| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | -16.03% | -21.55% |
| CAGR﹪ | -12.47% | -16.89% |
| Sharpe | -0.33 | -0.63 |
| Prob. Sharpe Ratio | 15.2% | 10.08% |
| Smart Sharpe | -0.29 | -0.55 |
| Sortino | -0.44 | -0.77 |
| Smart Sortino | -0.39 | -0.67 |
| Sortino/√2 | -0.31 | -0.54 |
| Smart Sortino/√2 | -0.28 | -0.48 |
| Omega | 0.94 | 0.94 |
| Max Drawdown | -45.88% | -44.49% |
| Longest DD Days | 473 | 473 |
| Volatility (ann.) | 57.49% | 52.49% |
| R^2 | 0.5 | 0.5 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | -0.27 | -0.38 |
| Skew | -0.6 | -1.84 |
| Kurtosis | 5.77 | 11.52 |
| Expected Daily | -0.12% | -0.16% |
| Expected Monthly | -1.16% | -1.61% |
| Expected Yearly | -8.37% | -11.43% |
| Kelly Criterion | -9.11% | -3.88% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.01% | -5.54% |
| Expected Shortfall (cVaR) | -6.01% | -5.54% |
| Max Consecutive Wins | 6 | 9 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | -0.04 | -0.1 |
| Gain/Pain (1M) | -0.12 | -0.24 |
| Payoff Ratio | 0.88 | 0.77 |
| Profit Factor | 0.96 | 0.9 |
| Common Sense Ratio | 0.87 | 0.73 |
| CPC Index | 0.41 | 0.38 |
| Tail Ratio | 0.9 | 0.81 |
| Outlier Win Ratio | 3.41 | 4.89 |
| Outlier Loss Ratio | 4.72 | 5.25 |
| MTD | 12.19% | 2.41% |
| 3M | 29.81% | 18.88% |
| 6M | 33.63% | 20.51% |
| YTD | 29.92% | 21.22% |
| 1Y | 33.69% | 20.85% |
| 3Y (ann.) | -12.47% | -16.89% |
| 5Y (ann.) | -12.47% | -16.89% |
| 10Y (ann.) | -12.47% | -16.89% |
| All-time (ann.) | -12.47% | -16.89% |
| Best Day | 15.03% | 11.95% |
| Worst Day | -17.74% | -19.93% |
| Best Month | 17.42% | 14.73% |
| Worst Month | -31.77% | -30.35% |
| Best Year | 29.92% | 21.22% |
| Worst Year | -35.37% | -35.29% |
| Avg. Drawdown | -45.88% | -44.49% |
| Avg. Drawdown Days | 473 | 473 |
| Recovery Factor | -0.35 | -0.48 |
| Ulcer Index | 0.33 | 0.32 |
| Serenity Index | -0.06 | -0.07 |
| Avg. Up Month | 8.66% | 7.24% |
| Avg. Down Month | -11.53% | -12.33% |
| Win Days | 48.98% | 54.67% |
| Win Month | 46.67% | 60.0% |
| Win Quarter | 50.0% | 50.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.77 | - |
| Alpha | 0.08 | - |
| Correlation | 70.64% | - |
| Treynor Ratio | -29.77% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | -35.29 | -35.37 | 1.00 | - |
| 2023 | 21.22 | 29.92 | 1.41 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-07 | 2023-05-26 | -45.88 | 473 |