| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 95.0% | 99.0% |
| Cumulative Return | -8.65% | 0.39% |
| CAGR﹪ | -6.23% | 0.28% |
| Sharpe | -1.96 | -0.29 |
| Prob. Sharpe Ratio | 0.18% | 12.11% |
| Smart Sharpe | -1.57 | -0.24 |
| Sortino | -2.18 | -0.37 |
| Smart Sortino | -1.76 | -0.3 |
| Sortino/√2 | -1.54 | -0.26 |
| Smart Sortino/√2 | -1.24 | -0.21 |
| Omega | 0.64 | 0.64 |
| Max Drawdown | -9.84% | -16.85% |
| Longest DD Days | 410 | 311 |
| Volatility (ann.) | 6.72% | 17.03% |
| R^2 | 0.13 | 0.13 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | -0.63 | 0.02 |
| Skew | -6.52 | -1.78 |
| Kurtosis | 85.14 | 13.44 |
| Expected Daily | -0.03% | 0.0% |
| Expected Monthly | -0.5% | 0.02% |
| Expected Yearly | -2.97% | 0.13% |
| Kelly Criterion | -16.17% | -6.27% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.72% | -1.76% |
| Expected Shortfall (cVaR) | -0.72% | -1.76% |
| Max Consecutive Wins | 7 | 11 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | -0.2 | 0.02 |
| Gain/Pain (1M) | -0.68 | 0.08 |
| Payoff Ratio | 0.75 | 0.79 |
| Profit Factor | 0.8 | 1.02 |
| Common Sense Ratio | 0.77 | 0.96 |
| CPC Index | 0.3 | 0.43 |
| Tail Ratio | 0.96 | 0.94 |
| Outlier Win Ratio | 7.55 | 2.07 |
| Outlier Loss Ratio | 6.29 | 2.14 |
| MTD | -7.25% | -11.84% |
| 3M | -7.12% | -11.24% |
| 6M | -9.36% | -15.26% |
| YTD | -8.86% | -11.0% |
| 1Y | -9.38% | -6.22% |
| 3Y (ann.) | -6.23% | 0.28% |
| 5Y (ann.) | -6.23% | 0.28% |
| 10Y (ann.) | -6.23% | 0.28% |
| All-time (ann.) | -6.23% | 0.28% |
| Best Day | 1.09% | 3.25% |
| Worst Day | -5.57% | -8.87% |
| Best Month | 1.54% | 12.54% |
| Worst Month | -7.25% | -11.84% |
| Best Year | 1.04% | 6.52% |
| Worst Year | -8.86% | -11.0% |
| Avg. Drawdown | -1.0% | -3.33% |
| Avg. Drawdown Days | 36 | 31 |
| Recovery Factor | -0.88 | 0.02 |
| Ulcer Index | 0.01 | 0.05 |
| Serenity Index | -1.74 | -0.15 |
| Avg. Up Month | 0.61% | 4.16% |
| Avg. Down Month | -2.02% | -4.34% |
| Win Days | 50.31% | 52.94% |
| Win Month | 47.06% | 58.82% |
| Win Quarter | 33.33% | 66.67% |
| Win Year | 33.33% | 66.67% |
| Beta | 0.14 | - |
| Alpha | -0.07 | - |
| Correlation | 36.51% | - |
| Treynor Ratio | -108.6% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 5.90 | 1.04 | 0.18 | - |
| 2021 | 6.52 | -0.80 | -0.12 | - |
| 2022 | -11.00 | -8.86 | 0.81 | + |
| 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 |