| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -18.47% | -1.4% |
| CAGR﹪ | -36.88% | -3.13% |
| Sharpe | -5.13 | -4.24 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -4.09 | -3.38 |
| Sortino | -5.51 | -4.84 |
| Smart Sortino | -4.39 | -3.86 |
| Sortino/√2 | -3.89 | -3.42 |
| Smart Sortino/√2 | -3.1 | -2.73 |
| Omega | 0.42 | 0.42 |
| Max Drawdown | -20.06% | -10.4% |
| Longest DD Days | 107 | 52 |
| Volatility (ann.) | 22.25% | 16.79% |
| R^2 | 0.15 | 0.15 |
| Information Ratio | -0.12 | -0.12 |
| Calmar | -1.84 | -0.3 |
| Skew | -0.8 | -0.15 |
| Kurtosis | 2.32 | -0.28 |
| Expected Daily | -0.19% | -0.01% |
| Expected Monthly | -3.35% | -0.23% |
| Expected Yearly | -9.71% | -0.7% |
| Kelly Criterion | -21.65% | 2.68% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.48% | -1.75% |
| Expected Shortfall (cVaR) | -2.48% | -1.75% |
| Max Consecutive Wins | 5 | 7 |
| Max Consecutive Losses | 7 | 4 |
| Gain/Pain Ratio | -0.29 | -0.02 |
| Gain/Pain (1M) | -0.69 | -0.06 |
| Payoff Ratio | 0.87 | 0.91 |
| Profit Factor | 0.71 | 0.98 |
| Common Sense Ratio | 0.61 | 0.88 |
| CPC Index | 0.27 | 0.48 |
| Tail Ratio | 0.86 | 0.89 |
| Outlier Win Ratio | 2.48 | 3.22 |
| Outlier Loss Ratio | 3.01 | 3.6 |
| MTD | -13.29% | -2.77% |
| 3M | -15.76% | -6.4% |
| 6M | -18.47% | -1.4% |
| YTD | -16.28% | -8.04% |
| 1Y | -18.47% | -1.4% |
| 3Y (ann.) | -36.88% | -3.13% |
| 5Y (ann.) | -36.88% | -3.13% |
| 10Y (ann.) | -36.88% | -3.13% |
| All-time (ann.) | -36.88% | -3.13% |
| Best Day | 2.79% | 2.45% |
| Worst Day | -5.86% | -2.43% |
| Best Month | 4.54% | 7.01% |
| Worst Month | -13.29% | -5.42% |
| Best Year | -2.62% | 7.22% |
| Worst Year | -16.28% | -8.04% |
| Avg. Drawdown | -5.09% | -2.22% |
| Avg. Drawdown Days | 25 | 12 |
| Recovery Factor | -0.92 | -0.13 |
| Ulcer Index | 0.06 | 0.04 |
| Serenity Index | -2.71 | -3.61 |
| Avg. Up Month | 4.27% | 5.88% |
| Avg. Down Month | -6.86% | -3.14% |
| Win Days | 43.52% | 53.7% |
| Win Month | 33.33% | 33.33% |
| Win Quarter | 33.33% | 33.33% |
| Win Year | 0.0% | 50.0% |
| Beta | 0.51 | - |
| Alpha | -0.44 | - |
| Correlation | 38.37% | - |
| Treynor Ratio | -233.06% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.22 | -2.62 | -0.36 | - |
| 2022 | -8.04 | -16.28 | 2.03 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-10 | 2022-02-25 | -20.06 | 107 |
| 2021-09-24 | 2021-10-26 | -5.16 | 32 |
| 2021-09-17 | 2021-09-23 | -3.26 | 6 |
| 2021-10-29 | 2021-11-02 | -0.76 | 4 |
| 2021-11-08 | 2021-11-09 | -0.66 | 1 |
| 2021-10-27 | 2021-10-28 | -0.61 | 1 |