| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 90.0% | 100.0% |
| Cumulative Return | -22.92% | 53.08% |
| CAGR﹪ | -8.97% | 16.62% |
| Sharpe | -3.5 | -1.94 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -2.94 | -1.63 |
| Sortino | -3.81 | -2.42 |
| Smart Sortino | -3.2 | -2.04 |
| Sortino/√2 | -2.69 | -1.71 |
| Smart Sortino/√2 | -2.26 | -1.44 |
| Omega | 0.39 | 0.39 |
| Max Drawdown | -33.02% | -33.92% |
| Longest DD Days | 422 | 175 |
| Volatility (ann.) | 22.38% | 24.51% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | -0.27 | 0.49 |
| Skew | -6.04 | -0.81 |
| Kurtosis | 87.32 | 15.57 |
| Expected Daily | -0.05% | 0.07% |
| Expected Monthly | -0.76% | 1.26% |
| Expected Yearly | -6.3% | 11.23% |
| Kelly Criterion | -18.39% | 10.49% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.35% | -2.45% |
| Expected Shortfall (cVaR) | -2.35% | -2.45% |
| Max Consecutive Wins | 11 | 10 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | -0.11 | 0.21 |
| Gain/Pain (1M) | -0.46 | 1.04 |
| Payoff Ratio | 0.72 | 0.93 |
| Profit Factor | 0.89 | 1.21 |
| Common Sense Ratio | 0.91 | 1.1 |
| CPC Index | 0.32 | 0.64 |
| Tail Ratio | 1.01 | 0.91 |
| Outlier Win Ratio | 6.8 | 4.02 |
| Outlier Loss Ratio | 6.15 | 4.58 |
| MTD | -24.49% | -2.9% |
| 3M | -30.8% | -6.74% |
| 6M | -32.57% | -2.26% |
| YTD | -30.94% | -8.25% |
| 1Y | -31.35% | 11.7% |
| 3Y (ann.) | -8.97% | 16.62% |
| 5Y (ann.) | -8.97% | 16.62% |
| 10Y (ann.) | -8.97% | 16.62% |
| All-time (ann.) | -8.97% | 16.62% |
| Best Day | 7.87% | 9.38% |
| Worst Day | -20.58% | -11.98% |
| Best Month | 2.89% | 13.73% |
| Worst Month | -24.49% | -12.51% |
| Best Year | 7.77% | 28.05% |
| Worst Year | -30.94% | -8.25% |
| Avg. Drawdown | -3.86% | -1.99% |
| Avg. Drawdown Days | 50 | 13 |
| Recovery Factor | -0.69 | 1.56 |
| Ulcer Index | 0.04 | 0.07 |
| Serenity Index | -6.45 | -0.86 |
| Avg. Up Month | 1.24% | 4.86% |
| Avg. Down Month | -5.12% | -4.21% |
| Win Days | 50.29% | 56.94% |
| Win Month | 58.82% | 64.71% |
| Win Quarter | 50.0% | 83.33% |
| Win Year | 50.0% | 75.0% |
| Beta | 0.16 | - |
| Alpha | -0.12 | - |
| Correlation | 17.42% | - |
| Treynor Ratio | -773.01% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 13.11 | 7.77 | 0.59 | - |
| 2020 | 15.19 | 6.53 | 0.43 | - |
| 2021 | 28.05 | -2.78 | -0.10 | - |
| 2022 | -8.25 | -30.94 | 3.75 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-12-30 | 2022-02-25 | -33.02 | 422 |
| 2020-03-10 | 2020-04-13 | -12.61 | 34 |
| 2019-10-10 | 2020-03-04 | -6.14 | 146 |
| 2020-04-16 | 2020-05-19 | -3.38 | 33 |
| 2020-09-02 | 2020-12-10 | -2.40 | 99 |
| 2019-09-20 | 2019-10-07 | -1.82 | 17 |
| 2020-05-26 | 2020-07-31 | -1.70 | 66 |
| 2019-09-17 | 2019-09-19 | -1.18 | 2 |
| 2020-12-18 | 2020-12-29 | -1.14 | 11 |
| 2020-08-14 | 2020-09-01 | -1.08 | 18 |