| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 90.0% | 98.0% |
| Cumulative Return | -5.01% | 2.99% |
| CAGR﹪ | -13.75% | 8.85% |
| Sharpe | -7.85 | -2.0 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -5.65 | -1.44 |
| Sortino | -7.9 | -2.54 |
| Smart Sortino | -5.69 | -1.83 |
| Sortino/√2 | -5.59 | -1.8 |
| Smart Sortino/√2 | -4.02 | -1.29 |
| Omega | 0.25 | 0.25 |
| Max Drawdown | -6.31% | -9.73% |
| Longest DD Days | 96 | 41 |
| Volatility (ann.) | 12.86% | 23.96% |
| R^2 | 0.26 | 0.26 |
| Information Ratio | -0.16 | -0.16 |
| Calmar | -2.18 | 0.91 |
| Skew | 0.02 | -0.27 |
| Kurtosis | 1.85 | 0.87 |
| Expected Daily | -0.13% | 0.07% |
| Expected Monthly | -1.02% | 0.59% |
| Expected Yearly | -2.54% | 1.49% |
| Kelly Criterion | -16.1% | 14.84% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.46% | -2.4% |
| Expected Shortfall (cVaR) | -1.46% | -2.4% |
| Max Consecutive Wins | 2 | 6 |
| Max Consecutive Losses | 3 | 7 |
| Gain/Pain Ratio | -0.35 | 0.16 |
| Gain/Pain (1M) | -0.72 | 0.53 |
| Payoff Ratio | 0.83 | 1.18 |
| Profit Factor | 0.65 | 1.16 |
| Common Sense Ratio | 0.65 | 1.41 |
| CPC Index | 0.26 | 0.74 |
| Tail Ratio | 1.01 | 1.21 |
| Outlier Win Ratio | 5.82 | 2.33 |
| Outlier Loss Ratio | 3.78 | 2.45 |
| MTD | -1.53% | -0.91% |
| 3M | -5.85% | -3.48% |
| 6M | -5.01% | 2.99% |
| YTD | -4.92% | -6.42% |
| 1Y | -5.01% | 2.99% |
| 3Y (ann.) | -13.75% | 8.85% |
| 5Y (ann.) | -13.75% | 8.85% |
| 10Y (ann.) | -13.75% | 8.85% |
| All-time (ann.) | -13.75% | 8.85% |
| Best Day | 2.18% | 3.59% |
| Worst Day | -2.43% | -4.03% |
| Best Month | 1.09% | 4.4% |
| Worst Month | -3.44% | -5.56% |
| Best Year | -0.1% | 10.06% |
| Worst Year | -4.92% | -6.42% |
| Avg. Drawdown | -2.36% | -2.29% |
| Avg. Drawdown Days | 30 | 13 |
| Recovery Factor | -0.79 | 0.31 |
| Ulcer Index | 0.03 | 0.04 |
| Serenity Index | -6.34 | -3.96 |
| Avg. Up Month | 0.94% | 3.37% |
| Avg. Down Month | -2.49% | -3.24% |
| Win Days | 47.22% | 53.85% |
| Win Month | 40.0% | 60.0% |
| Win Quarter | 0.0% | 50.0% |
| Win Year | 0.0% | 50.0% |
| Beta | 0.27 | - |
| Alpha | -0.37 | - |
| Correlation | 50.55% | - |
| Treynor Ratio | -387.03% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 10.06 | -0.10 | -0.01 | - |
| 2022 | -6.42 | -4.92 | 0.77 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-11 | 2022-02-15 | -6.31 | 96 |
| 2021-10-18 | 2021-10-19 | -1.26 | 1 |
| 2021-10-12 | 2021-10-15 | -0.98 | 3 |
| 2021-10-21 | 2021-11-08 | -0.87 | 18 |