| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 92.0% | 100.0% |
| Cumulative Return | -8.99% | -3.56% |
| CAGR﹪ | -10.69% | -4.26% |
| Sharpe | -2.23 | -0.85 |
| Prob. Sharpe Ratio | 0.17% | 9.98% |
| Smart Sharpe | -1.9 | -0.72 |
| Sortino | -2.43 | -1.08 |
| Smart Sortino | -2.08 | -0.92 |
| Sortino/√2 | -1.72 | -0.76 |
| Smart Sortino/√2 | -1.47 | -0.65 |
| Omega | 0.58 | 0.58 |
| Max Drawdown | -9.45% | -9.11% |
| Longest DD Days | 177 | 174 |
| Volatility (ann.) | 8.14% | 12.39% |
| R^2 | 0.1 | 0.1 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | -1.13 | -0.47 |
| Skew | -6.16 | -1.53 |
| Kurtosis | 66.47 | 14.59 |
| Expected Daily | -0.05% | -0.02% |
| Expected Monthly | -0.85% | -0.33% |
| Expected Yearly | -4.6% | -1.8% |
| Kelly Criterion | -40.3% | -24.13% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.89% | -1.3% |
| Expected Shortfall (cVaR) | -0.89% | -1.3% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | -0.29 | -0.06 |
| Gain/Pain (1M) | -0.77 | -0.22 |
| Payoff Ratio | 0.55 | 0.72 |
| Profit Factor | 0.71 | 0.94 |
| Common Sense Ratio | 0.68 | 1.17 |
| CPC Index | 0.2 | 0.33 |
| Tail Ratio | 0.95 | 1.24 |
| Outlier Win Ratio | 5.96 | 2.46 |
| Outlier Loss Ratio | 4.75 | 3.28 |
| MTD | -7.25% | -6.44% |
| 3M | -7.12% | -6.79% |
| 6M | -9.36% | -6.51% |
| YTD | -8.86% | -7.72% |
| 1Y | -8.99% | -3.56% |
| 3Y (ann.) | -10.69% | -4.26% |
| 5Y (ann.) | -10.69% | -4.26% |
| 10Y (ann.) | -10.69% | -4.26% |
| All-time (ann.) | -10.69% | -4.26% |
| Best Day | 1.09% | 3.5% |
| Worst Day | -5.57% | -5.58% |
| Best Month | 1.54% | 2.76% |
| Worst Month | -7.25% | -6.44% |
| Best Year | -0.14% | 4.5% |
| Worst Year | -8.86% | -7.72% |
| Avg. Drawdown | -1.99% | -3.26% |
| Avg. Drawdown Days | 48 | 41 |
| Recovery Factor | -0.95 | -0.39 |
| Ulcer Index | 0.01 | 0.03 |
| Serenity Index | -2.12 | -0.59 |
| Avg. Up Month | 0.69% | 1.41% |
| Avg. Down Month | -2.17% | -2.72% |
| Win Days | 50.0% | 48.02% |
| Win Month | 36.36% | 54.55% |
| Win Quarter | 25.0% | 75.0% |
| Win Year | 0.0% | 50.0% |
| Beta | 0.21 | - |
| Alpha | -0.11 | - |
| Correlation | 31.74% | - |
| Treynor Ratio | -76.71% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 4.50 | -0.14 | -0.03 | - |
| 2022 | -7.72 | -8.86 | 1.15 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-01 | 2022-02-25 | -9.45 | 177 |
| 2021-05-24 | 2021-08-19 | -1.21 | 87 |
| 2021-05-04 | 2021-05-10 | -0.46 | 6 |
| 2021-08-20 | 2021-08-24 | -0.38 | 4 |
| 2021-05-11 | 2021-05-20 | -0.36 | 9 |
| 2021-08-26 | 2021-08-30 | -0.08 | 4 |