| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 91.0% | 100.0% |
| Cumulative Return | -7.81% | 0.49% |
| CAGR﹪ | -13.48% | 0.87% |
| Sharpe | -0.57 | -0.32 |
| Prob. Sharpe Ratio | 13.99% | 23.27% |
| Smart Sharpe | -0.32 | -0.18 |
| Sortino | -0.78 | -0.42 |
| Smart Sortino | -0.45 | -0.24 |
| Sortino/√2 | -0.55 | -0.3 |
| Smart Sortino/√2 | -0.32 | -0.17 |
| Omega | 0.78 | 0.78 |
| Max Drawdown | -20.51% | -10.6% |
| Longest DD Days | 110 | 64 |
| Volatility (ann.) | 29.68% | 15.02% |
| R^2 | 0.1 | 0.1 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | -0.66 | 0.08 |
| Skew | -0.06 | -0.66 |
| Kurtosis | 58.26 | 1.98 |
| Expected Daily | -0.06% | 0.0% |
| Expected Monthly | -1.16% | 0.07% |
| Expected Yearly | -3.99% | 0.24% |
| Kelly Criterion | -2.73% | -2.63% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.11% | -1.55% |
| Expected Shortfall (cVaR) | -3.11% | -1.55% |
| Max Consecutive Wins | 13 | 10 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | -0.14 | 0.02 |
| Gain/Pain (1M) | -0.69 | 0.08 |
| Payoff Ratio | 0.99 | 0.84 |
| Profit Factor | 0.86 | 1.02 |
| Common Sense Ratio | 0.62 | 0.88 |
| CPC Index | 0.42 | 0.46 |
| Tail Ratio | 0.71 | 0.86 |
| Outlier Win Ratio | 3.81 | 2.6 |
| Outlier Loss Ratio | 4.13 | 3.34 |
| MTD | -6.34% | -5.39% |
| 3M | -6.71% | -7.24% |
| 6M | -7.03% | -2.07% |
| YTD | -8.37% | -8.28% |
| 1Y | -7.81% | 0.49% |
| 3Y (ann.) | -13.48% | 0.87% |
| 5Y (ann.) | -13.48% | 0.87% |
| 10Y (ann.) | -13.48% | 0.87% |
| All-time (ann.) | -13.48% | 0.87% |
| Best Day | 14.94% | 2.42% |
| Worst Day | -15.05% | -4.02% |
| Best Month | 1.96% | 4.6% |
| Worst Month | -6.34% | -5.82% |
| Best Year | 0.6% | 9.56% |
| Worst Year | -8.37% | -8.28% |
| Avg. Drawdown | -2.69% | -2.74% |
| Avg. Drawdown Days | 18 | 17 |
| Recovery Factor | -0.38 | 0.05 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | -2.43 | -0.23 |
| Avg. Up Month | 1.21% | 3.77% |
| Avg. Down Month | -4.25% | -4.22% |
| Win Days | 48.84% | 53.19% |
| Win Month | 42.86% | 57.14% |
| Win Quarter | 66.67% | 33.33% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.62 | - |
| Alpha | -0.11 | - |
| Correlation | 31.18% | - |
| Treynor Ratio | -24.04% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 9.56 | 0.60 | 0.06 | - |
| 2022 | -8.28 | -8.37 | 1.01 | - |
| 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 |