| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 90.0% | 90.0% |
| Cumulative Return | -16.35% | -14.62% |
| CAGR﹪ | -14.4% | -12.87% |
| Sharpe | -1.69 | -2.53 |
| Prob. Sharpe Ratio | 2.93% | 0.35% |
| Smart Sharpe | -1.42 | -2.13 |
| Sortino | -2.29 | -2.94 |
| Smart Sortino | -1.93 | -2.48 |
| Sortino/√2 | -1.62 | -2.08 |
| Smart Sortino/√2 | -1.37 | -1.75 |
| Omega | 0.73 | 0.73 |
| Max Drawdown | -23.31% | -21.62% |
| Longest DD Days | 380 | 380 |
| Volatility (ann.) | 19.65% | 12.27% |
| R^2 | 0.13 | 0.13 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.62 | -0.6 |
| Skew | 0.58 | -1.68 |
| Kurtosis | 4.19 | 8.95 |
| Expected Daily | -0.11% | -0.1% |
| Expected Monthly | -1.36% | -1.21% |
| Expected Yearly | -8.54% | -7.6% |
| Kelly Criterion | -8.62% | -11.29% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.14% | -1.37% |
| Expected Shortfall (cVaR) | -2.14% | -1.37% |
| Max Consecutive Wins | 5 | 6 |
| Max Consecutive Losses | 5 | 8 |
| Gain/Pain Ratio | -0.22 | -0.34 |
| Gain/Pain (1M) | -0.65 | -0.62 |
| Payoff Ratio | 1.18 | 1.0 |
| Profit Factor | 0.78 | 0.66 |
| Common Sense Ratio | 0.55 | 0.63 |
| CPC Index | 0.38 | 0.29 |
| Tail Ratio | 0.71 | 0.96 |
| Outlier Win Ratio | 3.76 | 7.73 |
| Outlier Loss Ratio | 3.48 | 5.37 |
| MTD | -4.84% | -1.86% |
| 3M | 0.8% | 2.98% |
| 6M | -1.78% | -0.77% |
| YTD | -15.63% | -13.56% |
| 1Y | -16.35% | -14.62% |
| 3Y (ann.) | -14.4% | -12.87% |
| 5Y (ann.) | -14.4% | -12.87% |
| 10Y (ann.) | -14.4% | -12.87% |
| All-time (ann.) | -14.4% | -12.87% |
| Best Day | 5.79% | 1.9% |
| Worst Day | -3.64% | -4.11% |
| Best Month | 5.68% | 3.74% |
| Worst Month | -6.19% | -6.5% |
| Best Year | -0.85% | -1.23% |
| Worst Year | -15.63% | -13.56% |
| Avg. Drawdown | -6.36% | -11.6% |
| Avg. Drawdown Days | 101 | 203 |
| Recovery Factor | -0.7 | -0.68 |
| Ulcer Index | 0.12 | 0.12 |
| Serenity Index | -0.11 | -0.06 |
| Avg. Up Month | 2.18% | 2.36% |
| Avg. Down Month | -3.23% | -3.08% |
| Win Days | 41.26% | 44.37% |
| Win Month | 33.33% | 33.33% |
| Win Quarter | 20.0% | 20.0% |
| Win Year | 0.0% | 0.0% |
| Beta | 0.58 | - |
| Alpha | -0.12 | - |
| Correlation | 36.48% | - |
| Treynor Ratio | -39.97% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -1.23 | -0.85 | 0.69 | + |
| 2022 | -13.56 | -15.63 | 1.15 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-07 | 2022-12-22 | -23.31 | 380 |
| 2021-11-16 | 2021-12-06 | -1.67 | 20 |
| 2021-11-09 | 2021-11-10 | -0.28 | 1 |
| 2021-11-11 | 2021-11-15 | -0.19 | 4 |