| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | -9.02% | -7.55% |
| CAGR﹪ | -18.87% | -15.93% |
| Sharpe | -2.78 | -1.06 |
| Prob. Sharpe Ratio | 0.1% | 11.27% |
| Smart Sharpe | -2.61 | -1.0 |
| Sortino | -2.94 | -1.37 |
| Smart Sortino | -2.76 | -1.28 |
| Sortino/√2 | -2.08 | -0.97 |
| Smart Sortino/√2 | -1.95 | -0.91 |
| Omega | 0.5 | 0.5 |
| Max Drawdown | -9.44% | -11.5% |
| Longest DD Days | 102 | 58 |
| Volatility (ann.) | 10.4% | 21.83% |
| R^2 | 0.12 | 0.12 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | -2.0 | -1.39 |
| Skew | -5.64 | -0.49 |
| Kurtosis | 47.28 | 1.43 |
| Expected Daily | -0.09% | -0.07% |
| Expected Monthly | -1.56% | -1.3% |
| Expected Yearly | -4.62% | -3.85% |
| Kelly Criterion | -46.92% | -16.19% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.16% | -2.33% |
| Expected Shortfall (cVaR) | -1.16% | -2.33% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | -0.41 | -0.12 |
| Gain/Pain (1M) | -0.85 | -0.49 |
| Payoff Ratio | 0.61 | 0.73 |
| Profit Factor | 0.59 | 0.88 |
| Common Sense Ratio | 0.5 | 0.81 |
| CPC Index | 0.16 | 0.33 |
| Tail Ratio | 0.85 | 0.92 |
| Outlier Win Ratio | 7.04 | 1.99 |
| Outlier Loss Ratio | 5.4 | 1.96 |
| MTD | -7.25% | -6.91% |
| 3M | -7.12% | -6.76% |
| 6M | -9.02% | -7.55% |
| YTD | -8.86% | -6.95% |
| 1Y | -9.02% | -7.55% |
| 3Y (ann.) | -18.87% | -15.93% |
| 5Y (ann.) | -18.87% | -15.93% |
| 10Y (ann.) | -18.87% | -15.93% |
| All-time (ann.) | -18.87% | -15.93% |
| Best Day | 1.09% | 2.97% |
| Worst Day | -5.57% | -5.2% |
| Best Month | 1.54% | 4.86% |
| Worst Month | -7.25% | -6.91% |
| Best Year | -0.18% | -0.64% |
| Worst Year | -8.86% | -6.95% |
| Avg. Drawdown | -3.12% | -6.74% |
| Avg. Drawdown Days | 40 | 39 |
| Recovery Factor | -0.96 | -0.66 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | -1.63 | -0.61 |
| Avg. Up Month | 1.54% | 4.86% |
| Avg. Down Month | -3.1% | -3.05% |
| Win Days | 44.44% | 50.96% |
| Win Month | 33.33% | 33.33% |
| Win Quarter | 33.33% | 33.33% |
| Win Year | 0.0% | 0.0% |
| Beta | 0.16 | - |
| Alpha | -0.19 | - |
| Correlation | 34.2% | - |
| Treynor Ratio | -98.4% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -0.64 | -0.18 | 0.28 | + |
| 2022 | -6.95 | -8.86 | 1.27 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-05 | 2022-02-25 | -9.44 | 51 |
| 2021-09-23 | 2022-01-03 | -2.57 | 102 |
| 2021-09-17 | 2021-09-22 | -0.46 | 5 |
| 2021-09-15 | 2021-09-16 | -0.02 | 1 |