| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 92.0% | 75.0% |
| Cumulative Return | -26.73% | -18.76% |
| CAGR﹪ | -12.52% | -8.55% |
| Sharpe | -0.49 | -1.66 |
| Prob. Sharpe Ratio | 2.08% | 0.0% |
| Smart Sharpe | -0.39 | -1.31 |
| Sortino | -0.66 | -1.69 |
| Smart Sortino | -0.52 | -1.34 |
| Sortino/√2 | -0.47 | -1.2 |
| Smart Sortino/√2 | -0.37 | -0.95 |
| Omega | 0.85 | 0.85 |
| Max Drawdown | -34.64% | -23.19% |
| Longest DD Days | 764 | 175 |
| Volatility (ann.) | 32.81% | 9.79% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | -0.36 | -0.37 |
| Skew | -1.33 | -14.24 |
| Kurtosis | 30.24 | 250.21 |
| Expected Daily | -0.06% | -0.04% |
| Expected Monthly | -1.07% | -0.71% |
| Expected Yearly | -7.48% | -5.06% |
| Kelly Criterion | -11.58% | -54.84% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.44% | -1.05% |
| Expected Shortfall (cVaR) | -3.44% | -1.05% |
| Max Consecutive Wins | 6 | 6 |
| Max Consecutive Losses | 5 | 8 |
| Gain/Pain Ratio | -0.09 | -0.38 |
| Gain/Pain (1M) | -0.47 | -0.61 |
| Payoff Ratio | 0.89 | 0.42 |
| Profit Factor | 0.91 | 0.62 |
| Common Sense Ratio | 0.76 | 0.62 |
| CPC Index | 0.38 | 0.14 |
| Tail Ratio | 0.83 | 1.0 |
| Outlier Win Ratio | 4.94 | 40.08 |
| Outlier Loss Ratio | 4.46 | 13.7 |
| MTD | -21.37% | -18.66% |
| 3M | -23.9% | -21.52% |
| 6M | -25.22% | -22.75% |
| YTD | -23.86% | -21.66% |
| 1Y | -24.78% | -22.39% |
| 3Y (ann.) | -12.52% | -8.55% |
| 5Y (ann.) | -12.52% | -8.55% |
| 10Y (ann.) | -12.52% | -8.55% |
| All-time (ann.) | -12.52% | -8.55% |
| Best Day | 14.52% | 1.61% |
| Worst Day | -20.11% | -11.62% |
| Best Month | 5.35% | 3.76% |
| Worst Month | -21.37% | -18.66% |
| Best Year | 5.48% | 4.15% |
| Worst Year | -23.86% | -21.66% |
| Avg. Drawdown | -14.69% | -1.22% |
| Avg. Drawdown Days | 208 | 22 |
| Recovery Factor | -0.77 | -0.81 |
| Ulcer Index | 0.07 | 0.02 |
| Serenity Index | -1.02 | -1.95 |
| Avg. Up Month | 1.39% | 1.04% |
| Avg. Down Month | -2.82% | -2.8% |
| Win Days | 47.6% | 54.12% |
| Win Month | 42.86% | 57.14% |
| Win Quarter | 40.0% | 60.0% |
| Win Year | 25.0% | 50.0% |
| Beta | 1.01 | - |
| Alpha | 0.0 | - |
| Correlation | 30.02% | - |
| Treynor Ratio | -33.55% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 1.03 | -5.25 | -5.08 | - |
| 2020 | 4.15 | 5.48 | 1.32 | + |
| 2021 | -1.44 | -3.72 | 2.58 | - |
| 2022 | -21.66 | -23.86 | 1.10 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-01-23 | 2022-02-25 | -34.64 | 764 |
| 2019-11-11 | 2019-12-18 | -8.57 | 37 |
| 2019-12-20 | 2020-01-14 | -8.23 | 25 |
| 2020-01-15 | 2020-01-22 | -7.34 | 7 |