| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 95.0% | 99.0% |
| Cumulative Return | -7.12% | -1.65% |
| CAGR﹪ | -25.17% | -6.34% |
| Sharpe | -2.94 | -0.6 |
| Prob. Sharpe Ratio | 0.5% | 26.15% |
| Smart Sharpe | -2.82 | -0.57 |
| Sortino | -3.04 | -0.93 |
| Smart Sortino | -2.92 | -0.89 |
| Sortino/√2 | -2.15 | -0.65 |
| Smart Sortino/√2 | -2.07 | -0.63 |
| Omega | 0.45 | 0.45 |
| Max Drawdown | -9.44% | -7.81% |
| Longest DD Days | 51 | 41 |
| Volatility (ann.) | 13.32% | 20.47% |
| R^2 | 0.12 | 0.12 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | -2.67 | -0.81 |
| Skew | -5.07 | 0.97 |
| Kurtosis | 32.86 | 2.25 |
| Expected Daily | -0.13% | -0.03% |
| Expected Monthly | -1.83% | -0.42% |
| Expected Yearly | -3.63% | -0.83% |
| Kelly Criterion | -16.88% | -44.83% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.51% | -2.14% |
| Expected Shortfall (cVaR) | -1.51% | -2.14% |
| Max Consecutive Wins | 7 | 3 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | -0.48 | -0.04 |
| Gain/Pain (1M) | -0.79 | -0.36 |
| Payoff Ratio | 0.77 | 0.6 |
| Profit Factor | 0.52 | 0.96 |
| Common Sense Ratio | 0.44 | 1.03 |
| CPC Index | 0.2 | 0.26 |
| Tail Ratio | 0.84 | 1.08 |
| Outlier Win Ratio | 8.13 | 2.16 |
| Outlier Loss Ratio | 4.73 | 2.84 |
| MTD | -7.25% | 0.07% |
| 3M | -7.12% | -1.65% |
| 6M | -7.12% | -1.65% |
| YTD | -8.86% | -1.06% |
| 1Y | -7.12% | -1.65% |
| 3Y (ann.) | -25.17% | -6.34% |
| 5Y (ann.) | -25.17% | -6.34% |
| 10Y (ann.) | -25.17% | -6.34% |
| All-time (ann.) | -25.17% | -6.34% |
| Best Day | 0.83% | 4.73% |
| Worst Day | -5.57% | -2.33% |
| Best Month | 1.54% | 1.78% |
| Worst Month | -7.25% | -2.33% |
| Best Year | 1.91% | -0.6% |
| Worst Year | -8.86% | -1.06% |
| Avg. Drawdown | -2.19% | -5.04% |
| Avg. Drawdown Days | 15 | 30 |
| Recovery Factor | -0.75 | -0.21 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | -1.43 | -0.51 |
| Avg. Up Month | 1.54% | 1.78% |
| Avg. Down Month | -1.73% | -1.13% |
| Win Days | 49.06% | 45.45% |
| Win Month | 50.0% | 50.0% |
| Win Quarter | 50.0% | 0.0% |
| Win Year | 50.0% | 0.0% |
| Beta | -0.23 | - |
| Alpha | -0.34 | - |
| Correlation | -34.95% | - |
| Treynor Ratio | 62.09% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -0.60 | 1.91 | -3.20 | + |
| 2022 | -1.06 | -8.86 | 8.33 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-05 | 2022-02-25 | -9.44 | 51 |
| 2021-11-30 | 2021-12-15 | -0.50 | 15 |
| 2021-12-29 | 2022-01-03 | -0.48 | 5 |
| 2021-12-24 | 2021-12-27 | -0.40 | 3 |
| 2021-11-26 | 2021-11-29 | -0.12 | 3 |