worst Day | -17.74% | -16.09% |
| Best Month | 5.07% | 4.26% |
| Worst Month | -30.16% | -24.84% |
| Best Year | -26.62% | -21.63% |
| Worst Year | -26.62% | -21.63% |
| Avg. Drawdown | -16.87% | -10.13% |
| Avg. Drawdown Days | 10 | 6 |
| Recovery Factor | -0.84 | -0.82 |
| Ulcer Index | 0.12 | 0.11 |
| Serenity Index | -0.81 | -0.93 |
| Avg. Up Month | 5.07% | 4.26% |
| Avg. Down Month | -30.16% | -24.84% |
| Win Days | 30.0% | 50.0% |
| Win Month | 50.0% | 50.0% |
| Win Quarter | 0.0% | 0.0% |
| Win Year | 0.0% | 0.0% |
| Beta | 0.73 | - |
| Alpha | -2.88 | - |
| Correlation | 81.23% | - |
| Treynor Ratio | -45.79% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | -21.63 | -26.62 | 1.23 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-07 | 2022-02-25 | -31.77 | 18 |
| 2022-01-26 | 2022-01-28 | -1.97 | 2 |