| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 92.0% | 93.0% |
| Cumulative Return | -5.94% | -8.6% |
| CAGR﹪ | -13.04% | -18.55% |
| Sharpe | -0.85 | -1.44 |
| Prob. Sharpe Ratio | 16.4% | 9.26% |
| Smart Sharpe | -0.67 | -1.13 |
| Sortino | -1.13 | -1.76 |
| Smart Sortino | -0.89 | -1.38 |
| Sortino/√2 | -0.8 | -1.24 |
| Smart Sortino/√2 | -0.63 | -0.98 |
| Omega | 0.86 | 0.86 |
| Max Drawdown | -10.71% | -13.85% |
| Longest DD Days | 99 | 98 |
| Volatility (ann.) | 25.82% | 21.97% |
| R^2 | 0.67 | 0.67 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | -1.22 | -1.34 |
| Skew | -0.37 | -0.98 |
| Kurtosis | 1.1 | 3.4 |
| Expected Daily | -0.07% | -0.11% |
| Expected Monthly | -1.02% | -1.49% |
| Expected Yearly | -3.02% | -4.4% |
| Kelly Criterion | -3.8% | -5.74% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.74% | -2.38% |
| Expected Shortfall (cVaR) | -2.74% | -2.38% |
| Max Consecutive Wins | 5 | 7 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | -0.1 | -0.19 |
| Gain/Pain (1M) | -0.37 | -0.49 |
| Payoff Ratio | 0.88 | 0.83 |
| Profit Factor | 0.9 | 0.81 |
| Common Sense Ratio | 1.01 | 0.58 |
| CPC Index | 0.41 | 0.35 |
| Tail Ratio | 1.12 | 0.72 |
| Outlier Win Ratio | 2.85 | 3.89 |
| Outlier Loss Ratio | 3.45 | 4.21 |
| MTD | -2.26% | -7.02% |
| 3M | -9.52% | -12.87% |
| 6M | -5.94% | -8.6% |
| YTD | -7.95% | -11.61% |
| 1Y | -5.94% | -8.6% |
| 3Y (ann.) | -13.04% | -18.55% |
| 5Y (ann.) | -13.04% | -18.55% |
| 10Y (ann.) | -13.04% | -18.55% |
| All-time (ann.) | -13.04% | -18.55% |
| Best Day | 3.43% | 3.96% |
| Worst Day | -4.97% | -5.04% |
| Best Month | 5.52% | 4.76% |
| Worst Month | -5.81% | -7.02% |
| Best Year | 2.18% | 3.4% |
| Worst Year | -7.95% | -11.61% |
| Avg. Drawdown | -3.4% | -4.13% |
| Avg. Drawdown Days | 23 | 25 |
| Recovery Factor | -0.55 | -0.62 |
| Ulcer Index | 0.05 | 0.05 |
| Serenity Index | -0.52 | -0.56 |
| Avg. Up Month | 4.21% | 4.29% |
| Avg. Down Month | -3.5% | -4.23% |
| Win Days | 51.32% | 51.95% |
| Win Month | 33.33% | 33.33% |
| Win Quarter | 33.33% | 33.33% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.96 | - |
| Alpha | 0.09 | - |
| Correlation | 81.93% | - |
| Treynor Ratio | -13.44% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.40 | 2.18 | 0.64 | - |
| 2022 | -11.61 | -7.95 | 0.68 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-17 | 2022-02-24 | -10.71 | 99 |
| 2021-09-29 | 2021-10-15 | -4.72 | 16 |
| 2021-09-20 | 2021-09-27 | -2.48 | 7 |
| 2021-10-18 | 2021-10-25 | -1.76 | 7 |
| 2021-11-09 | 2021-11-12 | -0.47 | 3 |
| 2021-10-27 | 2021-11-01 | -0.29 | 5 |