| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 95.0% | 98.0% |
| Cumulative Return | -8.71% | 38.1% |
| CAGR﹪ | -6.34% | 26.11% |
| Sharpe | -1.96 | 0.95 |
| Prob. Sharpe Ratio | 0.18% | 58.27% |
| Smart Sharpe | -1.57 | 0.76 |
| Sortino | -2.19 | 1.39 |
| Smart Sortino | -1.76 | 1.12 |
| Sortino/√2 | -1.55 | 0.98 |
| Smart Sortino/√2 | -1.24 | 0.79 |
| Omega | 0.64 | 0.64 |
| Max Drawdown | -9.84% | -10.96% |
| Longest DD Days | 410 | 100 |
| Volatility (ann.) | 6.75% | 19.91% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | -0.64 | 2.38 |
| Skew | -6.47 | 0.1 |
| Kurtosis | 84.08 | 11.38 |
| Expected Daily | -0.03% | 0.09% |
| Expected Monthly | -0.53% | 1.92% |
| Expected Yearly | -2.99% | 11.36% |
| Kelly Criterion | -24.48% | -4.97% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.72% | -1.96% |
| Expected Shortfall (cVaR) | -0.72% | -1.96% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | -0.2 | 0.28 |
| Gain/Pain (1M) | -0.69 | 2.35 |
| Payoff Ratio | 0.66 | 0.76 |
| Profit Factor | 0.8 | 1.28 |
| Common Sense Ratio | 0.77 | 1.53 |
| CPC Index | 0.27 | 0.53 |
| Tail Ratio | 0.96 | 1.2 |
| Outlier Win Ratio | 9.86 | 2.29 |
| Outlier Loss Ratio | 7.86 | 2.61 |
| MTD | -7.25% | -8.9% |
| 3M | -7.12% | -10.22% |
| 6M | -9.36% | 9.62% |
| YTD | -8.86% | -8.46% |
| 1Y | -9.38% | 14.82% |
| 3Y (ann.) | -6.34% | 26.11% |
| 5Y (ann.) | -6.34% | 26.11% |
| 10Y (ann.) | -6.34% | 26.11% |
| All-time (ann.) | -6.34% | 26.11% |
| Best Day | 1.09% | 8.94% |
| Worst Day | -5.57% | -6.6% |
| Best Month | 1.54% | 8.54% |
| Worst Month | -7.25% | -8.9% |
| Best Year | 0.97% | 39.72% |
| Worst Year | -8.86% | -8.46% |
| Avg. Drawdown | -1.08% | -2.93% |
| Avg. Drawdown Days | 39 | 21 |
| Recovery Factor | -0.89 | 3.48 |
| Ulcer Index | 0.01 | 0.04 |
| Serenity Index | -1.75 | 1.29 |
| Avg. Up Month | 0.47% | 2.92% |
| Avg. Down Month | -7.25% | -8.9% |
| Win Days | 50.31% | 54.63% |
| Win Month | 47.06% | 88.24% |
| Win Quarter | 33.33% | 83.33% |
| Win Year | 33.33% | 66.67% |
| Beta | 0.04 | - |
| Alpha | -0.08 | - |
| Correlation | 12.17% | - |
| Treynor Ratio | -381.01% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 7.98 | 0.97 | 0.12 | - |
| 2021 | 39.72 | -0.80 | -0.02 | - |
| 2022 | -8.46 | -8.86 | 1.05 | - |
| 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 |