| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 92.0% | 92.0% |
| Cumulative Return | -7.81% | 7.55% |
| CAGR﹪ | -72.5% | 217.47% |
| Sharpe | -6.8 | 5.4 |
| Prob. Sharpe Ratio | 0.0% | 89.97% |
| Smart Sharpe | -6.76 | 5.37 |
| Sortino | -6.54 | 16.23 |
| Smart Sortino | -6.5 | 16.13 |
| Sortino/√2 | -4.63 | 11.48 |
| Smart Sortino/√2 | -4.6 | 11.41 |
| Omega | 0.11 | 0.11 |
| Max Drawdown | -7.89% | -2.24% |
| Longest DD Days | 16 | 14 |
| Volatility (ann.) | 25.57% | 27.79% |
| R^2 | 0.73 | 0.73 |
| Information Ratio | -0.4 | -0.4 |
| Calmar | -9.19 | 96.88 |
| Skew | -2.97 | 1.35 |
| Kurtosis | 9.65 | 1.87 |
| Expected Daily | -0.68% | 0.61% |
| Expected Monthly | -7.81% | 7.55% |
| Expected Yearly | -7.81% | 7.55% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.01% | 0.0% |
| Daily Value-at-Risk | -3.31% | -2.26% |
| Expected Shortfall (cVaR) | -3.31% | -2.26% |
| Max Consecutive Wins | 1 | 4 |
| Max Consecutive Losses | 4 | 2 |
| Gain/Pain Ratio | -0.88 | 1.96 |
| Gain/Pain (1M) | -1.0 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.12 | 2.96 |
| Common Sense Ratio | 0.02 | 9.53 |
| CPC Index | - | - |
| Tail Ratio | 0.18 | 3.22 |
| Outlier Win Ratio | 7.02 | 1.86 |
| Outlier Loss Ratio | 3.16 | 3.35 |
| MTD | -7.81% | 7.55% |
| 3M | -7.81% | 7.55% |
| 6M | -7.81% | 7.55% |
| YTD | -7.81% | 7.55% |
| 1Y | -7.81% | 7.55% |
| 3Y (ann.) | -72.5% | 217.47% |
| 5Y (ann.) | -72.5% | 217.47% |
| 10Y (ann.) | -72.5% | 217.47% |
| All-time (ann.) | -72.5% | 217.47% |
| Best Day | 0.69% | 4.77% |
| Worst Day | -5.57% | -1.33% |
| Best Month | -7.81% | 7.55% |
| Worst Month | -7.81% | 7.55% |
| Best Year | -7.81% | 7.55% |
| Worst Year | -7.81% | 7.55% |
| Avg. Drawdown | -4.11% | -2.24% |
| Avg. Drawdown Days | 8 | 14 |
| Recovery Factor | -0.99 | 3.36 |
| Ulcer Index | 0.03 | 0.01 |
| Serenity Index | -1.75 | 0.36 |
| Avg. Up Month | - | - |
| Avg. Down Month | - | - |
| Win Days | 18.18% | 63.64% |
| Win Month | 0.0% | 100.0% |
| Win Quarter | 0.0% | 100.0% |
| Win Year | 0.0% | 100.0% |
| Beta | -0.78 | - |
| Alpha | -0.44 | - |
| Correlation | -85.21% | - |
| Treynor Ratio | 18.89% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 7.55 | -7.81 | -1.03 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-09 | 2022-02-25 | -7.89 | 16 |
| 2022-02-07 | 2022-02-08 | -0.34 | 1 |