| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 86.0% | 86.0% |
| Cumulative Return | -15.35% | -15.15% |
| CAGR﹪ | -99.88% | -99.87% |
| Sharpe | -10.57 | -6.8 |
| Prob. Sharpe Ratio | 2.68% | 15.35% |
| Smart Sharpe | -8.19 | -5.27 |
| Sortino | -9.61 | -7.82 |
| Smart Sortino | -7.45 | -6.06 |
| Sortino/√2 | -6.8 | -5.53 |
| Smart Sortino/√2 | -5.27 | -4.29 |
| Omega | 0.16 | 0.16 |
| Max Drawdown | -17.92% | -20.98% |
| Longest DD Days | 8 | 8 |
| Volatility (ann.) | 55.46% | 82.64% |
| R^2 | 0.37 | 0.37 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | -5.57 | -4.76 |
| Skew | 0.13 | 0.95 |
| Kurtosis | -1.11 | 0.97 |
| Expected Daily | -2.35% | -2.32% |
| Expected Monthly | -15.35% | -15.15% |
| Expected Yearly | -15.35% | -15.15% |
| Kelly Criterion | -80.57% | -25.5% |
| Risk of Ruin | 0.01% | 0.09% |
| Daily Value-at-Risk | -8.05% | -10.77% |
| Expected Shortfall (cVaR) | -8.05% | -10.77% |
| Max Consecutive Wins | 2 | 1 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | -0.84 | -0.68 |
| Gain/Pain (1M) | -1.0 | -1.0 |
| Payoff Ratio | 0.59 | 1.98 |
| Profit Factor | 0.16 | 0.32 |
| Common Sense Ratio | 0.05 | 0.22 |
| CPC Index | 0.03 | 0.11 |
| Tail Ratio | 0.32 | 0.68 |
| Outlier Win Ratio | 4.6 | 1.3 |
| Outlier Loss Ratio | 1.54 | 1.62 |
| MTD | -15.35% | -15.15% |
| 3M | -15.35% | -15.15% |
| 6M | -15.35% | -15.15% |
| YTD | -15.35% | -15.15% |
| 1Y | -15.35% | -15.15% |
| 3Y (ann.) | -99.88% | -99.87% |
| 5Y (ann.) | -99.88% | -99.87% |
| 10Y (ann.) | -99.88% | -99.87% |
| All-time (ann.) | -99.88% | -99.87% |
| Best Day | 2.81% | 7.37% |
| Worst Day | -7.12% | -7.88% |
| Best Month | -15.35% | -15.15% |
| Worst Month | -15.35% | -15.15% |
| Best Year | -15.35% | -15.15% |
| Worst Year | -15.35% | -15.15% |
| Avg. Drawdown | -17.92% | -20.98% |
| Avg. Drawdown Days | 8 | 8 |
| Recovery Factor | -0.86 | -0.72 |
| Ulcer Index | 0.15 | 0.14 |
| Serenity Index | -0.23 | -0.35 |
| Avg. Up Month | - | - |
| Avg. Down Month | -15.35% | -15.15% |
| Win Days | 33.33% | 16.67% |
| Win Month | 0.0% | 0.0% |
| Win Quarter | 0.0% | 0.0% |
| Win Year | 0.0% | 0.0% |
| Beta | 0.41 | - |
| Alpha | -3.53 | - |
| Correlation | 60.75% | - |
| Treynor Ratio | -54.83% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | -15.15 | -15.35 | 1.01 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-17 | 2022-02-25 | -17.92 | 8 |