| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 86.0% | 79.0% |
| Cumulative Return | -18.73% | -17.45% |
| CAGR﹪ | -15.71% | -14.62% |
| Sharpe | -1.57 | -1.93 |
| Prob. Sharpe Ratio | 0.41% | 0.0% |
| Smart Sharpe | -1.11 | -1.37 |
| Sortino | -1.78 | -2.03 |
| Smart Sortino | -1.27 | -1.44 |
| Sortino/√2 | -1.26 | -1.43 |
| Smart Sortino/√2 | -0.89 | -1.02 |
| Omega | 0.64 | 0.64 |
| Max Drawdown | -26.14% | -24.56% |
| Longest DD Days | 436 | 414 |
| Volatility (ann.) | 17.48% | 13.66% |
| R^2 | 0.4 | 0.4 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | -0.6 | -0.6 |
| Skew | -5.07 | -9.72 |
| Kurtosis | 54.8 | 128.38 |
| Expected Daily | -0.09% | -0.08% |
| Expected Monthly | -1.71% | -1.59% |
| Expected Yearly | -6.68% | -6.19% |
| Kelly Criterion | -40.25% | -54.89% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.89% | -1.49% |
| Expected Shortfall (cVaR) | -1.89% | -1.49% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | -0.29 | -0.38 |
| Gain/Pain (1M) | -0.61 | -0.61 |
| Payoff Ratio | 0.67 | 0.55 |
| Profit Factor | 0.71 | 0.62 |
| Common Sense Ratio | 0.8 | 0.42 |
| CPC Index | 0.21 | 0.15 |
| Tail Ratio | 1.13 | 0.68 |
| Outlier Win Ratio | 3.91 | 6.94 |
| Outlier Loss Ratio | 2.74 | 3.49 |
| MTD | -1.76% | -0.75% |
| 3M | 1.3% | 3.0% |
| 6M | -0.26% | 1.67% |
| YTD | 1.43% | 1.8% |
| 1Y | -12.44% | -11.53% |
| 3Y (ann.) | -15.71% | -14.62% |
| 5Y (ann.) | -15.71% | -14.62% |
| 10Y (ann.) | -15.71% | -14.62% |
| All-time (ann.) | -15.71% | -14.62% |
| Best Day | 5.58% | 2.37% |
| Worst Day | -11.15% | -11.39% |
| Best Month | 6.9% | 3.63% |
| Worst Month | -12.41% | -14.12% |
| Best Year | 1.43% | 1.8% |
| Worst Year | -19.29% | -18.91% |
| Avg. Drawdown | -26.14% | -12.49% |
| Avg. Drawdown Days | 436 | 216 |
| Recovery Factor | -0.72 | -0.71 |
| Ulcer Index | 0.18 | 0.18 |
| Serenity Index | -0.05 | -0.04 |
| Avg. Up Month | 2.43% | 2.24% |
| Avg. Down Month | -5.97% | -5.87% |
| Win Days | 43.78% | 44.86% |
| Win Month | 41.67% | 54.55% |
| Win Quarter | 33.33% | 40.0% |
| Win Year | 33.33% | 50.0% |
| Beta | 0.81 | - |
| Alpha | -0.05 | - |
| Correlation | 63.23% | - |
| Treynor Ratio | -31.81% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.00 | -0.73 | -inf | - |
| 2022 | -18.91 | -19.29 | 1.02 | - |
| 2023 | 1.80 | 1.43 | 0.79 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-15 | 2023-02-24 | -26.14 | 436 |