| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 96.0% | 98.0% |
| Cumulative Return | -7.65% | 5.76% |
| CAGR﹪ | -32.45% | 31.84% |
| Sharpe | -3.46 | 1.28 |
| Prob. Sharpe Ratio | 0.14% | 58.27% |
| Smart Sharpe | -3.2 | 1.18 |
| Sortino | -3.53 | 2.0 |
| Smart Sortino | -3.26 | 1.84 |
| Sortino/√2 | -2.5 | 1.41 |
| Smart Sortino/√2 | -2.3 | 1.3 |
| Omega | 0.38 | 0.38 |
| Max Drawdown | -9.44% | -6.37% |
| Longest DD Days | 51 | 50 |
| Volatility (ann.) | 14.49% | 20.87% |
| R^2 | 0.1 | 0.1 |
| Information Ratio | -0.17 | -0.17 |
| Calmar | -3.44 | 5.0 |
| Skew | -4.85 | 0.2 |
| Kurtosis | 28.71 | 1.14 |
| Expected Daily | -0.18% | 0.12% |
| Expected Monthly | -2.62% | 1.89% |
| Expected Yearly | -3.9% | 2.84% |
| Kelly Criterion | -20.99% | -9.83% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.67% | -2.03% |
| Expected Shortfall (cVaR) | -1.67% | -2.03% |
| Max Consecutive Wins | 7 | 3 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | -0.56 | 0.3 |
| Gain/Pain (1M) | -0.85 | 279.91 |
| Payoff Ratio | 0.79 | 0.77 |
| Profit Factor | 0.44 | 1.3 |
| Common Sense Ratio | 0.33 | 1.15 |
| CPC Index | 0.16 | 0.52 |
| Tail Ratio | 0.76 | 0.89 |
| Outlier Win Ratio | 7.44 | 1.89 |
| Outlier Loss Ratio | 5.25 | 3.35 |
| MTD | -7.25% | 2.31% |
| 3M | -7.65% | 5.76% |
| 6M | -7.65% | 5.76% |
| YTD | -8.86% | 2.16% |
| 1Y | -7.65% | 5.76% |
| 3Y (ann.) | -32.45% | 31.84% |
| 5Y (ann.) | -32.45% | 31.84% |
| 10Y (ann.) | -32.45% | 31.84% |
| All-time (ann.) | -32.45% | 31.84% |
| Best Day | 0.69% | 4.05% |
| Worst Day | -5.57% | -3.26% |
| Best Month | 1.33% | 3.52% |
| Worst Month | -7.25% | -0.15% |
| Best Year | 1.33% | 3.52% |
| Worst Year | -8.86% | 2.16% |
| Avg. Drawdown | -2.6% | -1.86% |
| Avg. Drawdown Days | 15 | 13 |
| Recovery Factor | -0.81 | 0.91 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | -1.32 | -0.09 |
| Avg. Up Month | 1.33% | 3.52% |
| Avg. Down Month | -1.73% | -0.15% |
| Win Days | 46.51% | 52.27% |
| Win Month | 33.33% | 66.67% |
| Win Quarter | 50.0% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -0.21 | - |
| Alpha | -0.36 | - |
| Correlation | -30.93% | - |
| Treynor Ratio | 68.19% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.52 | 1.33 | 0.38 | - |
| 2022 | 2.16 | -8.86 | -4.09 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-05 | 2022-02-25 | -9.44 | 51 |
| 2021-12-29 | 2022-01-03 | -0.48 | 5 |
| 2021-12-24 | 2021-12-27 | -0.40 | 3 |
| 2021-12-14 | 2021-12-15 | -0.08 | 1 |