| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 8.05% | 32.37% |
| CAGR﹪ | 5.67% | 22.13% |
| Sharpe | -5.06 | -3.14 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -4.5 | -2.79 |
| Sortino | -5.57 | -3.78 |
| Smart Sortino | -4.96 | -3.36 |
| Sortino/√2 | -3.94 | -2.67 |
| Smart Sortino/√2 | -3.51 | -2.38 |
| Omega | 0.43 | 0.43 |
| Max Drawdown | -9.21% | -10.4% |
| Longest DD Days | 112 | 50 |
| Volatility (ann.) | 12.44% | 15.12% |
| R^2 | 0.21 | 0.21 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 0.62 | 2.13 |
| Skew | -0.26 | -0.18 |
| Kurtosis | 2.51 | 1.52 |
| Expected Daily | 0.02% | 0.08% |
| Expected Monthly | 0.46% | 1.66% |
| Expected Yearly | 2.61% | 9.8% |
| Kelly Criterion | 3.96% | 11.27% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -1.48% |
| Expected Shortfall (cVaR) | -1.26% | -1.48% |
| Max Consecutive Wins | 6 | 7 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.09 | 0.28 |
| Gain/Pain (1M) | 0.55 | 1.77 |
| Payoff Ratio | 0.98 | 1.02 |
| Profit Factor | 1.09 | 1.28 |
| Common Sense Ratio | 1.05 | 1.26 |
| CPC Index | 0.56 | 0.72 |
| Tail Ratio | 0.96 | 0.98 |
| Outlier Win Ratio | 3.41 | 2.67 |
| Outlier Loss Ratio | 3.46 | 3.07 |
| MTD | -3.26% | -2.77% |
| 3M | -5.69% | -6.4% |
| 6M | -5.76% | -1.57% |
| YTD | -7.92% | -8.04% |
| 1Y | 0.36% | 13.29% |
| 3Y (ann.) | 5.67% | 22.13% |
| 5Y (ann.) | 5.67% | 22.13% |
| 10Y (ann.) | 5.67% | 22.13% |
| All-time (ann.) | 5.67% | 22.13% |
| Best Day | 3.56% | 4.21% |
| Worst Day | -3.72% | -3.53% |
| Best Month | 4.88% | 10.95% |
| Worst Month | -4.82% | -5.42% |
| Best Year | 10.36% | 29.88% |
| Worst Year | -7.92% | -8.04% |
| Avg. Drawdown | -2.08% | -1.45% |
| Avg. Drawdown Days | 20 | 7 |
| Recovery Factor | 0.87 | 3.11 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | -7.31 | -5.0 |
| Avg. Up Month | 2.71% | 4.63% |
| Avg. Down Month | -2.92% | -3.34% |
| Win Days | 52.45% | 55.16% |
| Win Month | 58.82% | 64.71% |
| Win Quarter | 66.67% | 83.33% |
| Win Year | 66.67% | 66.67% |
| Beta | 0.37 | - |
| Alpha | -0.02 | - |
| Correlation | 45.36% | - |
| Treynor Ratio | -246.33% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 10.82 | 6.32 | 0.58 | - |
| 2021 | 29.88 | 10.36 | 0.35 | - |
| 2022 | -8.04 | -7.92 | 0.99 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-29 | 2022-02-25 | -9.21 | 58 |
| 2021-02-12 | 2021-04-16 | -5.90 | 63 |
| 2021-09-07 | 2021-12-28 | -5.31 | 112 |
| 2020-10-13 | 2020-11-05 | -4.47 | 23 |
| 2021-06-11 | 2021-08-30 | -2.66 | 80 |
| 2021-01-26 | 2021-02-08 | -2.29 | 13 |
| 2021-05-11 | 2021-05-25 | -2.05 | 14 |
| 2020-11-19 | 2020-12-07 | -2.01 | 18 |
| 2020-11-10 | 2020-11-17 | -1.74 | 7 |
| 2020-12-21 | 2020-12-30 | -1.71 | 9 |