| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 84.0% | 84.0% |
| Cumulative Return | -6.65% | -6.26% |
| CAGR﹪ | -91.88% | -90.57% |
| Sharpe | -8.05 | -4.73 |
| Prob. Sharpe Ratio | 0.21% | 22.58% |
| Smart Sharpe | -7.85 | -4.62 |
| Sortino | -7.76 | -5.98 |
| Smart Sortino | -7.57 | -5.84 |
| Sortino/√2 | -5.48 | -4.23 |
| Smart Sortino/√2 | -5.35 | -4.13 |
| Omega | 0.09 | 0.09 |
| Max Drawdown | -7.29% | -10.49% |
| Longest DD Days | 8 | 9 |
| Volatility (ann.) | 35.86% | 55.8% |
| R^2 | 0.56 | 0.56 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | -12.6 | -8.64 |
| Skew | -2.08 | 0.48 |
| Kurtosis | 4.66 | 1.3 |
| Expected Daily | -1.14% | -1.07% |
| Expected Monthly | -6.65% | -6.26% |
| Expected Yearly | -6.65% | -6.26% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.09% | 0.09% |
| Daily Value-at-Risk | -4.83% | -6.8% |
| Expected Shortfall (cVaR) | -4.83% | -6.8% |
| Max Consecutive Wins | 1 | 1 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | -0.91 | -0.56 |
| Gain/Pain (1M) | -1.0 | -1.0 |
| Payoff Ratio | - | - |
| Profit Factor | 0.09 | 0.44 |
| Common Sense Ratio | 0.01 | 0.3 |
| CPC Index | - | - |
| Tail Ratio | 0.12 | 0.69 |
| Outlier Win Ratio | 7.42 | 1.09 |
| Outlier Loss Ratio | 2.99 | 2.04 |
| MTD | -6.65% | -6.26% |
| 3M | -6.65% | -6.26% |
| 6M | -6.65% | -6.26% |
| YTD | -6.65% | -6.26% |
| 1Y | -6.65% | -6.26% |
| 3Y (ann.) | -91.88% | -90.57% |
| 5Y (ann.) | -91.88% | -90.57% |
| 10Y (ann.) | -91.88% | -90.57% |
| All-time (ann.) | -91.88% | -90.57% |
| Best Day | 0.69% | 4.72% |
| Worst Day | -5.57% | -5.85% |
| Best Month | -6.65% | -6.26% |
| Worst Month | -6.65% | -6.26% |
| Best Year | -6.65% | -6.26% |
| Worst Year | -6.65% | -6.26% |
| Avg. Drawdown | -7.29% | -10.49% |
| Avg. Drawdown Days | 8 | 9 |
| Recovery Factor | -0.91 | -0.6 |
| Ulcer Index | 0.03 | 0.07 |
| Serenity Index | -1.39 | -0.54 |
| Avg. Up Month | - | - |
| Avg. Down Month | -6.65% | -6.26% |
| Win Days | 20.0% | 20.0% |
| Win Month | 0.0% | 0.0% |
| Win Quarter | 0.0% | 0.0% |
| Win Year | 0.0% | 0.0% |
| Beta | -0.48 | - |
| Alpha | -4.06 | - |
| Correlation | -75.02% | - |
| Treynor Ratio | 28.3% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | -6.26 | -6.65 | 1.06 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-17 | 2022-02-25 | -7.29 | 8 |