| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 91.0% | 99.0% |
| Cumulative Return | -7.81% | -43.26% |
| CAGR﹪ | -13.48% | -63.54% |
| Sharpe | -0.56 | -2.93 |
| Prob. Sharpe Ratio | 13.87% | 0.02% |
| Smart Sharpe | -0.32 | -1.67 |
| Sortino | -0.78 | -3.27 |
| Smart Sortino | -0.45 | -1.87 |
| Sortino/√2 | -0.55 | -2.31 |
| Smart Sortino/√2 | -0.32 | -1.32 |
| Omega | 0.78 | 0.78 |
| Max Drawdown | -20.51% | -44.0% |
| Longest DD Days | 110 | 199 |
| Volatility (ann.) | 29.48% | 34.01% |
| R^2 | 0.08 | 0.08 |
| Information Ratio | 0.1 | 0.1 |
| Calmar | -0.66 | -1.44 |
| Skew | -0.06 | -2.39 |
| Kurtosis | 58.99 | 14.66 |
| Expected Daily | -0.06% | -0.39% |
| Expected Monthly | -1.16% | -7.78% |
| Expected Yearly | -3.99% | -24.67% |
| Kelly Criterion | -48.34% | -39.29% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.09% | -3.89% |
| Expected Shortfall (cVaR) | -3.09% | -3.89% |
| Max Consecutive Wins | 13 | 7 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | -0.14 | -0.42 |
| Gain/Pain (1M) | -0.69 | -0.91 |
| Payoff Ratio | 0.54 | 0.69 |
| Profit Factor | 0.86 | 0.58 |
| Common Sense Ratio | 0.62 | 0.46 |
| CPC Index | 0.22 | 0.17 |
| Tail Ratio | 0.71 | 0.78 |
| Outlier Win Ratio | 5.73 | 2.25 |
| Outlier Loss Ratio | 7.21 | 2.75 |
| MTD | -6.34% | -26.35% |
| 3M | -6.71% | -34.28% |
| 6M | -7.03% | -34.6% |
| YTD | -8.37% | -28.89% |
| 1Y | -7.81% | -43.26% |
| 3Y (ann.) | -13.48% | -63.54% |
| 5Y (ann.) | -13.48% | -63.54% |
| 10Y (ann.) | -13.48% | -63.54% |
| All-time (ann.) | -13.48% | -63.54% |
| Best Day | 14.94% | 4.18% |
| Worst Day | -15.05% | -14.98% |
| Best Month | 1.96% | 4.45% |
| Worst Month | -6.34% | -26.35% |
| Best Year | 0.6% | -20.2% |
| Worst Year | -8.37% | -28.89% |
| Avg. Drawdown | -2.69% | -22.09% |
| Avg. Drawdown Days | 18 | 101 |
| Recovery Factor | -0.38 | -0.98 |
| Ulcer Index | 0.02 | 0.18 |
| Serenity Index | -2.45 | -0.2 |
| Avg. Up Month | 0.03% | 0.62% |
| Avg. Down Month | -3.19% | -12.0% |
| Win Days | 48.09% | 42.96% |
| Win Month | 42.86% | 28.57% |
| Win Quarter | 66.67% | 0.0% |
| Win Year | 50.0% | 0.0% |
| Beta | -0.24 | - |
| Alpha | -0.32 | - |
| Correlation | -27.97% | - |
| Treynor Ratio | 61.1% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -20.20 | 0.60 | -0.03 | + |
| 2022 | -28.89 | -8.37 | 0.29 | + |
| 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 |