| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 92.0% |
| Cumulative Return | -6.3% | -12.32% |
| CAGR﹪ | -9.98% | -19.13% |
| Sharpe | -0.53 | -0.91 |
| Prob. Sharpe Ratio | 13.81% | 6.99% |
| Smart Sharpe | -0.5 | -0.87 |
| Sortino | -0.73 | -1.14 |
| Smart Sortino | -0.7 | -1.08 |
| Sortino/√2 | -0.52 | -0.8 |
| Smart Sortino/√2 | -0.49 | -0.77 |
| Omega | 0.91 | 0.91 |
| Max Drawdown | -21.41% | -22.71% |
| Longest DD Days | 94 | 164 |
| Volatility (ann.) | 26.06% | 26.29% |
| R^2 | 0.14 | 0.14 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | -0.47 | -0.84 |
| Skew | 0.23 | -3.27 |
| Kurtosis | 3.26 | 76.41 |
| Expected Daily | -0.04% | -0.08% |
| Expected Monthly | -0.81% | -1.63% |
| Expected Yearly | -3.2% | -6.36% |
| Kelly Criterion | -25.28% | -31.01% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.73% | -2.79% |
| Expected Shortfall (cVaR) | -2.73% | -2.79% |
| Max Consecutive Wins | 8 | 10 |
| Max Consecutive Losses | 5 | 9 |
| Gain/Pain Ratio | -0.05 | -0.34 |
| Gain/Pain (1M) | -0.22 | -0.86 |
| Payoff Ratio | 0.64 | 0.67 |
| Profit Factor | 0.95 | 0.66 |
| Common Sense Ratio | 0.74 | 0.36 |
| CPC Index | 0.31 | 0.21 |
| Tail Ratio | 0.78 | 0.54 |
| Outlier Win Ratio | 2.35 | 9.92 |
| Outlier Loss Ratio | 2.54 | 7.45 |
| MTD | 0.86% | -10.09% |
| 3M | -11.65% | -10.84% |
| 6M | -10.68% | -13.08% |
| YTD | -9.2% | -11.84% |
| 1Y | -6.3% | -12.32% |
| 3Y (ann.) | -9.98% | -19.13% |
| 5Y (ann.) | -9.98% | -19.13% |
| 10Y (ann.) | -9.98% | -19.13% |
| All-time (ann.) | -9.98% | -19.13% |
| Best Day | 7.39% | 12.33% |
| Worst Day | -5.79% | -16.17% |
| Best Month | 6.07% | 1.05% |
| Worst Month | -9.98% | -10.09% |
| Best Year | 3.19% | -0.54% |
| Worst Year | -9.2% | -11.84% |
| Avg. Drawdown | -5.15% | -2.6% |
| Avg. Drawdown Days | 24 | 22 |
| Recovery Factor | -0.29 | -0.54 |
| Ulcer Index | 0.1 | 0.03 |
| Serenity Index | -0.13 | -1.94 |
| Avg. Up Month | 3.06% | 0.39% |
| Avg. Down Month | -8.17% | -1.0% |
| Win Days | 50.96% | 47.26% |
| Win Month | 62.5% | 37.5% |
| Win Quarter | 33.33% | 33.33% |
| Win Year | 50.0% | 0.0% |
| Beta | -0.37 | - |
| Alpha | -0.13 | - |
| Correlation | -36.99% | - |
| Treynor Ratio | 36.28% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -0.54 | 3.19 | -5.92 | + |
| 2022 | -11.84 | -9.20 | 0.78 | + |
| 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 |
| 2021-07-26 | 2021-08-05 | -2.30 | 10 |
| 2021-11-17 | 2021-11-19 | -1.82 | 2 |
| 2021-07-15 | 2021-07-21 | -1.77 | 6 |
| 2021-08-31 | 2021-09-06 | -0.92 | 6 |
| 2021-08-27 | 2021-08-30 | -0.39 | 3 |