| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 91.0% | 98.0% |
| Cumulative Return | -7.81% | 9.7% |
| CAGR﹪ | -13.48% | 17.93% |
| Sharpe | -0.56 | 0.57 |
| Prob. Sharpe Ratio | 13.87% | 43.88% |
| Smart Sharpe | -0.32 | 0.32 |
| Sortino | -0.78 | 0.75 |
| Smart Sortino | -0.45 | 0.43 |
| Sortino/√2 | -0.55 | 0.53 |
| Smart Sortino/√2 | -0.32 | 0.3 |
| Omega | 0.78 | 0.78 |
| Max Drawdown | -20.51% | -10.96% |
| Longest DD Days | 110 | 100 |
| Volatility (ann.) | 29.48% | 20.31% |
| R^2 | 0.1 | 0.1 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | -0.66 | 1.64 |
| Skew | -0.06 | -1.14 |
| Kurtosis | 58.99 | 4.68 |
| Expected Daily | -0.06% | 0.06% |
| Expected Monthly | -1.16% | 1.33% |
| Expected Yearly | -3.99% | 4.74% |
| Kelly Criterion | -74.77% | 0.31% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.09% | -2.03% |
| Expected Shortfall (cVaR) | -3.09% | -2.03% |
| Max Consecutive Wins | 13 | 8 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | -0.14 | 0.17 |
| Gain/Pain (1M) | -0.69 | 1.17 |
| Payoff Ratio | 0.42 | 0.82 |
| Profit Factor | 0.86 | 1.17 |
| Common Sense Ratio | 0.62 | 1.3 |
| CPC Index | 0.18 | 0.53 |
| Tail Ratio | 0.71 | 1.11 |
| Outlier Win Ratio | 4.42 | 2.29 |
| Outlier Loss Ratio | 5.52 | 3.37 |
| MTD | -6.34% | -8.9% |
| 3M | -6.71% | -10.22% |
| 6M | -7.03% | 9.62% |
| YTD | -8.37% | -8.46% |
| 1Y | -7.81% | 9.7% |
| 3Y (ann.) | -13.48% | 17.93% |
| 5Y (ann.) | -13.48% | 17.93% |
| 10Y (ann.) | -13.48% | 17.93% |
| All-time (ann.) | -13.48% | 17.93% |
| Best Day | 14.94% | 3.19% |
| Worst Day | -15.05% | -6.32% |
| Best Month | 1.96% | 8.54% |
| Worst Month | -6.34% | -8.9% |
| Best Year | 0.6% | 19.84% |
| Worst Year | -8.37% | -8.46% |
| Avg. Drawdown | -2.69% | -2.53% |
| Avg. Drawdown Days | 18 | 19 |
| Recovery Factor | -0.38 | 0.89 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | -2.45 | 0.13 |
| Avg. Up Month | 0.82% | 3.18% |
| Avg. Down Month | -6.34% | -8.9% |
| Win Days | 48.09% | 55.0% |
| Win Month | 42.86% | 85.71% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.46 | - |
| Alpha | -0.18 | - |
| Correlation | 31.92% | - |
| Treynor Ratio | -31.97% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 19.84 | 0.60 | 0.03 | - |
| 2022 | -8.46 | -8.37 | 0.99 | + |
| 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 |