| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 94.0% | 99.0% |
| Cumulative Return | -9.4% | -23.39% |
| CAGR﹪ | -7.97% | -20.07% |
| Sharpe | -2.09 | -0.88 |
| Prob. Sharpe Ratio | 0.13% | 3.01% |
| Smart Sharpe | -1.69 | -0.71 |
| Sortino | -2.32 | -1.22 |
| Smart Sortino | -1.88 | -0.99 |
| Sortino/√2 | -1.64 | -0.87 |
| Smart Sortino/√2 | -1.33 | -0.7 |
| Omega | 0.62 | 0.62 |
| Max Drawdown | -9.84% | -40.79% |
| Longest DD Days | 410 | 372 |
| Volatility (ann.) | 7.23% | 29.16% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | -0.81 | -0.49 |
| Skew | -6.18 | 0.13 |
| Kurtosis | 75.06 | 1.29 |
| Expected Daily | -0.03% | -0.09% |
| Expected Monthly | -0.66% | -1.76% |
| Expected Yearly | -3.24% | -8.5% |
| Kelly Criterion | -7.29% | -3.31% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.78% | -3.1% |
| Expected Shortfall (cVaR) | -0.78% | -3.1% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | -0.23 | -0.1 |
| Gain/Pain (1M) | -0.75 | -0.58 |
| Payoff Ratio | 0.92 | 1.16 |
| Profit Factor | 0.77 | 0.9 |
| Common Sense Ratio | 0.73 | 0.94 |
| CPC Index | 0.34 | 0.46 |
| Tail Ratio | 0.94 | 1.05 |
| Outlier Win Ratio | 13.71 | 2.0 |
| Outlier Loss Ratio | 8.84 | 1.96 |
| MTD | -7.25% | 0.88% |
| 3M | -7.12% | -5.15% |
| 6M | -9.36% | -5.81% |
| YTD | -8.86% | 2.47% |
| 1Y | -9.38% | -31.23% |
| 3Y (ann.) | -7.97% | -20.07% |
| 5Y (ann.) | -7.97% | -20.07% |
| 10Y (ann.) | -7.97% | -20.07% |
| All-time (ann.) | -7.97% | -20.07% |
| Best Day | 1.09% | 6.35% |
| Worst Day | -5.57% | -6.73% |
| Best Month | 1.54% | 7.7% |
| Worst Month | -7.25% | -14.82% |
| Best Year | 0.21% | 2.47% |
| Worst Year | -8.86% | -26.38% |
| Avg. Drawdown | -5.16% | -8.0% |
| Avg. Drawdown Days | 209 | 58 |
| Recovery Factor | -0.96 | -0.57 |
| Ulcer Index | 0.02 | 0.28 |
| Serenity Index | -1.71 | -0.04 |
| Avg. Up Month | 0.21% | 3.25% |
| Avg. Down Month | -0.56% | -3.11% |
| Win Days | 48.53% | 44.6% |
| Win Month | 40.0% | 40.0% |
| Win Quarter | 33.33% | 33.33% |
| Win Year | 33.33% | 66.67% |
| Beta | -0.01 | - |
| Alpha | -0.08 | - |
| Correlation | -3.51% | - |
| Treynor Ratio | 1885.65% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 1.56 | 0.21 | 0.13 | - |
| 2021 | -26.38 | -0.80 | 0.03 | + |
| 2022 | 2.47 | -8.86 | -3.59 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-01-11 | 2022-02-25 | -9.84 | 410 |
| 2020-12-21 | 2020-12-29 | -0.48 | 8 |