| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -11.92% | -37.52% |
| CAGR﹪ | -25.0% | -65.57% |
| Sharpe | -5.66 | -4.33 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -3.6 | -2.75 |
| Sortino | -5.8 | -4.69 |
| Smart Sortino | -3.68 | -2.98 |
| Sortino/√2 | -4.1 | -3.32 |
| Smart Sortino/√2 | -2.6 | -2.11 |
| Omega | 0.17 | 0.17 |
| Max Drawdown | -24.65% | -51.26% |
| Longest DD Days | 63 | 127 |
| Volatility (ann.) | 40.31% | 66.71% |
| R^2 | 0.58 | 0.58 |
| Information Ratio | 0.09 | 0.09 |
| Calmar | -1.01 | -1.28 |
| Skew | -5.52 | -3.55 |
| Kurtosis | 59.15 | 38.62 |
| Expected Daily | -0.11% | -0.42% |
| Expected Monthly | -2.09% | -7.54% |
| Expected Yearly | -6.15% | -20.96% |
| Kelly Criterion | -22.46% | -1.34% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.25% | -7.23% |
| Expected Shortfall (cVaR) | -4.25% | -7.23% |
| Max Consecutive Wins | 4 | 6 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | -0.15 | -0.29 |
| Gain/Pain (1M) | -0.57 | -0.91 |
| Payoff Ratio | 0.76 | 1.06 |
| Profit Factor | 0.85 | 0.71 |
| Common Sense Ratio | 1.07 | 0.54 |
| CPC Index | 0.3 | 0.36 |
| Tail Ratio | 1.26 | 0.77 |
| Outlier Win Ratio | 3.42 | 1.91 |
| Outlier Loss Ratio | 6.23 | 2.91 |
| MTD | -13.53% | -30.02% |
| 3M | -12.16% | -36.5% |
| 6M | -11.92% | -37.52% |
| YTD | -12.86% | -34.42% |
| 1Y | -11.92% | -37.52% |
| 3Y (ann.) | -25.0% | -65.57% |
| 5Y (ann.) | -25.0% | -65.57% |
| 10Y (ann.) | -25.0% | -65.57% |
| All-time (ann.) | -25.0% | -65.57% |
| Best Day | 11.26% | 20.04% |
| Worst Day | -22.56% | -33.28% |
| Best Month | 3.83% | 1.77% |
| Worst Month | -13.53% | -30.02% |
| Best Year | 1.08% | -4.72% |
| Worst Year | -12.86% | -34.42% |
| Avg. Drawdown | -5.51% | -8.03% |
| Avg. Drawdown Days | 21 | 21 |
| Recovery Factor | -0.48 | -0.73 |
| Ulcer Index | 0.04 | 0.13 |
| Serenity Index | -61.17 | -9.96 |
| Avg. Up Month | - | - |
| Avg. Down Month | -13.53% | -30.02% |
| Win Days | 47.27% | 47.75% |
| Win Month | 50.0% | 33.33% |
| Win Quarter | 33.33% | 33.33% |
| Win Year | 50.0% | 0.0% |
| Beta | 0.46 | - |
| Alpha | 0.18 | - |
| Correlation | 76.43% | - |
| Treynor Ratio | -1541.25% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -4.72 | 1.08 | -0.23 | + |
| 2022 | -34.42 | -12.86 | 0.37 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-27 | 2022-02-25 | -24.65 | 29 |
| 2021-09-20 | 2021-11-22 | -4.87 | 63 |
| 2022-01-06 | 2022-01-24 | -3.35 | 18 |
| 2021-11-23 | 2021-12-07 | -2.67 | 14 |
| 2021-12-08 | 2021-12-30 | -1.93 | 22 |
| 2022-01-25 | 2022-01-26 | -0.86 | 1 |
| 2022-01-03 | 2022-01-04 | -0.21 | 1 |