| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | -8.7% | -11.83% |
| CAGR﹪ | -13.78% | -18.55% |
| Sharpe | -2.37 | -0.89 |
| Prob. Sharpe Ratio | 0.25% | 9.07% |
| Smart Sharpe | -2.06 | -0.77 |
| Sortino | -2.56 | -1.19 |
| Smart Sortino | -2.23 | -1.04 |
| Sortino/√2 | -1.81 | -0.84 |
| Smart Sortino/√2 | -1.58 | -0.74 |
| Omega | 0.57 | 0.57 |
| Max Drawdown | -9.45% | -20.55% |
| Longest DD Days | 177 | 100 |
| Volatility (ann.) | 9.31% | 27.76% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | -1.46 | -0.9 |
| Skew | -5.69 | -0.2 |
| Kurtosis | 53.51 | 3.11 |
| Expected Daily | -0.06% | -0.09% |
| Expected Monthly | -1.13% | -1.56% |
| Expected Yearly | -4.45% | -6.1% |
| Kelly Criterion | -45.37% | -9.77% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.02% | -2.95% |
| Expected Shortfall (cVaR) | -1.02% | -2.95% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | -0.33 | -0.11 |
| Gain/Pain (1M) | -0.79 | -0.4 |
| Payoff Ratio | 0.55 | 0.99 |
| Profit Factor | 0.67 | 0.89 |
| Common Sense Ratio | 0.64 | 0.89 |
| CPC Index | 0.18 | 0.4 |
| Tail Ratio | 0.95 | 1.0 |
| Outlier Win Ratio | 9.42 | 1.8 |
| Outlier Loss Ratio | 6.78 | 2.14 |
| MTD | -7.25% | -9.19% |
| 3M | -7.12% | -19.44% |
| 6M | -9.36% | -11.74% |
| YTD | -8.86% | -13.39% |
| 1Y | -8.7% | -11.83% |
| 3Y (ann.) | -13.78% | -18.55% |
| 5Y (ann.) | -13.78% | -18.55% |
| 10Y (ann.) | -13.78% | -18.55% |
| All-time (ann.) | -13.78% | -18.55% |
| Best Day | 1.09% | 6.74% |
| Worst Day | -5.57% | -7.62% |
| Best Month | 1.54% | 10.09% |
| Worst Month | -7.25% | -9.19% |
| Best Year | 0.18% | 1.81% |
| Worst Year | -8.86% | -13.39% |
| Avg. Drawdown | -1.65% | -8.19% |
| Avg. Drawdown Days | 29 | 42 |
| Recovery Factor | -0.92 | -0.58 |
| Ulcer Index | 0.02 | 0.08 |
| Serenity Index | -1.82 | -0.28 |
| Avg. Up Month | 0.42% | 1.73% |
| Avg. Down Month | -3.11% | -6.68% |
| Win Days | 48.55% | 45.52% |
| Win Month | 37.5% | 37.5% |
| Win Quarter | 33.33% | 33.33% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.1 | - |
| Alpha | -0.13 | - |
| Correlation | 29.77% | - |
| Treynor Ratio | -157.3% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.81 | 0.18 | 0.10 | - |
| 2022 | -13.39 | -8.86 | 0.66 | + |
| 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 |