| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -7.55% | -37.61% |
| CAGR﹪ | -15.93% | -64.78% |
| Sharpe | -10.07 | -4.37 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -8.68 | -3.77 |
| Sortino | -8.95 | -4.73 |
| Smart Sortino | -7.71 | -4.07 |
| Sortino/√2 | -6.33 | -3.34 |
| Smart Sortino/√2 | -5.45 | -2.88 |
| Omega | 0.17 | 0.17 |
| Max Drawdown | -11.5% | -51.26% |
| Longest DD Days | 58 | 127 |
| Volatility (ann.) | 22.18% | 65.55% |
| R^2 | 0.06 | 0.06 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | -1.39 | -1.26 |
| Skew | -0.92 | -3.61 |
| Kurtosis | 4.27 | 40.05 |
| Expected Daily | -0.07% | -0.41% |
| Expected Monthly | -1.3% | -7.56% |
| Expected Yearly | -3.85% | -21.01% |
| Kelly Criterion | -2.68% | -19.03% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.36% | -7.1% |
| Expected Shortfall (cVaR) | -2.36% | -7.1% |
| Max Consecutive Wins | 8 | 6 |
| Max Consecutive Losses | 7 | 4 |
| Gain/Pain Ratio | -0.11 | -0.29 |
| Gain/Pain (1M) | -0.48 | -0.92 |
| Payoff Ratio | 0.97 | 0.78 |
| Profit Factor | 0.89 | 0.71 |
| Common Sense Ratio | 0.82 | 0.54 |
| CPC Index | 0.43 | 0.26 |
| Tail Ratio | 0.92 | 0.76 |
| Outlier Win Ratio | 3.35 | 2.08 |
| Outlier Loss Ratio | 5.99 | 3.16 |
| MTD | -6.91% | -30.02% |
| 3M | -6.76% | -36.5% |
| 6M | -7.55% | -37.61% |
| YTD | -6.95% | -34.42% |
| 1Y | -7.55% | -37.61% |
| 3Y (ann.) | -15.93% | -64.78% |
| 5Y (ann.) | -15.93% | -64.78% |
| 10Y (ann.) | -15.93% | -64.78% |
| All-time (ann.) | -15.93% | -64.78% |
| Best Day | 2.97% | 20.04% |
| Worst Day | -6.92% | -33.28% |
| Best Month | 4.86% | 1.62% |
| Worst Month | -6.91% | -30.02% |
| Best Year | -0.64% | -4.86% |
| Worst Year | -6.95% | -34.42% |
| Avg. Drawdown | -6.74% | -9.44% |
| Avg. Drawdown Days | 39 | 25 |
| Recovery Factor | -0.66 | -0.73 |
| Ulcer Index | 0.05 | 0.13 |
| Serenity Index | -28.91 | -10.09 |
| Avg. Up Month | 1.98% | 1.56% |
| Avg. Down Month | -3.05% | -14.19% |
| Win Days | 49.57% | 47.83% |
| Win Month | 33.33% | 33.33% |
| Win Quarter | 33.33% | 33.33% |
| Win Year | 0.0% | 0.0% |
| Beta | -0.08 | - |
| Alpha | -0.21 | - |
| Correlation | -24.24% | - |
| Treynor Ratio | 8629.16% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -4.86 | -0.64 | 0.13 | + |
| 2022 | -34.42 | -6.95 | 0.20 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-06 | 2022-02-25 | -11.50 | 50 |
| 2021-11-23 | 2022-01-04 | -7.63 | 42 |
| 2021-09-15 | 2021-11-12 | -6.58 | 58 |
| 2021-11-15 | 2021-11-22 | -1.26 | 7 |