| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | -0.64% | -25.37% |
| CAGR﹪ | -0.74% | -28.76% |
| Sharpe | -0.17 | -0.65 |
| Prob. Sharpe Ratio | 17.4% | 5.22% |
| Smart Sharpe | -0.15 | -0.6 |
| Sortino | -0.23 | -0.75 |
| Smart Sortino | -0.21 | -0.68 |
| Sortino/√2 | -0.16 | -0.53 |
| Smart Sortino/√2 | -0.15 | -0.48 |
| Omega | 0.97 | 0.97 |
| Max Drawdown | -21.41% | -48.39% |
| Longest DD Days | 94 | 136 |
| Volatility (ann.) | 25.48% | 44.98% |
| R^2 | 0.06 | 0.06 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | -0.03 | -0.59 |
| Skew | 0.02 | -5.49 |
| Kurtosis | 3.03 | 66.7 |
| Expected Daily | -0.0% | -0.13% |
| Expected Monthly | -0.06% | -2.63% |
| Expected Yearly | -0.32% | -13.61% |
| Kelly Criterion | 13.19% | 2.49% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.63% | -4.75% |
| Expected Shortfall (cVaR) | -2.63% | -4.75% |
| Max Consecutive Wins | 8 | 7 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.02 | -0.13 |
| Gain/Pain (1M) | 0.08 | -0.47 |
| Payoff Ratio | 1.13 | 0.87 |
| Profit Factor | 1.02 | 0.87 |
| Common Sense Ratio | 0.86 | 0.73 |
| CPC Index | 0.62 | 0.41 |
| Tail Ratio | 0.85 | 0.85 |
| Outlier Win Ratio | 3.89 | 4.02 |
| Outlier Loss Ratio | 4.28 | 3.43 |
| MTD | 0.86% | -29.54% |
| 3M | -11.65% | -34.26% |
| 6M | -10.68% | -32.62% |
| YTD | -9.2% | -32.98% |
| 1Y | -0.64% | -25.37% |
| 3Y (ann.) | -0.74% | -28.76% |
| 5Y (ann.) | -0.74% | -28.76% |
| 10Y (ann.) | -0.74% | -28.76% |
| All-time (ann.) | -0.74% | -28.76% |
| Best Day | 7.39% | 15.24% |
| Worst Day | -5.79% | -30.58% |
| Best Month | 8.86% | 5.61% |
| Worst Month | -9.98% | -29.54% |
| Best Year | 9.43% | 11.35% |
| Worst Year | -9.2% | -32.98% |
| Avg. Drawdown | -5.2% | -4.3% |
| Avg. Drawdown Days | 25 | 15 |
| Recovery Factor | -0.03 | -0.52 |
| Ulcer Index | 0.09 | 0.09 |
| Serenity Index | -0.09 | -0.56 |
| Avg. Up Month | 6.75% | 3.25% |
| Avg. Down Month | -6.01% | -3.18% |
| Win Days | 53.95% | 54.59% |
| Win Month | 54.55% | 54.55% |
| Win Quarter | 75.0% | 50.0% |
| Win Year | 50.0% | 50.0% |
| Beta | -0.14 | - |
| Alpha | -0.01 | - |
| Correlation | -25.23% | - |
| Treynor Ratio | 53.44% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 11.35 | 9.43 | 0.83 | - |
| 2022 | -32.98 | -9.20 | 0.28 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-23 | 2022-02-25 | -21.41 | 94 |
| 2021-04-28 | 2021-06-29 | -11.41 | 62 |
| 2021-09-08 | 2021-11-12 | -9.77 | 65 |
| 2021-07-08 | 2021-07-23 | -3.82 | 15 |
| 2021-08-10 | 2021-08-20 | -2.84 | 10 |
| 2021-07-26 | 2021-08-05 | -2.30 | 10 |
| 2021-04-20 | 2021-04-27 | -2.00 | 7 |
| 2021-11-17 | 2021-11-19 | -1.82 | 2 |
| 2021-08-31 | 2021-09-06 | -0.92 | 6 |
| 2021-06-30 | 2021-07-02 | -0.54 | 2 |