| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -9.02% | -16.2% |
| CAGR﹪ | -18.97% | -32.53% |
| Sharpe | -0.8 | -1.8 |
| Prob. Sharpe Ratio | 13.07% | 3.81% |
| Smart Sharpe | -0.77 | -1.72 |
| Sortino | -1.11 | -2.31 |
| Smart Sortino | -1.06 | -2.21 |
| Sortino/√2 | -0.78 | -1.63 |
| Smart Sortino/√2 | -0.75 | -1.56 |
| Omega | 0.87 | 0.87 |
| Max Drawdown | -21.41% | -22.21% |
| Longest DD Days | 94 | 156 |
| Volatility (ann.) | 29.08% | 23.68% |
| R^2 | 0.26 | 0.26 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | -0.89 | -1.46 |
| Skew | 0.29 | -0.05 |
| Kurtosis | 2.58 | 0.45 |
| Expected Daily | -0.08% | -0.15% |
| Expected Monthly | -1.56% | -2.9% |
| Expected Yearly | -4.61% | -8.46% |
| Kelly Criterion | -7.19% | -2.07% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.08% | -2.6% |
| Expected Shortfall (cVaR) | -3.08% | -2.6% |
| Max Consecutive Wins | 5 | 6 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | -0.1 | -0.22 |
| Gain/Pain (1M) | -0.45 | -0.85 |
| Payoff Ratio | 0.89 | 0.9 |
| Profit Factor | 0.9 | 0.78 |
| Common Sense Ratio | 0.76 | 0.74 |
| CPC Index | 0.4 | 0.36 |
| Tail Ratio | 0.84 | 0.95 |
| Outlier Win Ratio | 3.35 | 4.18 |
| Outlier Loss Ratio | 2.83 | 2.85 |
| MTD | 0.86% | 2.18% |
| 3M | -11.65% | -7.74% |
| 6M | -9.02% | -16.2% |
| YTD | -9.2% | -7.72% |
| 1Y | -9.02% | -16.2% |
| 3Y (ann.) | -18.97% | -32.53% |
| 5Y (ann.) | -18.97% | -32.53% |
| 10Y (ann.) | -18.97% | -32.53% |
| All-time (ann.) | -18.97% | -32.53% |
| Best Day | 7.39% | 3.98% |
| Worst Day | -5.79% | -4.66% |
| Best Month | 6.07% | 2.18% |
| Worst Month | -9.98% | -9.69% |
| Best Year | 0.2% | -7.72% |
| Worst Year | -9.2% | -9.19% |
| Avg. Drawdown | -3.92% | -11.65% |
| Avg. Drawdown Days | 16 | 81 |
| Recovery Factor | -0.42 | -0.73 |
| Ulcer Index | 0.11 | 0.13 |
| Serenity Index | -0.14 | -0.12 |
| Avg. Up Month | 1.21% | 1.16% |
| Avg. Down Month | -5.7% | -4.81% |
| Win Days | 49.56% | 51.75% |
| Win Month | 50.0% | 33.33% |
| Win Quarter | 33.33% | 0.0% |
| Win Year | 50.0% | 0.0% |
| Beta | 0.63 | - |
| Alpha | 0.06 | - |
| Correlation | 51.25% | - |
| Treynor Ratio | -25.45% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -9.19 | 0.20 | -0.02 | + |
| 2022 | -7.72 | -9.20 | 1.19 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-23 | 2022-02-25 | -21.41 | 94 |
| 2021-09-24 | 2021-10-20 | -7.12 | 26 |
| 2021-11-17 | 2021-11-19 | -1.82 | 2 |
| 2021-10-22 | 2021-10-29 | -1.48 | 7 |
| 2021-09-17 | 2021-09-23 | -1.30 | 6 |
| 2021-11-08 | 2021-11-12 | -0.94 | 4 |
| 2021-09-15 | 2021-09-16 | -0.73 | 1 |
| 2021-11-03 | 2021-11-05 | -0.43 | 2 |
| 2021-11-01 | 2021-11-02 | -0.02 | 1 |