| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 95.0% | 99.0% |
| Cumulative Return | -7.05% | -2.98% |
| CAGR﹪ | -24.48% | -10.98% |
| Sharpe | -2.87 | -0.77 |
| Prob. Sharpe Ratio | 0.53% | 22.61% |
| Smart Sharpe | -2.76 | -0.74 |
| Sortino | -2.98 | -1.05 |
| Smart Sortino | -2.86 | -1.01 |
| Sortino/√2 | -2.11 | -0.74 |
| Smart Sortino/√2 | -2.02 | -0.72 |
| Omega | 0.46 | 0.46 |
| Max Drawdown | -9.44% | -11.01% |
| Longest DD Days | 51 | 51 |
| Volatility (ann.) | 13.1% | 22.64% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | -2.59 | -1.0 |
| Skew | -5.16 | -0.01 |
| Kurtosis | 34.03 | 0.21 |
| Expected Daily | -0.13% | -0.05% |
| Expected Monthly | -1.81% | -0.75% |
| Expected Yearly | -3.59% | -1.5% |
| Kelly Criterion | -79.82% | -34.13% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.48% | -2.39% |
| Expected Shortfall (cVaR) | -1.48% | -2.39% |
| Max Consecutive Wins | 7 | 3 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | -0.47 | -0.07 |
| Gain/Pain (1M) | -0.78 | -0.21 |
| Payoff Ratio | 0.39 | 0.65 |
| Profit Factor | 0.53 | 0.93 |
| Common Sense Ratio | 0.45 | 0.83 |
| CPC Index | 0.1 | 0.28 |
| Tail Ratio | 0.84 | 0.9 |
| Outlier Win Ratio | 7.41 | 1.83 |
| Outlier Loss Ratio | 5.69 | 2.8 |
| MTD | -7.25% | -3.95% |
| 3M | -7.12% | -4.64% |
| 6M | -7.05% | -2.98% |
| YTD | -8.86% | -8.72% |
| 1Y | -7.05% | -2.98% |
| 3Y (ann.) | -24.48% | -10.98% |
| 5Y (ann.) | -24.48% | -10.98% |
| 10Y (ann.) | -24.48% | -10.98% |
| All-time (ann.) | -24.48% | -10.98% |
| Best Day | 0.83% | 3.38% |
| Worst Day | -5.57% | -3.24% |
| Best Month | 1.54% | 9.43% |
| Worst Month | -7.25% | -4.96% |
| Best Year | 1.99% | 6.28% |
| Worst Year | -8.86% | -8.72% |
| Avg. Drawdown | -1.84% | -3.06% |
| Avg. Drawdown Days | 13 | 14 |
| Recovery Factor | -0.75 | -0.27 |
| Ulcer Index | 0.02 | 0.05 |
| Serenity Index | -1.45 | -0.28 |
| Avg. Up Month | 1.54% | 9.43% |
| Avg. Down Month | -4.49% | -4.46% |
| Win Days | 49.09% | 47.37% |
| Win Month | 50.0% | 25.0% |
| Win Quarter | 50.0% | 50.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.04 | - |
| Alpha | -0.3 | - |
| Correlation | 7.39% | - |
| Treynor Ratio | -328.77% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 6.28 | 1.99 | 0.32 | - |
| 2022 | -8.72 | -8.86 | 1.02 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-05 | 2022-02-25 | -9.44 | 51 |
| 2021-11-30 | 2021-12-15 | -0.50 | 15 |
| 2021-12-29 | 2022-01-03 | -0.48 | 5 |
| 2021-12-24 | 2021-12-27 | -0.40 | 3 |
| 2021-11-26 | 2021-11-29 | -0.12 | 3 |
| 2021-11-23 | 2021-11-24 | -0.08 | 1 |