MTEK USD[Strategy] vs ^SP500TR USD[Benchmark]

21 Jan, 2022 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	100.0%	100.0%
Time in Market	85.0%	93.0%
Cumulative Return	-7.21%	-0.15%
CAGR﹪	-54.18%	-1.51%
Sharpe	-4.72	-2.79
Prob. Sharpe Ratio	0.0%	0.03%
Smart Sharpe	-4.29	-2.54
Sortino	-5.42	-3.37
Smart Sortino	-4.92	-3.06
Sortino/√2	-3.83	-2.38
Smart Sortino/√2	-3.48	-2.16
Omega	0.47	0.47
Max Drawdown	-10.1%	-6.09%
Longest DD Days	22	22
Volatility (ann.)	43.48%	24.85%
R^2	0.19	0.19
Information Ratio	-0.22	-0.22
Calmar	-5.36	-0.25
Skew	-0.06	-0.42
Kurtosis	-0.88	-1.01
Expected Daily	-0.57%	-0.01%
Expected Monthly	-3.67%	-0.07%
Expected Yearly	-7.21%	-0.15%
Kelly Criterion	-28.04%	-12.49%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-5.04%	-2.57%
Expected Shortfall (cVaR)	-5.04%	-2.57%
Max Consecutive Wins	3	4
Max Consecutive Losses	3	2
Gain/Pain Ratio	-0.39	0.0
Gain/Pain (1M)	-0.98	0.0
Payoff Ratio	0.74	0.59
Profit Factor	0.61	1.0
Common Sense Ratio	0.44	0.77
CPC Index	0.2	0.34
Tail Ratio	0.73	0.77
Outlier Win Ratio	1.83	2.8
Outlier Loss Ratio	1.25	2.29
MTD	-7.12%	-2.77%
3M	-7.21%	-0.15%
6M	-7.21%	-0.15%
YTD	-7.21%	-0.15%
1Y	-7.21%	-0.15%
3Y (ann.)	-54.18%	-1.51%
5Y (ann.)	-54.18%	-1.51%
10Y (ann.)	-54.18%	-1.51%
All-time (ann.)	-54.18%	-1.51%
Best Day	3.87%	1.9%
Worst Day	-4.99%	-2.52%
Best Month	-0.1%	2.7%
Worst Month	-7.12%	-2.77%
Best Year	-7.21%	-0.15%
Worst Year	-7.21%	-0.15%
Avg. Drawdown	-7.55%	-3.73%
Avg. Drawdown Days	15	12
Recovery Factor	-0.71	-0.02
Ulcer Index	0.05	0.03
Serenity Index	-6.98	-12.17
Avg. Up Month	-	-
Avg. Down Month	-7.12%	-2.77%
Win Days	45.45%	58.33%
Win Month	0.0%	50.0%
Win Quarter	0.0%	0.0%
Win Year	0.0%	0.0%
Beta	0.76	-
Alpha	-1.36	-
Correlation	43.32%	-
Treynor Ratio	-141.43%	-