| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 11.32% | -23.16% |
| CAGR﹪ | 10.88% | -22.41% |
| Sharpe | -15.53 | -5.02 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -12.49 | -4.03 |
| Sortino | -11.58 | -5.31 |
| Smart Sortino | -9.31 | -4.27 |
| Sortino/√2 | -8.19 | -3.76 |
| Smart Sortino/√2 | -6.59 | -3.02 |
| Omega | 0.08 | 0.08 |
| Max Drawdown | -6.22% | -51.26% |
| Longest DD Days | 82 | 127 |
| Volatility (ann.) | 12.74% | 44.36% |
| R^2 | 0.14 | 0.14 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 1.75 | -0.44 |
| Skew | 0.54 | -5.26 |
| Kurtosis | 3.78 | 85.53 |
| Expected Daily | 0.04% | -0.1% |
| Expected Monthly | 0.83% | -2.01% |
| Expected Yearly | 5.51% | -12.34% |
| Kelly Criterion | -4.1% | 17.39% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -4.65% |
| Expected Shortfall (cVaR) | -1.28% | -4.65% |
| Max Consecutive Wins | 8 | 6 |
| Max Consecutive Losses | 6 | 4 |
| Gain/Pain Ratio | 0.16 | -0.09 |
| Gain/Pain (1M) | 1.46 | -0.35 |
| Payoff Ratio | 0.92 | 1.17 |
| Profit Factor | 1.16 | 0.91 |
| Common Sense Ratio | 1.29 | 0.72 |
| CPC Index | 0.54 | 0.59 |
| Tail Ratio | 1.11 | 0.79 |
| Outlier Win Ratio | 4.24 | 2.64 |
| Outlier Loss Ratio | 7.45 | 2.98 |
| MTD | 3.51% | -30.02% |
| 3M | 4.49% | -36.5% |
| 6M | 6.92% | -35.02% |
| YTD | 3.06% | -34.42% |
| 1Y | 13.69% | -22.51% |
| 3Y (ann.) | 10.88% | -22.41% |
| 5Y (ann.) | 10.88% | -22.41% |
| 10Y (ann.) | 10.88% | -22.41% |
| All-time (ann.) | 10.88% | -22.41% |
| Best Day | 4.04% | 20.04% |
| Worst Day | -3.07% | -33.28% |
| Best Month | 4.22% | 6.87% |
| Worst Month | -3.68% | -30.02% |
| Best Year | 8.02% | 17.17% |
| Worst Year | 3.06% | -34.42% |
| Avg. Drawdown | -3.24% | -3.7% |
| Avg. Drawdown Days | 36 | 14 |
| Recovery Factor | 1.82 | -0.45 |
| Ulcer Index | 0.03 | 0.08 |
| Serenity Index | -40.02 | -14.57 |
| Avg. Up Month | 1.82% | 2.85% |
| Avg. Down Month | -1.65% | -4.14% |
| Win Days | 50.0% | 55.47% |
| Win Month | 61.54% | 53.85% |
| Win Quarter | 60.0% | 60.0% |
| Win Year | 100.0% | 50.0% |
| Beta | -0.11 | - |
| Alpha | 0.1 | - |
| Correlation | -37.03% | - |
| Treynor Ratio | 6473.94% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 17.17 | 8.02 | 0.47 | - |
| 2022 | -34.42 | 3.06 | -0.09 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-07 | 2021-11-19 | -6.22 | 73 |
| 2021-02-12 | 2021-04-01 | -5.00 | 48 |
| 2022-01-06 | 2022-02-21 | -4.87 | 46 |
| 2021-04-21 | 2021-07-12 | -4.84 | 82 |
| 2021-11-23 | 2021-12-30 | -3.84 | 37 |
| 2021-07-13 | 2021-09-06 | -2.61 | 55 |
| 2022-02-22 | 2022-02-24 | -2.15 | 2 |
| 2021-04-07 | 2021-04-19 | -1.70 | 12 |
| 2022-02-25 | 2022-02-25 | -0.62 | 0 |
| 2022-01-03 | 2022-01-04 | -0.57 | 1 |