| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | -15.41% | -0.2% |
| CAGR﹪ | -25.87% | -0.36% |
| Sharpe | -2.8 | -4.04 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -2.14 | -3.09 |
| Sortino | -3.32 | -4.61 |
| Smart Sortino | -2.54 | -3.52 |
| Sortino/√2 | -2.35 | -3.26 |
| Smart Sortino/√2 | -1.79 | -2.49 |
| Omega | 0.56 | 0.56 |
| Max Drawdown | -27.54% | -10.4% |
| Longest DD Days | 108 | 50 |
| Volatility (ann.) | 34.96% | 16.91% |
| R^2 | 0.2 | 0.2 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | -0.94 | -0.03 |
| Skew | -1.64 | -0.38 |
| Kurtosis | 15.94 | 0.58 |
| Expected Daily | -0.14% | -0.0% |
| Expected Monthly | -2.36% | -0.03% |
| Expected Yearly | -8.02% | -0.1% |
| Kelly Criterion | -1.54% | -3.81% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.74% | -1.75% |
| Expected Shortfall (cVaR) | -3.74% | -1.75% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | -0.16 | 0.01 |
| Gain/Pain (1M) | -0.62 | 0.04 |
| Payoff Ratio | 0.95 | 0.79 |
| Profit Factor | 0.84 | 1.01 |
| Common Sense Ratio | 0.78 | 0.95 |
| CPC Index | 0.41 | 0.43 |
| Tail Ratio | 0.92 | 0.94 |
| Outlier Win Ratio | 2.91 | 4.48 |
| Outlier Loss Ratio | 2.42 | 4.18 |
| MTD | -4.23% | -2.77% |
| 3M | -18.81% | -6.03% |
| 6M | -16.25% | -1.57% |
| YTD | -15.71% | -8.04% |
| 1Y | -15.41% | -0.2% |
| 3Y (ann.) | -25.87% | -0.36% |
| 5Y (ann.) | -25.87% | -0.36% |
| 10Y (ann.) | -25.87% | -0.36% |
| All-time (ann.) | -25.87% | -0.36% |
| Best Day | 9.18% | 2.32% |
| Worst Day | -14.31% | -3.66% |
| Best Month | 6.8% | 7.01% |
| Worst Month | -11.99% | -5.42% |
| Best Year | 0.36% | 8.52% |
| Worst Year | -15.71% | -8.04% |
| Avg. Drawdown | -5.51% | -2.0% |
| Avg. Drawdown Days | 22 | 11 |
| Recovery Factor | -0.56 | -0.02 |
| Ulcer Index | 0.08 | 0.03 |
| Serenity Index | -2.09 | -4.71 |
| Avg. Up Month | 4.13% | 4.63% |
| Avg. Down Month | -5.43% | -3.38% |
| Win Days | 50.43% | 54.17% |
| Win Month | 28.57% | 42.86% |
| Win Quarter | 33.33% | 33.33% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.92 | - |
| Alpha | -0.3 | - |
| Correlation | 44.56% | - |
| Treynor Ratio | -125.3% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 8.52 | 0.36 | 0.04 | - |
| 2022 | -8.04 | -15.71 | 1.96 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-09 | 2022-02-25 | -27.54 | 108 |
| 2021-09-27 | 2021-10-18 | -5.16 | 21 |
| 2021-08-11 | 2021-08-25 | -4.56 | 14 |
| 2021-09-08 | 2021-09-24 | -4.19 | 16 |
| 2021-08-26 | 2021-08-30 | -0.81 | 4 |
| 2021-08-31 | 2021-09-03 | -0.80 | 3 |
| 2021-10-22 | 2021-10-25 | -0.52 | 3 |
| 2021-10-28 | 2021-11-01 | -0.52 | 4 |