| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 99.0% |
| Cumulative Return | -0.45% | -32.89% |
| CAGR﹪ | -0.66% | -44.41% |
| Sharpe | -0.16 | -1.87 |
| Prob. Sharpe Ratio | 20.36% | 0.22% |
| Smart Sharpe | -0.15 | -1.81 |
| Sortino | -0.23 | -2.04 |
| Smart Sortino | -0.22 | -1.97 |
| Sortino/√2 | -0.16 | -1.44 |
| Smart Sortino/√2 | -0.15 | -1.4 |
| Omega | 0.97 | 0.97 |
| Max Drawdown | -21.41% | -38.6% |
| Longest DD Days | 94 | 128 |
| Volatility (ann.) | 25.82% | 32.11% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.09 | 0.09 |
| Calmar | -0.03 | -1.15 |
| Skew | 0.21 | -4.27 |
| Kurtosis | 3.14 | 31.65 |
| Expected Daily | -0.0% | -0.23% |
| Expected Monthly | -0.05% | -4.34% |
| Expected Yearly | -0.22% | -18.08% |
| Kelly Criterion | -3.02% | -37.4% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.67% | -3.54% |
| Expected Shortfall (cVaR) | -2.67% | -3.54% |
| Max Consecutive Wins | 8 | 8 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.02 | -0.33 |
| Gain/Pain (1M) | 0.09 | -0.83 |
| Payoff Ratio | 0.87 | 0.51 |
| Profit Factor | 1.02 | 0.67 |
| Common Sense Ratio | 0.89 | 0.37 |
| CPC Index | 0.46 | 0.18 |
| Tail Ratio | 0.88 | 0.55 |
| Outlier Win Ratio | 3.18 | 4.49 |
| Outlier Loss Ratio | 4.53 | 3.91 |
| MTD | 0.86% | -26.79% |
| 3M | -11.65% | -34.89% |
| 6M | -10.68% | -35.84% |
| YTD | -9.2% | -33.0% |
| 1Y | -0.45% | -32.89% |
| 3Y (ann.) | -0.66% | -44.41% |
| 5Y (ann.) | -0.66% | -44.41% |
| 10Y (ann.) | -0.66% | -44.41% |
| All-time (ann.) | -0.66% | -44.41% |
| Best Day | 7.39% | 6.29% |
| Worst Day | -5.79% | -16.81% |
| Best Month | 6.07% | 4.63% |
| Worst Month | -9.98% | -26.79% |
| Best Year | 9.64% | 0.16% |
| Worst Year | -9.2% | -33.0% |
| Avg. Drawdown | -4.87% | -5.86% |
| Avg. Drawdown Days | 23 | 24 |
| Recovery Factor | -0.02 | -0.85 |
| Ulcer Index | 0.09 | 0.09 |
| Serenity Index | -0.08 | -0.51 |
| Avg. Up Month | 4.59% | 1.83% |
| Avg. Down Month | -6.66% | -3.58% |
| Win Days | 52.07% | 53.57% |
| Win Month | 66.67% | 44.44% |
| Win Quarter | 75.0% | 50.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.08 | - |
| Alpha | 0.07 | - |
| Correlation | 9.65% | - |
| Treynor Ratio | -95.92% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.16 | 9.64 | 59.54 | + |
| 2022 | -33.00 | -9.20 | 0.28 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-23 | 2022-02-25 | -21.41 | 94 |
| 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 |
| 2021-08-31 | 2021-09-06 | -0.92 | 6 |
| 2021-06-30 | 2021-07-02 | -0.54 | 2 |
| 2021-08-27 | 2021-08-30 | -0.39 | 3 |