| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 95.0% | 99.0% |
| Cumulative Return | -8.62% | -2.98% |
| CAGR﹪ | -6.16% | -2.11% |
| Sharpe | -1.96 | -0.63 |
| Prob. Sharpe Ratio | 0.18% | 7.7% |
| Smart Sharpe | -1.57 | -0.51 |
| Sortino | -2.18 | -0.91 |
| Smart Sortino | -1.75 | -0.73 |
| Sortino/√2 | -1.54 | -0.65 |
| Smart Sortino/√2 | -1.24 | -0.52 |
| Omega | 0.64 | 0.64 |
| Max Drawdown | -9.84% | -14.0% |
| Longest DD Days | 410 | 479 |
| Volatility (ann.) | 6.69% | 12.86% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | -0.63 | -0.15 |
| Skew | -6.56 | 0.46 |
| Kurtosis | 85.92 | 4.43 |
| Expected Daily | -0.03% | -0.01% |
| Expected Monthly | -0.5% | -0.17% |
| Expected Yearly | -2.96% | -1.0% |
| Kelly Criterion | -31.38% | -19.73% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.72% | -1.34% |
| Expected Shortfall (cVaR) | -0.72% | -1.34% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | -0.2 | -0.02 |
| Gain/Pain (1M) | -0.68 | -0.11 |
| Payoff Ratio | 0.6 | 0.81 |
| Profit Factor | 0.8 | 0.98 |
| Common Sense Ratio | 0.75 | 1.11 |
| CPC Index | 0.24 | 0.37 |
| Tail Ratio | 0.93 | 1.14 |
| Outlier Win Ratio | 7.36 | 2.33 |
| Outlier Loss Ratio | 5.29 | 2.64 |
| MTD | -7.25% | -1.6% |
| 3M | -7.12% | 1.5% |
| 6M | -9.36% | 3.16% |
| YTD | -8.86% | 1.94% |
| 1Y | -9.38% | 3.44% |
| 3Y (ann.) | -6.16% | -2.11% |
| 5Y (ann.) | -6.16% | -2.11% |
| 10Y (ann.) | -6.16% | -2.11% |
| All-time (ann.) | -6.16% | -2.11% |
| Best Day | 1.09% | 4.47% |
| Worst Day | -5.57% | -3.49% |
| Best Month | 1.54% | 4.44% |
| Worst Month | -7.25% | -3.66% |
| Best Year | 1.07% | 1.94% |
| Worst Year | -8.86% | -4.78% |
| Avg. Drawdown | -0.93% | -8.97% |
| Avg. Drawdown Days | 34 | 254 |
| Recovery Factor | -0.88 | -0.21 |
| Ulcer Index | 0.01 | 0.08 |
| Serenity Index | -1.77 | -0.08 |
| Avg. Up Month | 0.56% | 1.27% |
| Avg. Down Month | -1.7% | -1.53% |
| Win Days | 50.61% | 46.36% |
| Win Month | 50.0% | 38.89% |
| Win Quarter | 42.86% | 42.86% |
| Win Year | 33.33% | 33.33% |
| Beta | 0.02 | - |
| Alpha | -0.06 | - |
| Correlation | 4.08% | - |
| Treynor Ratio | -735.59% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | -4.78 | 1.07 | -0.22 | + |
| 2021 | -0.05 | -0.80 | 15.19 | - |
| 2022 | 1.94 | -8.86 | -4.57 | - |
| 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 |