| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 96.0% | 99.0% |
| Cumulative Return | -9.02% | -11.94% |
| CAGR﹪ | -18.98% | -24.65% |
| Sharpe | -2.79 | -1.33 |
| Prob. Sharpe Ratio | 0.1% | 4.33% |
| Smart Sharpe | -2.61 | -1.24 |
| Sortino | -2.95 | -1.45 |
| Smart Sortino | -2.76 | -1.36 |
| Sortino/√2 | -2.08 | -1.02 |
| Smart Sortino/√2 | -1.95 | -0.96 |
| Omega | 0.5 | 0.5 |
| Max Drawdown | -9.44% | -16.17% |
| Longest DD Days | 102 | 68 |
| Volatility (ann.) | 10.45% | 25.67% |
| R^2 | 0.4 | 0.4 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | -2.01 | -1.52 |
| Skew | -5.61 | -5.94 |
| Kurtosis | 46.81 | 50.76 |
| Expected Daily | -0.09% | -0.12% |
| Expected Monthly | -1.56% | -2.1% |
| Expected Yearly | -4.62% | -6.16% |
| Kelly Criterion | -58.6% | -62.66% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.17% | -2.77% |
| Expected Shortfall (cVaR) | -1.17% | -2.77% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | -0.41 | -0.24 |
| Gain/Pain (1M) | -0.85 | -0.64 |
| Payoff Ratio | 0.54 | 0.48 |
| Profit Factor | 0.59 | 0.76 |
| Common Sense Ratio | 0.5 | 1.01 |
| CPC Index | 0.14 | 0.17 |
| Tail Ratio | 0.85 | 1.34 |
| Outlier Win Ratio | 5.92 | 2.3 |
| Outlier Loss Ratio | 4.04 | 1.94 |
| MTD | -7.25% | -13.53% |
| 3M | -7.12% | -12.16% |
| 6M | -9.02% | -11.94% |
| YTD | -8.86% | -12.86% |
| 1Y | -9.02% | -11.94% |
| 3Y (ann.) | -18.98% | -24.65% |
| 5Y (ann.) | -18.98% | -24.65% |
| 10Y (ann.) | -18.98% | -24.65% |
| All-time (ann.) | -18.98% | -24.65% |
| Best Day | 1.09% | 2.54% |
| Worst Day | -5.57% | -13.84% |
| Best Month | 1.54% | 3.83% |
| Worst Month | -7.25% | -13.53% |
| Best Year | -0.18% | 1.05% |
| Worst Year | -8.86% | -12.86% |
| Avg. Drawdown | -3.12% | -4.14% |
| Avg. Drawdown Days | 40 | 22 |
| Recovery Factor | -0.96 | -0.74 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | -1.63 | -1.73 |
| Avg. Up Month | 1.54% | 1.65% |
| Avg. Down Month | -4.38% | -8.55% |
| Win Days | 44.44% | 47.06% |
| Win Month | 33.33% | 50.0% |
| Win Quarter | 33.33% | 33.33% |
| Win Year | 0.0% | 50.0% |
| Beta | 0.26 | - |
| Alpha | -0.15 | - |
| Correlation | 63.26% | - |
| Treynor Ratio | -62.24% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.05 | -0.18 | -0.17 | - |
| 2022 | -12.86 | -8.86 | 0.69 | + |
| 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 |