| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 96.0% | 96.0% |
| Cumulative Return | -16.99% | -14.53% |
| CAGR﹪ | -28.94% | -25.02% |
| Sharpe | -6.95 | -8.6 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -5.24 | -6.49 |
| Sortino | -7.08 | -8.24 |
| Smart Sortino | -5.34 | -6.22 |
| Sortino/√2 | -5.01 | -5.83 |
| Smart Sortino/√2 | -3.78 | -4.4 |
| Omega | 0.25 | 0.25 |
| Max Drawdown | -27.54% | -23.23% |
| Longest DD Days | 108 | 108 |
| Volatility (ann.) | 34.69% | 27.61% |
| R^2 | 0.76 | 0.76 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -1.05 | -1.08 |
| Skew | -1.64 | -0.49 |
| Kurtosis | 16.3 | 3.49 |
| Expected Daily | -0.15% | -0.13% |
| Expected Monthly | -2.63% | -2.22% |
| Expected Yearly | -8.89% | -7.55% |
| Kelly Criterion | -11.39% | -15.84% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.72% | -2.97% |
| Expected Shortfall (cVaR) | -3.72% | -2.97% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 5 | 8 |
| Gain/Pain Ratio | -0.18 | -0.17 |
| Gain/Pain (1M) | -0.7 | -0.67 |
| Payoff Ratio | 0.83 | 0.83 |
| Profit Factor | 0.82 | 0.83 |
| Common Sense Ratio | 0.76 | 0.64 |
| CPC Index | 0.34 | 0.33 |
| Tail Ratio | 0.92 | 0.77 |
| Outlier Win Ratio | 3.87 | 4.12 |
| Outlier Loss Ratio | 3.1 | 3.54 |
| MTD | -4.23% | -2.85% |
| 3M | -18.81% | -16.84% |
| 6M | -16.25% | -13.52% |
| YTD | -15.71% | -13.68% |
| 1Y | -16.99% | -14.53% |
| 3Y (ann.) | -28.94% | -25.02% |
| 5Y (ann.) | -28.94% | -25.02% |
| 10Y (ann.) | -28.94% | -25.02% |
| All-time (ann.) | -28.94% | -25.02% |
| Best Day | 9.18% | 5.65% |
| Worst Day | -14.31% | -7.68% |
| Best Month | 6.8% | 6.72% |
| Worst Month | -11.99% | -11.14% |
| Best Year | -1.52% | -0.99% |
| Worst Year | -15.71% | -13.68% |
| Avg. Drawdown | -6.57% | -5.68% |
| Avg. Drawdown Days | 30 | 31 |
| Recovery Factor | -0.62 | -0.63 |
| Ulcer Index | 0.08 | 0.08 |
| Serenity Index | -12.68 | -10.0 |
| Avg. Up Month | 6.8% | 6.72% |
| Avg. Down Month | -4.76% | -4.33% |
| Win Days | 49.57% | 47.41% |
| Win Month | 14.29% | 28.57% |
| Win Quarter | 33.33% | 33.33% |
| Win Year | 0.0% | 0.0% |
| Beta | 1.09 | - |
| Alpha | -0.01 | - |
| Correlation | 86.91% | - |
| Treynor Ratio | -656.55% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -0.99 | -1.52 | 1.54 | - |
| 2022 | -13.68 | -15.71 | 1.15 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-09 | 2022-02-25 | -27.54 | 108 |
| 2021-09-07 | 2021-10-19 | -5.50 | 42 |
| 2021-08-11 | 2021-08-30 | -4.56 | 19 |
| 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 |