| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 95.0% | 99.0% |
| Cumulative Return | -8.65% | -9.29% |
| CAGR﹪ | -6.23% | -6.7% |
| Sharpe | -1.95 | -0.18 |
| Prob. Sharpe Ratio | 0.18% | 9.72% |
| Smart Sharpe | -1.57 | -0.14 |
| Sortino | -2.18 | -0.23 |
| Smart Sortino | -1.75 | -0.18 |
| Sortino/√2 | -1.54 | -0.16 |
| Smart Sortino/√2 | -1.24 | -0.13 |
| Omega | 0.64 | 0.64 |
| Max Drawdown | -9.84% | -52.75% |
| Longest DD Days | 410 | 231 |
| Volatility (ann.) | 6.72% | 37.31% |
| R^2 | 0.11 | 0.11 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.63 | -0.13 |
| Skew | -6.49 | -1.76 |
| Kurtosis | 84.81 | 16.67 |
| Expected Daily | -0.03% | -0.03% |
| Expected Monthly | -0.5% | -0.54% |
| Expected Yearly | -2.97% | -3.2% |
| Kelly Criterion | -16.49% | 2.36% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.72% | -3.87% |
| Expected Shortfall (cVaR) | -0.72% | -3.87% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | -0.2 | 0.0 |
| Gain/Pain (1M) | -0.68 | 0.0 |
| Payoff Ratio | 0.74 | 0.89 |
| Profit Factor | 0.8 | 1.0 |
| Common Sense Ratio | 0.77 | 0.94 |
| CPC Index | 0.3 | 0.48 |
| Tail Ratio | 0.95 | 0.94 |
| Outlier Win Ratio | 19.5 | 3.03 |
| Outlier Loss Ratio | 15.84 | 2.89 |
| MTD | -7.25% | -26.35% |
| 3M | -7.12% | -34.28% |
| 6M | -9.36% | -34.6% |
| YTD | -8.86% | -28.89% |
| 1Y | -9.38% | -21.36% |
| 3Y (ann.) | -6.23% | -6.7% |
| 5Y (ann.) | -6.23% | -6.7% |
| 10Y (ann.) | -6.23% | -6.7% |
| All-time (ann.) | -6.23% | -6.7% |
| Best Day | 1.09% | 10.19% |
| Worst Day | -5.57% | -17.54% |
| Best Month | 1.54% | 21.99% |
| Worst Month | -7.25% | -26.35% |
| Best Year | 1.04% | 14.0% |
| Worst Year | -8.86% | -28.89% |
| Avg. Drawdown | -1.0% | -4.62% |
| Avg. Drawdown Days | 36 | 21 |
| Recovery Factor | -0.88 | -0.18 |
| Ulcer Index | 0.01 | 0.19 |
| Serenity Index | -1.75 | -0.06 |
| Avg. Up Month | 0.43% | 5.58% |
| Avg. Down Month | -3.1% | -12.0% |
| Win Days | 50.46% | 54.09% |
| Win Month | 47.06% | 58.82% |
| Win Quarter | 33.33% | 50.0% |
| Win Year | 33.33% | 66.67% |
| Beta | 0.06 | - |
| Alpha | -0.06 | - |
| Correlation | 33.16% | - |
| Treynor Ratio | -262.03% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 11.90 | 1.04 | 0.09 | - |
| 2021 | 14.00 | -0.80 | -0.06 | - |
| 2022 | -28.89 | -8.86 | 0.31 | + |
| 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 |