| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | -8.62% | 8.56% |
| CAGR﹪ | -6.16% | 5.96% |
| Sharpe | -1.95 | 0.04 |
| Prob. Sharpe Ratio | 0.18% | 22.71% |
| Smart Sharpe | -1.57 | 0.03 |
| Sortino | -2.17 | 0.05 |
| Smart Sortino | -1.75 | 0.04 |
| Sortino/√2 | -1.54 | 0.03 |
| Smart Sortino/√2 | -1.24 | 0.03 |
| Omega | 0.64 | 0.64 |
| Max Drawdown | -9.84% | -19.36% |
| Longest DD Days | 410 | 98 |
| Volatility (ann.) | 6.69% | 17.33% |
| R^2 | 0.26 | 0.26 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | -0.63 | 0.31 |
| Skew | -6.52 | -4.69 |
| Kurtosis | 85.53 | 52.86 |
| Expected Daily | -0.03% | 0.02% |
| Expected Monthly | -0.5% | 0.46% |
| Expected Yearly | -2.96% | 2.78% |
| Kelly Criterion | -22.36% | -4.54% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.72% | -1.77% |
| Expected Shortfall (cVaR) | -0.72% | -1.77% |
| Max Consecutive Wins | 7 | 11 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | -0.19 | 0.09 |
| Gain/Pain (1M) | -0.68 | 0.42 |
| Payoff Ratio | 0.68 | 0.65 |
| Profit Factor | 0.81 | 1.09 |
| Common Sense Ratio | 0.76 | 1.04 |
| CPC Index | 0.28 | 0.42 |
| Tail Ratio | 0.95 | 0.95 |
| Outlier Win Ratio | 7.44 | 2.41 |
| Outlier Loss Ratio | 5.94 | 2.06 |
| MTD | -7.25% | -15.19% |
| 3M | -7.12% | -18.35% |
| 6M | -9.36% | -14.21% |
| YTD | -8.86% | -18.58% |
| 1Y | -9.38% | -8.14% |
| 3Y (ann.) | -6.16% | 5.96% |
| 5Y (ann.) | -6.16% | 5.96% |
| 10Y (ann.) | -6.16% | 5.96% |
| All-time (ann.) | -6.16% | 5.96% |
| Best Day | 1.09% | 3.04% |
| Worst Day | -5.57% | -12.71% |
| Best Month | 1.54% | 10.56% |
| Worst Month | -7.25% | -15.19% |
| Best Year | 1.07% | 19.01% |
| Worst Year | -8.86% | -18.58% |
| Avg. Drawdown | -0.93% | -1.81% |
| Avg. Drawdown Days | 34 | 11 |
| Recovery Factor | -0.88 | 0.44 |
| Ulcer Index | 0.01 | 0.02 |
| Serenity Index | -1.75 | 0.15 |
| Avg. Up Month | 0.51% | 3.76% |
| Avg. Down Month | -2.41% | -5.45% |
| Win Days | 50.61% | 58.67% |
| Win Month | 50.0% | 61.11% |
| Win Quarter | 42.86% | 57.14% |
| Win Year | 33.33% | 66.67% |
| Beta | 0.2 | - |
| Alpha | -0.08 | - |
| Correlation | 50.84% | - |
| Treynor Ratio | -79.57% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 12.04 | 1.07 | 0.09 | - |
| 2021 | 19.01 | -0.80 | -0.04 | - |
| 2022 | -18.58 | -8.86 | 0.48 | + |
| 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 |