| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 91.0% | 99.0% |
| Cumulative Return | -7.81% | -6.47% |
| CAGR﹪ | -13.48% | -11.22% |
| Sharpe | -0.56 | -0.55 |
| Prob. Sharpe Ratio | 13.87% | 14.48% |
| Smart Sharpe | -0.32 | -0.32 |
| Sortino | -0.78 | -0.83 |
| Smart Sortino | -0.45 | -0.48 |
| Sortino/√2 | -0.55 | -0.59 |
| Smart Sortino/√2 | -0.32 | -0.34 |
| Omega | 0.78 | 0.78 |
| Max Drawdown | -20.51% | -14.45% |
| Longest DD Days | 110 | 170 |
| Volatility (ann.) | 29.48% | 26.89% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | -0.66 | -0.78 |
| Skew | -0.06 | 0.56 |
| Kurtosis | 58.99 | 0.33 |
| Expected Daily | -0.06% | -0.05% |
| Expected Monthly | -1.16% | -0.95% |
| Expected Yearly | -3.99% | -3.29% |
| Kelly Criterion | -5.46% | -5.83% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.09% | -2.82% |
| Expected Shortfall (cVaR) | -3.09% | -2.82% |
| Max Consecutive Wins | 13 | 4 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | -0.14 | -0.05 |
| Gain/Pain (1M) | -0.69 | -0.48 |
| Payoff Ratio | 0.97 | 1.2 |
| Profit Factor | 0.86 | 0.95 |
| Common Sense Ratio | 0.62 | 1.06 |
| CPC Index | 0.4 | 0.48 |
| Tail Ratio | 0.71 | 1.11 |
| Outlier Win Ratio | 6.3 | 1.93 |
| Outlier Loss Ratio | 4.91 | 2.47 |
| MTD | -6.34% | 0.88% |
| 3M | -6.71% | -5.15% |
| 6M | -7.03% | -5.81% |
| YTD | -8.37% | 2.47% |
| 1Y | -7.81% | -6.47% |
| 3Y (ann.) | -13.48% | -11.22% |
| 5Y (ann.) | -13.48% | -11.22% |
| 10Y (ann.) | -13.48% | -11.22% |
| All-time (ann.) | -13.48% | -11.22% |
| Best Day | 14.94% | 4.96% |
| Worst Day | -15.05% | -3.69% |
| Best Month | 1.96% | 1.65% |
| Worst Month | -6.34% | -4.63% |
| Best Year | 0.6% | 2.47% |
| Worst Year | -8.37% | -8.72% |
| Avg. Drawdown | -2.69% | -8.19% |
| Avg. Drawdown Days | 18 | 67 |
| Recovery Factor | -0.38 | -0.45 |
| Ulcer Index | 0.02 | 0.08 |
| Serenity Index | -2.45 | -0.2 |
| Avg. Up Month | - | - |
| Avg. Down Month | -0.76% | -0.48% |
| Win Days | 48.09% | 42.25% |
| Win Month | 42.86% | 42.86% |
| Win Quarter | 66.67% | 33.33% |
| Win Year | 50.0% | 50.0% |
| Beta | -0.21 | - |
| Alpha | -0.12 | - |
| Correlation | -18.79% | - |
| Treynor Ratio | 71.88% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -8.72 | 0.60 | -0.07 | + |
| 2022 | 2.47 | -8.37 | -3.39 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-10 | 2022-02-25 | -20.51 | 46 |
| 2021-09-15 | 2022-01-03 | -3.02 | 110 |
| 2021-08-19 | 2021-08-20 | -1.33 | 1 |
| 2021-08-24 | 2021-08-31 | -1.24 | 7 |
| 2021-09-09 | 2021-09-14 | -0.35 | 5 |
| 2021-08-17 | 2021-08-18 | -0.20 | 1 |
| 2021-09-03 | 2021-09-06 | -0.10 | 3 |
| 2021-09-07 | 2021-09-08 | -0.07 | 1 |
| 2021-08-13 | 2021-08-16 | -0.05 | 3 |
| 2021-08-10 | 2021-08-11 | -0.01 | 1 |