| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 93.0% | 99.0% |
| Cumulative Return | -8.66% | -2.06% |
| CAGR﹪ | -12.48% | -3.02% |
| Sharpe | -2.28 | -0.81 |
| Prob. Sharpe Ratio | 0.26% | 13.1% |
| Smart Sharpe | -1.97 | -0.7 |
| Sortino | -2.48 | -0.89 |
| Smart Sortino | -2.14 | -0.77 |
| Sortino/√2 | -1.75 | -0.63 |
| Smart Sortino/√2 | -1.51 | -0.54 |
| Omega | 0.58 | 0.58 |
| Max Drawdown | -9.45% | -9.61% |
| Longest DD Days | 177 | 83 |
| Volatility (ann.) | 8.9% | 11.51% |
| R^2 | 0.4 | 0.4 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | -1.32 | -0.31 |
| Skew | -5.81 | -6.84 |
| Kurtosis | 57.21 | 70.68 |
| Expected Daily | -0.06% | -0.01% |
| Expected Monthly | -1.0% | -0.23% |
| Expected Yearly | -4.43% | -1.04% |
| Kelly Criterion | -47.45% | -25.6% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.98% | -1.2% |
| Expected Shortfall (cVaR) | -0.98% | -1.2% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | -0.3 | -0.05 |
| Gain/Pain (1M) | -0.77 | -0.16 |
| Payoff Ratio | 0.52 | 0.6 |
| Profit Factor | 0.7 | 0.95 |
| Common Sense Ratio | 0.66 | 1.11 |
| CPC Index | 0.18 | 0.3 |
| Tail Ratio | 0.94 | 1.17 |
| Outlier Win Ratio | 4.51 | 3.22 |
| Outlier Loss Ratio | 3.13 | 2.97 |
| MTD | -7.25% | -8.05% |
| 3M | -7.12% | -8.34% |
| 6M | -9.36% | -6.26% |
| YTD | -8.86% | -9.61% |
| 1Y | -8.66% | -2.06% |
| 3Y (ann.) | -12.48% | -3.02% |
| 5Y (ann.) | -12.48% | -3.02% |
| 10Y (ann.) | -12.48% | -3.02% |
| All-time (ann.) | -12.48% | -3.02% |
| Best Day | 1.09% | 1.27% |
| Worst Day | -5.57% | -7.52% |
| Best Month | 1.54% | 3.78% |
| Worst Month | -7.25% | -8.05% |
| Best Year | 0.22% | 8.35% |
| Worst Year | -8.86% | -9.61% |
| Avg. Drawdown | -1.51% | -1.62% |
| Avg. Drawdown Days | 28 | 19 |
| Recovery Factor | -0.92 | -0.21 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | -1.92 | -1.53 |
| Avg. Up Month | 0.86% | 1.65% |
| Avg. Down Month | -3.11% | -3.45% |
| Win Days | 49.34% | 53.09% |
| Win Month | 33.33% | 66.67% |
| Win Quarter | 25.0% | 75.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.49 | - |
| Alpha | -0.12 | - |
| Correlation | 63.3% | - |
| Treynor Ratio | -32.0% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 8.35 | 0.22 | 0.03 | - |
| 2022 | -9.61 | -8.86 | 0.92 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-01 | 2022-02-25 | -9.45 | 177 |
| 2021-08-11 | 2021-08-19 | -0.69 | 8 |
| 2021-06-28 | 2021-07-22 | -0.66 | 24 |
| 2021-08-04 | 2021-08-10 | -0.38 | 6 |
| 2021-08-20 | 2021-08-24 | -0.38 | 4 |
| 2021-06-24 | 2021-06-25 | -0.26 | 1 |
| 2021-07-26 | 2021-07-29 | -0.22 | 3 |
| 2021-08-26 | 2021-08-30 | -0.08 | 4 |