| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 95.0% | 99.0% |
| Cumulative Return | -9.09% | -1.9% |
| CAGR﹪ | -15.68% | -3.38% |
| Sharpe | -2.52 | -0.37 |
| Prob. Sharpe Ratio | 0.19% | 19.9% |
| Smart Sharpe | -2.18 | -0.32 |
| Sortino | -2.72 | -0.52 |
| Smart Sortino | -2.35 | -0.45 |
| Sortino/√2 | -1.92 | -0.37 |
| Smart Sortino/√2 | -1.66 | -0.32 |
| Omega | 0.55 | 0.55 |
| Max Drawdown | -9.45% | -14.19% |
| Longest DD Days | 177 | 94 |
| Volatility (ann.) | 9.73% | 21.72% |
| R^2 | 0.05 | 0.05 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | -1.66 | -0.24 |
| Skew | -5.47 | 0.17 |
| Kurtosis | 49.19 | 1.83 |
| Expected Daily | -0.07% | -0.01% |
| Expected Monthly | -1.35% | -0.27% |
| Expected Yearly | -4.66% | -0.96% |
| Kelly Criterion | -16.18% | -4.03% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.08% | -2.26% |
| Expected Shortfall (cVaR) | -1.08% | -2.26% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | -0.35 | -0.01 |
| Gain/Pain (1M) | -0.83 | -0.06 |
| Payoff Ratio | 0.86 | 0.9 |
| Profit Factor | 0.65 | 0.99 |
| Common Sense Ratio | 0.59 | 0.89 |
| CPC Index | 0.26 | 0.45 |
| Tail Ratio | 0.91 | 0.9 |
| Outlier Win Ratio | 8.55 | 2.3 |
| Outlier Loss Ratio | 5.63 | 2.1 |
| MTD | -7.25% | 2.74% |
| 3M | -7.12% | -7.95% |
| 6M | -9.36% | -3.41% |
| YTD | -8.86% | -4.47% |
| 1Y | -9.09% | -1.9% |
| 3Y (ann.) | -15.68% | -3.38% |
| 5Y (ann.) | -15.68% | -3.38% |
| 10Y (ann.) | -15.68% | -3.38% |
| All-time (ann.) | -15.68% | -3.38% |
| Best Day | 1.09% | 5.26% |
| Worst Day | -5.57% | -4.3% |
| Best Month | 1.54% | 4.99% |
| Worst Month | -7.25% | -7.02% |
| Best Year | -0.26% | 2.69% |
| Worst Year | -8.86% | -4.47% |
| Avg. Drawdown | -2.19% | -7.21% |
| Avg. Drawdown Days | 39 | 48 |
| Recovery Factor | -0.96 | -0.13 |
| Ulcer Index | 0.02 | 0.06 |
| Serenity Index | -1.78 | -0.18 |
| Avg. Up Month | 0.4% | 1.64% |
| Avg. Down Month | -1.03% | -5.54% |
| Win Days | 46.4% | 50.77% |
| Win Month | 28.57% | 57.14% |
| Win Quarter | 33.33% | 33.33% |
| Win Year | 0.0% | 50.0% |
| Beta | -0.1 | - |
| Alpha | -0.18 | - |
| Correlation | -22.75% | - |
| Treynor Ratio | 157.92% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.69 | -0.26 | -0.10 | - |
| 2022 | -4.47 | -8.86 | 1.98 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-01 | 2022-02-25 | -9.45 | 177 |
| 2021-08-11 | 2021-08-19 | -0.69 | 8 |
| 2021-08-20 | 2021-08-24 | -0.38 | 4 |
| 2021-08-06 | 2021-08-10 | -0.36 | 4 |
| 2021-08-26 | 2021-08-30 | -0.08 | 4 |