| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 3.34% | -15.77% |
| CAGR﹪ | 3.09% | -14.7% |
| Sharpe | -0.01 | -0.83 |
| Prob. Sharpe Ratio | 18.48% | 3.53% |
| Smart Sharpe | -0.01 | -0.78 |
| Sortino | -0.02 | -0.96 |
| Smart Sortino | -0.01 | -0.91 |
| Sortino/√2 | -0.01 | -0.68 |
| Smart Sortino/√2 | -0.01 | -0.64 |
| Omega | 1.0 | 1.0 |
| Max Drawdown | -21.41% | -32.78% |
| Longest DD Days | 132 | 128 |
| Volatility (ann.) | 26.21% | 23.82% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.14 | -0.45 |
| Skew | -0.13 | -2.96 |
| Kurtosis | 2.42 | 17.65 |
| Expected Daily | 0.01% | -0.06% |
| Expected Monthly | 0.24% | -1.22% |
| Expected Yearly | 1.66% | -8.23% |
| Kelly Criterion | -0.68% | -2.52% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.69% | -2.52% |
| Expected Shortfall (cVaR) | -2.69% | -2.52% |
| Max Consecutive Wins | 8 | 7 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.04 | -0.11 |
| Gain/Pain (1M) | 0.26 | -0.36 |
| Payoff Ratio | 0.8 | 0.76 |
| Profit Factor | 1.04 | 0.89 |
| Common Sense Ratio | 0.93 | 0.7 |
| CPC Index | 0.46 | 0.38 |
| Tail Ratio | 0.89 | 0.78 |
| Outlier Win Ratio | 3.08 | 4.34 |
| Outlier Loss Ratio | 3.8 | 4.53 |
| MTD | 0.86% | -24.16% |
| 3M | -11.65% | -27.58% |
| 6M | -10.68% | -28.65% |
| YTD | -9.2% | -27.58% |
| 1Y | 4.24% | -15.57% |
| 3Y (ann.) | 3.09% | -14.7% |
| 5Y (ann.) | 3.09% | -14.7% |
| 10Y (ann.) | 3.09% | -14.7% |
| All-time (ann.) | 3.09% | -14.7% |
| Best Day | 7.39% | 4.48% |
| Worst Day | -5.79% | -10.29% |
| Best Month | 8.86% | 7.2% |
| Worst Month | -9.98% | -24.16% |
| Best Year | 13.82% | 16.31% |
| Worst Year | -9.2% | -27.58% |
| Avg. Drawdown | -4.7% | -2.5% |
| Avg. Drawdown Days | 27 | 12 |
| Recovery Factor | 0.16 | -0.48 |
| Ulcer Index | 0.09 | 0.06 |
| Serenity Index | -0.04 | -0.49 |
| Avg. Up Month | 6.2% | 1.55% |
| Avg. Down Month | -5.7% | -2.47% |
| Win Days | 55.35% | 55.72% |
| Win Month | 50.0% | 64.29% |
| Win Quarter | 60.0% | 60.0% |
| Win Year | 50.0% | 50.0% |
| Beta | -0.04 | - |
| Alpha | 0.06 | - |
| Correlation | -3.68% | - |
| Treynor Ratio | 90.29% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 16.31 | 13.82 | 0.85 | - |
| 2022 | -27.58 | -9.20 | 0.33 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-23 | 2022-02-25 | -21.41 | 94 |
| 2021-02-17 | 2021-06-29 | -14.37 | 132 |
| 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 |
| 2021-11-17 | 2021-11-19 | -1.82 | 2 |
| 2021-01-28 | 2021-02-01 | -1.69 | 4 |
| 2021-02-10 | 2021-02-12 | -1.07 | 2 |
| 2021-08-31 | 2021-09-06 | -0.92 | 6 |