| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 94.0% | 99.0% |
| Cumulative Return | -8.53% | 4.36% |
| CAGR﹪ | -13.14% | 6.97% |
| Sharpe | -2.32 | 0.15 |
| Prob. Sharpe Ratio | 0.27% | 28.96% |
| Smart Sharpe | -2.02 | 0.13 |
| Sortino | -2.51 | 0.22 |
| Smart Sortino | -2.19 | 0.19 |
| Sortino/√2 | -1.78 | 0.15 |
| Smart Sortino/√2 | -1.55 | 0.13 |
| Omega | 0.57 | 0.57 |
| Max Drawdown | -9.45% | -13.78% |
| Longest DD Days | 177 | 108 |
| Volatility (ann.) | 9.16% | 27.13% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | -1.39 | 0.51 |
| Skew | -5.79 | 0.51 |
| Kurtosis | 55.4 | 11.24 |
| Expected Daily | -0.06% | 0.03% |
| Expected Monthly | -1.11% | 0.53% |
| Expected Yearly | -4.36% | 2.16% |
| Kelly Criterion | -43.15% | -6.04% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.01% | -2.77% |
| Expected Shortfall (cVaR) | -1.01% | -2.77% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | -0.32 | 0.09 |
| Gain/Pain (1M) | -0.77 | 0.59 |
| Payoff Ratio | 0.54 | 0.96 |
| Profit Factor | 0.68 | 1.09 |
| Common Sense Ratio | 0.64 | 1.1 |
| CPC Index | 0.18 | 0.5 |
| Tail Ratio | 0.95 | 1.01 |
| Outlier Win Ratio | 13.52 | 2.93 |
| Outlier Loss Ratio | 8.44 | 3.43 |
| MTD | -7.25% | -2.27% |
| 3M | -7.12% | -3.8% |
| 6M | -9.36% | 2.16% |
| YTD | -8.86% | -5.9% |
| 1Y | -8.53% | 4.36% |
| 3Y (ann.) | -13.14% | 6.97% |
| 5Y (ann.) | -13.14% | 6.97% |
| 10Y (ann.) | -13.14% | 6.97% |
| All-time (ann.) | -13.14% | 6.97% |
| Best Day | 1.09% | 9.22% |
| Worst Day | -5.57% | -7.94% |
| Best Month | 1.54% | 5.1% |
| Worst Month | -7.25% | -5.38% |
| Best Year | 0.36% | 10.9% |
| Worst Year | -8.86% | -5.9% |
| Avg. Drawdown | -1.65% | -3.84% |
| Avg. Drawdown Days | 29 | 27 |
| Recovery Factor | -0.9 | 0.32 |
| Ulcer Index | 0.02 | 0.07 |
| Serenity Index | -1.82 | -0.05 |
| Avg. Up Month | 0.98% | 4.02% |
| Avg. Down Month | -3.11% | -3.79% |
| Win Days | 49.65% | 47.97% |
| Win Month | 37.5% | 50.0% |
| Win Quarter | 33.33% | 33.33% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.02 | - |
| Alpha | -0.15 | - |
| Correlation | 7.18% | - |
| Treynor Ratio | -641.32% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 10.90 | 0.36 | 0.03 | - |
| 2022 | -5.90 | -8.86 | 1.50 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-01 | 2022-02-25 | -9.45 | 177 |
| 2021-08-11 | 2021-08-19 | -0.69 | 8 |
| 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 |