| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 93.0% | 99.0% |
| Cumulative Return | -8.53% | -13.29% |
| CAGR﹪ | -12.73% | -19.57% |
| Sharpe | -2.28 | -1.01 |
| Prob. Sharpe Ratio | 0.29% | 7.38% |
| Smart Sharpe | -1.98 | -0.87 |
| Sortino | -2.48 | -1.41 |
| Smart Sortino | -2.15 | -1.22 |
| Sortino/√2 | -1.76 | -1.0 |
| Smart Sortino/√2 | -1.52 | -0.86 |
| Omega | 0.58 | 0.58 |
| Max Drawdown | -9.45% | -20.66% |
| Longest DD Days | 177 | 238 |
| Volatility (ann.) | 9.04% | 26.11% |
| R^2 | 0.05 | 0.05 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | -1.35 | -0.95 |
| Skew | -5.78 | 0.41 |
| Kurtosis | 56.01 | 1.21 |
| Expected Daily | -0.06% | -0.09% |
| Expected Monthly | -1.11% | -1.77% |
| Expected Yearly | -4.36% | -6.88% |
| Kelly Criterion | -4.66% | -20.22% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.99% | -2.78% |
| Expected Shortfall (cVaR) | -0.99% | -2.78% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | -0.31 | -0.12 |
| Gain/Pain (1M) | -0.77 | -0.6 |
| Payoff Ratio | 0.94 | 0.74 |
| Profit Factor | 0.69 | 0.88 |
| Common Sense Ratio | 0.65 | 0.75 |
| CPC Index | 0.32 | 0.32 |
| Tail Ratio | 0.94 | 0.85 |
| Outlier Win Ratio | 11.8 | 2.34 |
| Outlier Loss Ratio | 6.15 | 1.77 |
| MTD | -7.25% | 5.1% |
| 3M | -7.12% | -5.4% |
| 6M | -9.36% | -9.86% |
| YTD | -8.86% | -3.54% |
| 1Y | -8.53% | -13.29% |
| 3Y (ann.) | -12.73% | -19.57% |
| 5Y (ann.) | -12.73% | -19.57% |
| 10Y (ann.) | -12.73% | -19.57% |
| All-time (ann.) | -12.73% | -19.57% |
| Best Day | 1.09% | 5.91% |
| Worst Day | -5.57% | -4.0% |
| Best Month | 1.54% | 5.1% |
| Worst Month | -7.25% | -8.23% |
| Best Year | 0.36% | -3.54% |
| Worst Year | -8.86% | -10.11% |
| Avg. Drawdown | -1.38% | -20.66% |
| Avg. Drawdown Days | 24 | 238 |
| Recovery Factor | -0.9 | -0.64 |
| Ulcer Index | 0.02 | 0.1 |
| Serenity Index | -1.87 | -0.18 |
| Avg. Up Month | 1.54% | 2.55% |
| Avg. Down Month | -0.97% | -4.25% |
| Win Days | 49.32% | 49.03% |
| Win Month | 37.5% | 25.0% |
| Win Quarter | 33.33% | 0.0% |
| Win Year | 50.0% | 0.0% |
| Beta | -0.08 | - |
| Alpha | -0.15 | - |
| Correlation | -23.18% | - |
| Treynor Ratio | 193.49% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -10.11 | 0.36 | -0.04 | + |
| 2022 | -3.54 | -8.86 | 2.50 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-01 | 2022-02-25 | -9.45 | 177 |
| 2021-08-11 | 2021-08-19 | -0.69 | 8 |
| 2021-07-08 | 2021-07-13 | -0.48 | 5 |
| 2021-07-02 | 2021-07-06 | -0.40 | 4 |
| 2021-08-04 | 2021-08-10 | -0.38 | 6 |
| 2021-08-20 | 2021-08-24 | -0.38 | 4 |
| 2021-07-19 | 2021-07-22 | -0.34 | 3 |
| 2021-07-26 | 2021-07-29 | -0.22 | 3 |
| 2021-08-26 | 2021-08-30 | -0.08 | 4 |