| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | -8.65% | -29.25% |
| CAGR﹪ | -6.23% | -21.82% |
| Sharpe | -1.95 | -1.07 |
| Prob. Sharpe Ratio | 0.18% | 1.15% |
| Smart Sharpe | -1.57 | -0.86 |
| Sortino | -2.18 | -1.42 |
| Smart Sortino | -1.75 | -1.14 |
| Sortino/√2 | -1.54 | -1.0 |
| Smart Sortino/√2 | -1.24 | -0.81 |
| Omega | 0.64 | 0.64 |
| Max Drawdown | -9.84% | -42.82% |
| Longest DD Days | 410 | 374 |
| Volatility (ann.) | 6.72% | 26.52% |
| R^2 | 0.06 | 0.06 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | -0.63 | -0.51 |
| Skew | -6.49 | -0.32 |
| Kurtosis | 84.81 | 2.18 |
| Expected Daily | -0.03% | -0.1% |
| Expected Monthly | -0.5% | -1.9% |
| Expected Yearly | -2.97% | -10.89% |
| Kelly Criterion | -16.69% | -4.16% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.72% | -2.83% |
| Expected Shortfall (cVaR) | -0.72% | -2.83% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | -0.2 | -0.13 |
| Gain/Pain (1M) | -0.68 | -0.54 |
| Payoff Ratio | 0.74 | 0.99 |
| Profit Factor | 0.8 | 0.87 |
| Common Sense Ratio | 0.77 | 0.87 |
| CPC Index | 0.3 | 0.42 |
| Tail Ratio | 0.95 | 0.99 |
| Outlier Win Ratio | 12.15 | 1.93 |
| Outlier Loss Ratio | 9.41 | 1.98 |
| MTD | -7.25% | -10.44% |
| 3M | -7.12% | -13.68% |
| 6M | -9.36% | -16.23% |
| YTD | -8.86% | -6.15% |
| 1Y | -9.38% | -37.95% |
| 3Y (ann.) | -6.23% | -21.82% |
| 5Y (ann.) | -6.23% | -21.82% |
| 10Y (ann.) | -6.23% | -21.82% |
| All-time (ann.) | -6.23% | -21.82% |
| Best Day | 1.09% | 5.03% |
| Worst Day | -5.57% | -8.44% |
| Best Month | 1.54% | 11.38% |
| Worst Month | -7.25% | -15.74% |
| Best Year | 1.04% | 2.84% |
| Worst Year | -8.86% | -26.69% |
| Avg. Drawdown | -1.0% | -7.61% |
| Avg. Drawdown Days | 36 | 54 |
| Recovery Factor | -0.88 | -0.68 |
| Ulcer Index | 0.01 | 0.25 |
| Serenity Index | -1.75 | -0.06 |
| Avg. Up Month | 0.15% | 9.48% |
| Avg. Down Month | -1.35% | -4.24% |
| Win Days | 50.46% | 48.12% |
| Win Month | 47.06% | 23.53% |
| Win Quarter | 33.33% | 33.33% |
| Win Year | 33.33% | 33.33% |
| Beta | 0.06 | - |
| Alpha | -0.05 | - |
| Correlation | 24.49% | - |
| Treynor Ratio | -252.21% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 2.84 | 1.04 | 0.37 | - |
| 2021 | -26.69 | -0.80 | 0.03 | + |
| 2022 | -6.15 | -8.86 | 1.44 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-01-11 | 2022-02-25 | -9.84 | 410 |
| 2020-12-15 | 2020-12-30 | -0.67 | 15 |
| 2020-11-11 | 2020-11-16 | -0.53 | 5 |
| 2020-11-19 | 2020-11-20 | -0.34 | 1 |
| 2020-10-07 | 2020-10-09 | -0.33 | 2 |
| 2020-12-08 | 2020-12-14 | -0.33 | 6 |
| 2020-10-27 | 2020-11-05 | -0.25 | 9 |
| 2020-12-01 | 2020-12-07 | -0.18 | 6 |
| 2020-10-22 | 2020-10-23 | -0.17 | 1 |
| 2020-11-17 | 2020-11-18 | -0.16 | 1 |