| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 75.0% | 99.0% |
| Cumulative Return | -3.55% | 4.01% |
| CAGR﹪ | -4.28% | 4.86% |
| Sharpe | -10.34 | -2.62 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -10.08 | -2.56 |
| Sortino | -9.34 | -3.18 |
| Smart Sortino | -9.1 | -3.1 |
| Sortino/√2 | -6.61 | -2.25 |
| Smart Sortino/√2 | -6.44 | -2.19 |
| Omega | 0.12 | 0.12 |
| Max Drawdown | -6.21% | -10.02% |
| Longest DD Days | 145 | 42 |
| Volatility (ann.) | 7.84% | 20.68% |
| R^2 | 0.08 | 0.08 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | -0.69 | 0.49 |
| Skew | -1.04 | -0.39 |
| Kurtosis | 12.44 | 1.46 |
| Expected Daily | -0.05% | 0.05% |
| Expected Monthly | -0.33% | 0.36% |
| Expected Yearly | -1.79% | 1.98% |
| Kelly Criterion | -76.61% | -11.62% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.86% | -2.08% |
| Expected Shortfall (cVaR) | -0.86% | -2.08% |
| Max Consecutive Wins | 3 | 8 |
| Max Consecutive Losses | 3 | 4 |
| Gain/Pain Ratio | -0.29 | 0.13 |
| Gain/Pain (1M) | -0.56 | 0.3 |
| Payoff Ratio | 0.39 | 0.65 |
| Profit Factor | 0.71 | 1.13 |
| Common Sense Ratio | 0.5 | 0.98 |
| CPC Index | 0.14 | 0.41 |
| Tail Ratio | 0.7 | 0.86 |
| Outlier Win Ratio | 11.54 | 2.32 |
| Outlier Loss Ratio | 4.89 | 2.05 |
| MTD | -1.35% | -4.56% |
| 3M | -5.65% | -8.07% |
| 6M | -5.66% | -2.41% |
| YTD | -4.71% | -9.99% |
| 1Y | -3.55% | 4.01% |
| 3Y (ann.) | -4.28% | 4.86% |
| 5Y (ann.) | -4.28% | 4.86% |
| 10Y (ann.) | -4.28% | 4.86% |
| All-time (ann.) | -4.28% | 4.86% |
| Best Day | 2.02% | 3.42% |
| Worst Day | -2.61% | -4.47% |
| Best Month | 2.02% | 7.01% |
| Worst Month | -3.41% | -5.69% |
| Best Year | 1.22% | 15.55% |
| Worst Year | -4.71% | -9.99% |
| Avg. Drawdown | -1.38% | -2.49% |
| Avg. Drawdown Days | 43 | 17 |
| Recovery Factor | -0.57 | 0.4 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | -6.39 | -7.41 |
| Avg. Up Month | 0.26% | 2.92% |
| Avg. Down Month | -1.29% | -3.79% |
| Win Days | 50.88% | 56.0% |
| Win Month | 36.36% | 54.55% |
| Win Quarter | 25.0% | 75.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.11 | - |
| Alpha | -0.13 | - |
| Correlation | 28.28% | - |
| Treynor Ratio | -966.02% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 15.55 | 1.22 | 0.08 | - |
| 2022 | -9.99 | -4.71 | 0.47 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-30 | 2022-02-22 | -6.21 | 145 |
| 2021-06-17 | 2021-08-13 | -0.59 | 57 |
| 2021-08-17 | 2021-08-25 | -0.49 | 8 |
| 2021-04-29 | 2021-05-18 | -0.39 | 19 |
| 2021-09-02 | 2021-09-17 | -0.39 | 15 |
| 2021-06-02 | 2021-06-15 | -0.18 | 13 |