| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -16.73% | 20.71% |
| CAGR﹪ | -14.18% | 17.02% |
| Sharpe | -3.41 | -3.69 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -3.05 | -3.31 |
| Sortino | -4.14 | -4.3 |
| Smart Sortino | -3.71 | -3.86 |
| Sortino/√2 | -2.93 | -3.04 |
| Smart Sortino/√2 | -2.62 | -2.73 |
| Omega | 0.57 | 0.57 |
| Max Drawdown | -31.13% | -10.4% |
| Longest DD Days | 176 | 52 |
| Volatility (ann.) | 24.13% | 14.13% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | -0.46 | 1.64 |
| Skew | 0.15 | -0.27 |
| Kurtosis | 1.45 | 0.56 |
| Expected Daily | -0.06% | 0.06% |
| Expected Monthly | -1.21% | 1.26% |
| Expected Yearly | -5.92% | 6.47% |
| Kelly Criterion | -4.46% | 10.15% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.55% | -1.4% |
| Expected Shortfall (cVaR) | -2.55% | -1.4% |
| Max Consecutive Wins | 6 | 7 |
| Max Consecutive Losses | 8 | 5 |
| Gain/Pain Ratio | -0.09 | 0.23 |
| Gain/Pain (1M) | -0.39 | 1.46 |
| Payoff Ratio | 0.97 | 1.0 |
| Profit Factor | 0.91 | 1.23 |
| Common Sense Ratio | 0.82 | 1.11 |
| CPC Index | 0.43 | 0.67 |
| Tail Ratio | 0.89 | 0.91 |
| Outlier Win Ratio | 2.72 | 4.47 |
| Outlier Loss Ratio | 2.5 | 4.37 |
| MTD | -4.78% | -2.77% |
| 3M | -17.24% | -6.4% |
| 6M | -25.41% | -1.57% |
| YTD | -16.73% | -8.04% |
| 1Y | -20.7% | 13.29% |
| 3Y (ann.) | -14.18% | 17.02% |
| 5Y (ann.) | -14.18% | 17.02% |
| 10Y (ann.) | -14.18% | 17.02% |
| All-time (ann.) | -14.18% | 17.02% |
| Best Day | 6.41% | 2.45% |
| Worst Day | -4.87% | -2.57% |
| Best Month | 8.11% | 7.01% |
| Worst Month | -12.55% | -5.42% |
| Best Year | 0.2% | 29.88% |
| Worst Year | -16.73% | -8.04% |
| Avg. Drawdown | -5.83% | -1.45% |
| Avg. Drawdown Days | 37 | 8 |
| Recovery Factor | -0.54 | 1.99 |
| Ulcer Index | 0.12 | 0.03 |
| Serenity Index | -0.73 | -5.23 |
| Avg. Up Month | 5.59% | 3.57% |
| Avg. Down Month | -6.2% | -3.38% |
| Win Days | 48.61% | 55.14% |
| Win Month | 26.67% | 66.67% |
| Win Quarter | 16.67% | 83.33% |
| Win Year | 33.33% | 66.67% |
| Beta | 0.52 | - |
| Alpha | -0.22 | - |
| Correlation | 30.72% | - |
| Treynor Ratio | -222.6% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 1.06 | -0.20 | -0.19 | - |
| 2021 | 29.88 | 0.20 | 0.01 | - |
| 2022 | -8.04 | -16.73 | 2.08 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-07 | 2022-02-25 | -31.13 | 171 |
| 2021-02-10 | 2021-08-05 | -16.59 | 176 |
| 2021-08-10 | 2021-09-02 | -5.25 | 23 |
| 2020-12-28 | 2021-01-08 | -4.20 | 11 |
| 2021-01-27 | 2021-02-08 | -3.36 | 12 |
| 2021-01-21 | 2021-01-25 | -1.41 | 4 |
| 2021-08-06 | 2021-08-09 | -0.63 | 3 |
| 2021-01-11 | 2021-01-12 | -0.49 | 1 |
| 2020-12-16 | 2020-12-17 | -0.41 | 1 |
| 2020-12-21 | 2020-12-22 | -0.40 | 1 |