| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 91.0% | 91.0% |
| Cumulative Return | -26.62% | -18.37% |
| CAGR﹪ | -97.39% | -90.84% |
| Sharpe | -6.02 | -4.03 |
| Prob. Sharpe Ratio | 3.38% | 9.98% |
| Smart Sharpe | -4.23 | -2.84 |
| Sortino | -6.22 | -4.35 |
| Smart Sortino | -4.38 | -3.06 |
| Sortino/√2 | -4.4 | -3.08 |
| Smart Sortino/√2 | -3.1 | -2.17 |
| Omega | 0.29 | 0.29 |
| Max Drawdown | -31.77% | -28.58% |
| Longest DD Days | 18 | 14 |
| Volatility (ann.) | 107.86% | 103.02% |
| R^2 | 0.72 | 0.72 |
| Information Ratio | -0.25 | -0.25 |
| Calmar | -3.07 | -3.18 |
| Skew | -1.15 | -1.64 |
| Kurtosis | 1.71 | 3.0 |
| Expected Daily | -2.77% | -1.83% |
| Expected Monthly | -14.34% | -9.65% |
| Expected Yearly | -26.62% | -18.37% |
| Kelly Criterion | -86.06% | -29.74% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -13.72% | -12.3% |
| Expected Shortfall (cVaR) | -13.72% | -12.3% |
| Max Consecutive Wins | 2 | 3 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | -0.71 | -0.55 |
| Gain/Pain (1M) | -0.84 | -0.74 |
| Payoff Ratio | 0.6 | 0.63 |
| Profit Factor | 0.29 | 0.45 |
| Common Sense Ratio | 0.1 | 0.16 |
| CPC Index | 0.05 | 0.14 |
| Tail Ratio | 0.33 | 0.35 |
| Outlier Win Ratio | 2.01 | 2.31 |
| Outlier Loss Ratio | 2.99 | 2.57 |
| MTD | -30.16% | -23.29% |
| 3M | -26.62% | -18.37% |
| 6M | -26.62% | -18.37% |
| YTD | -26.62% | -18.37% |
| 1Y | -26.62% | -18.37% |
| 3Y (ann.) | -97.39% | -90.84% |
| 5Y (ann.) | -97.39% | -90.84% |
| 10Y (ann.) | -97.39% | -90.84% |
| All-time (ann.) | -97.39% | -90.84% |
| Best Day | 7.18% | 4.85% |
| Worst Day | -17.74% | -17.54% |
| Best Month | 5.07% | 6.41% |
| Worst Month | -30.16% | -23.29% |
| Best Year | -26.62% | -18.37% |
| Worst Year | -26.62% | -18.37% |
| Avg. Drawdown | -16.87% | -14.65% |
| Avg. Drawdown Days | 10 | 8 |
| Recovery Factor | -0.84 | -0.64 |
| Ulcer Index | 0.12 | 0.11 |
| Serenity Index | -0.81 | -0.69 |
| Avg. Up Month | 5.07% | 6.41% |
| Avg. Down Month | -30.16% | -23.29% |
| 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 | 0.89 | - |
| Alpha | -2.79 | - |
| Correlation | 84.96% | - |
| Treynor Ratio | -37.79% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | -18.37 | -26.62 | 1.45 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-07 | 2022-02-25 | -31.77 | 18 |
| 2022-01-26 | 2022-01-28 | -1.97 | 2 |