| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 99.0% |
| Cumulative Return | -8.69% | -1.9% |
| CAGR﹪ | -15.01% | -3.38% |
| Sharpe | -0.72 | -0.08 |
| Prob. Sharpe Ratio | 11.94% | 22.06% |
| Smart Sharpe | -0.68 | -0.08 |
| Sortino | -0.99 | -0.13 |
| Smart Sortino | -0.94 | -0.13 |
| Sortino/√2 | -0.7 | -0.09 |
| Smart Sortino/√2 | -0.67 | -0.09 |
| Omega | 0.88 | 0.88 |
| Max Drawdown | -21.41% | -24.29% |
| Longest DD Days | 94 | 94 |
| Volatility (ann.) | 26.83% | 38.71% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | -0.7 | -0.14 |
| Skew | 0.25 | 3.53 |
| Kurtosis | 3.19 | 45.59 |
| Expected Daily | -0.06% | -0.01% |
| Expected Monthly | -1.29% | -0.27% |
| Expected Yearly | -4.44% | -0.96% |
| Kelly Criterion | -11.84% | -5.73% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.83% | -4.0% |
| Expected Shortfall (cVaR) | -2.83% | -4.0% |
| Max Consecutive Wins | 8 | 8 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | -0.08 | 0.03 |
| Gain/Pain (1M) | -0.36 | 0.19 |
| Payoff Ratio | 0.78 | 0.89 |
| Profit Factor | 0.92 | 1.03 |
| Common Sense Ratio | 0.74 | 0.92 |
| CPC Index | 0.37 | 0.46 |
| Tail Ratio | 0.8 | 0.89 |
| Outlier Win Ratio | 3.68 | 3.43 |
| Outlier Loss Ratio | 3.16 | 3.37 |
| MTD | 0.86% | 2.74% |
| 3M | -11.65% | -7.95% |
| 6M | -10.68% | -3.41% |
| YTD | -9.2% | -4.47% |
| 1Y | -8.69% | -1.9% |
| 3Y (ann.) | -15.01% | -3.38% |
| 5Y (ann.) | -15.01% | -3.38% |
| 10Y (ann.) | -15.01% | -3.38% |
| All-time (ann.) | -15.01% | -3.38% |
| Best Day | 7.39% | 21.23% |
| Worst Day | -5.79% | -13.17% |
| Best Month | 6.07% | 4.99% |
| Worst Month | -9.98% | -7.02% |
| Best Year | 0.57% | 2.69% |
| Worst Year | -9.2% | -4.47% |
| Avg. Drawdown | -6.19% | -9.73% |
| Avg. Drawdown Days | 30 | 48 |
| Recovery Factor | -0.41 | -0.08 |
| Ulcer Index | 0.1 | 0.07 |
| Serenity Index | -0.14 | -0.26 |
| Avg. Up Month | 2.99% | 2.42% |
| Avg. Down Month | -6.66% | -3.7% |
| Win Days | 51.06% | 50.35% |
| Win Month | 57.14% | 57.14% |
| Win Quarter | 33.33% | 33.33% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.01 | - |
| Alpha | -0.12 | - |
| Correlation | 0.99% | - |
| Treynor Ratio | -2289.01% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.69 | 0.57 | 0.21 | - |
| 2022 | -4.47 | -9.20 | 2.06 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-23 | 2022-02-25 | -21.41 | 94 |
| 2021-09-08 | 2021-11-12 | -9.77 | 65 |
| 2021-08-10 | 2021-08-20 | -2.84 | 10 |
| 2021-11-17 | 2021-11-19 | -1.82 | 2 |
| 2021-08-31 | 2021-09-06 | -0.92 | 6 |
| 2021-08-27 | 2021-08-30 | -0.39 | 3 |