| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 91.0% | 100.0% |
| Cumulative Return | -7.81% | -18.04% |
| CAGR﹪ | -13.48% | -29.82% |
| Sharpe | -0.56 | -1.37 |
| Prob. Sharpe Ratio | 13.87% | 4.46% |
| Smart Sharpe | -0.32 | -0.78 |
| Sortino | -0.78 | -1.85 |
| Smart Sortino | -0.45 | -1.06 |
| Sortino/√2 | -0.55 | -1.31 |
| Smart Sortino/√2 | -0.32 | -0.75 |
| Omega | 0.78 | 0.78 |
| Max Drawdown | -20.51% | -20.11% |
| Longest DD Days | 110 | 170 |
| Volatility (ann.) | 29.48% | 27.55% |
| R^2 | 0.07 | 0.07 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | -0.66 | -1.48 |
| Skew | -0.06 | -0.29 |
| Kurtosis | 58.99 | 3.22 |
| Expected Daily | -0.06% | -0.14% |
| Expected Monthly | -1.16% | -2.8% |
| Expected Yearly | -3.99% | -9.47% |
| Kelly Criterion | 6.01% | -13.31% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.09% | -2.98% |
| Expected Shortfall (cVaR) | -3.09% | -2.98% |
| Max Consecutive Wins | 13 | 4 |
| Max Consecutive Losses | 5 | 8 |
| Gain/Pain Ratio | -0.14 | -0.17 |
| Gain/Pain (1M) | -0.69 | -0.73 |
| Payoff Ratio | 1.23 | 1.05 |
| Profit Factor | 0.86 | 0.83 |
| Common Sense Ratio | 0.62 | 0.99 |
| CPC Index | 0.51 | 0.37 |
| Tail Ratio | 0.71 | 1.19 |
| Outlier Win Ratio | 5.81 | 1.9 |
| Outlier Loss Ratio | 5.23 | 2.51 |
| MTD | -6.34% | -10.44% |
| 3M | -6.71% | -13.68% |
| 6M | -7.03% | -16.23% |
| YTD | -8.37% | -6.15% |
| 1Y | -7.81% | -18.04% |
| 3Y (ann.) | -13.48% | -29.82% |
| 5Y (ann.) | -13.48% | -29.82% |
| 10Y (ann.) | -13.48% | -29.82% |
| All-time (ann.) | -13.48% | -29.82% |
| Best Day | 14.94% | 4.73% |
| Worst Day | -15.05% | -8.46% |
| Best Month | 1.96% | 4.79% |
| Worst Month | -6.34% | -10.44% |
| Best Year | 0.6% | -6.15% |
| Worst Year | -8.37% | -12.66% |
| Avg. Drawdown | -2.69% | -10.65% |
| Avg. Drawdown Days | 18 | 67 |
| Recovery Factor | -0.38 | -0.9 |
| Ulcer Index | 0.02 | 0.1 |
| Serenity Index | -2.45 | -0.25 |
| Avg. Up Month | - | - |
| Avg. Down Month | -3.7% | -6.44% |
| Win Days | 48.09% | 41.96% |
| Win Month | 42.86% | 28.57% |
| Win Quarter | 66.67% | 0.0% |
| Win Year | 50.0% | 0.0% |
| Beta | 0.29 | - |
| Alpha | -0.01 | - |
| Correlation | 27.31% | - |
| Treynor Ratio | -50.69% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -12.66 | 0.60 | -0.05 | + |
| 2022 | -6.15 | -8.37 | 1.36 | - |
| 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 |