| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 98.0% |
| Cumulative Return | -5.99% | 9.59% |
| CAGR﹪ | -13.95% | 24.96% |
| Sharpe | -0.58 | 0.95 |
| Prob. Sharpe Ratio | 17.48% | 55.43% |
| Smart Sharpe | -0.55 | 0.9 |
| Sortino | -0.8 | 1.37 |
| Smart Sortino | -0.77 | 1.3 |
| Sortino/√2 | -0.57 | 0.97 |
| Smart Sortino/√2 | -0.54 | 0.92 |
| Omega | 0.9 | 0.9 |
| Max Drawdown | -21.41% | -7.8% |
| Longest DD Days | 94 | 50 |
| Volatility (ann.) | 29.83% | 17.75% |
| R^2 | 0.4 | 0.4 |
| Information Ratio | -0.09 | -0.09 |
| Calmar | -0.65 | 3.2 |
| Skew | 0.27 | -0.35 |
| Kurtosis | 2.48 | 1.56 |
| Expected Daily | -0.06% | 0.09% |
| Expected Monthly | -1.02% | 1.54% |
| Expected Yearly | -3.04% | 4.69% |
| Kelly Criterion | -4.8% | 5.89% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.13% | -1.75% |
| Expected Shortfall (cVaR) | -3.13% | -1.75% |
| Max Consecutive Wins | 5 | 8 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | -0.06 | 0.24 |
| Gain/Pain (1M) | -0.32 | 2.42 |
| Payoff Ratio | 0.86 | 1.0 |
| Profit Factor | 0.94 | 1.24 |
| Common Sense Ratio | 0.76 | 1.59 |
| CPC Index | 0.42 | 0.66 |
| Tail Ratio | 0.81 | 1.28 |
| Outlier Win Ratio | 3.04 | 4.22 |
| Outlier Loss Ratio | 2.6 | 4.41 |
| MTD | 0.86% | 0.67% |
| 3M | -11.65% | -0.02% |
| 6M | -5.99% | 9.59% |
| YTD | -9.2% | -2.76% |
| 1Y | -5.99% | 9.59% |
| 3Y (ann.) | -13.95% | 24.96% |
| 5Y (ann.) | -13.95% | 24.96% |
| 10Y (ann.) | -13.95% | 24.96% |
| All-time (ann.) | -13.95% | 24.96% |
| Best Day | 7.39% | 2.69% |
| Worst Day | -5.79% | -4.06% |
| Best Month | 6.07% | 5.74% |
| Worst Month | -9.98% | -3.4% |
| Best Year | 3.54% | 12.7% |
| Worst Year | -9.2% | -2.76% |
| Avg. Drawdown | -3.41% | -2.88% |
| Avg. Drawdown Days | 14 | 17 |
| Recovery Factor | -0.28 | 1.23 |
| Ulcer Index | 0.11 | 0.03 |
| Serenity Index | -0.1 | 0.13 |
| Avg. Up Month | 2.83% | 3.18% |
| Avg. Down Month | -5.11% | -2.14% |
| Win Days | 51.46% | 52.94% |
| Win Month | 50.0% | 66.67% |
| Win Quarter | 33.33% | 33.33% |
| Win Year | 50.0% | 50.0% |
| Beta | 1.06 | - |
| Alpha | -0.35 | - |
| Correlation | 63.09% | - |
| Treynor Ratio | -12.24% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 12.70 | 3.54 | 0.28 | - |
| 2022 | -2.76 | -9.20 | 3.34 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-23 | 2022-02-25 | -21.41 | 94 |
| 2021-09-29 | 2021-10-07 | -2.93 | 8 |
| 2021-11-17 | 2021-11-19 | -1.82 | 2 |
| 2021-10-22 | 2021-10-29 | -1.48 | 7 |
| 2021-10-08 | 2021-10-13 | -0.97 | 5 |
| 2021-11-08 | 2021-11-12 | -0.94 | 4 |
| 2021-10-15 | 2021-10-18 | -0.65 | 3 |
| 2021-11-03 | 2021-11-05 | -0.43 | 2 |
| 2021-11-01 | 2021-11-02 | -0.02 | 1 |