| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -16.25% | -46.06% |
| CAGR﹪ | -13.05% | -38.54% |
| Sharpe | -4.1 | -4.83 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -3.93 | -4.63 |
| Sortino | -4.18 | -5.07 |
| Smart Sortino | -4.0 | -4.86 |
| Sortino/√2 | -2.96 | -3.59 |
| Smart Sortino/√2 | -2.83 | -3.44 |
| Omega | 0.32 | 0.32 |
| Max Drawdown | -45.48% | -53.17% |
| Longest DD Days | 364 | 462 |
| Volatility (ann.) | 51.65% | 54.01% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | -0.29 | -0.72 |
| Skew | -8.52 | -3.91 |
| Kurtosis | 107.75 | 46.52 |
| Expected Daily | -0.08% | -0.27% |
| Expected Monthly | -1.47% | -5.01% |
| Expected Yearly | -5.74% | -18.6% |
| Kelly Criterion | -6.23% | -5.42% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.36% | -5.8% |
| Expected Shortfall (cVaR) | -5.36% | -5.8% |
| Max Consecutive Wins | 5 | 7 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | -0.01 | -0.23 |
| Gain/Pain (1M) | -0.06 | -0.67 |
| Payoff Ratio | 0.71 | 0.9 |
| Profit Factor | 0.99 | 0.77 |
| Common Sense Ratio | 1.02 | 0.56 |
| CPC Index | 0.39 | 0.35 |
| Tail Ratio | 1.04 | 0.73 |
| Outlier Win Ratio | 3.28 | 3.22 |
| Outlier Loss Ratio | 3.96 | 3.89 |
| MTD | 2.91% | -0.79% |
| 3M | 21.94% | -0.17% |
| 6M | 26.12% | -2.3% |
| YTD | 6.65% | 2.5% |
| 1Y | -18.21% | -28.42% |
| 3Y (ann.) | -13.05% | -38.54% |
| 5Y (ann.) | -13.05% | -38.54% |
| 10Y (ann.) | -13.05% | -38.54% |
| All-time (ann.) | -13.05% | -38.54% |
| Best Day | 9.32% | 20.04% |
| Worst Day | -40.61% | -33.28% |
| Best Month | 15.63% | 10.69% |
| Worst Month | -35.03% | -30.02% |
| Best Year | 6.65% | 2.5% |
| Worst Year | -20.77% | -43.12% |
| Avg. Drawdown | -14.61% | -53.17% |
| Avg. Drawdown Days | 113 | 462 |
| Recovery Factor | -0.36 | -0.87 |
| Ulcer Index | 0.29 | 0.4 |
| Serenity Index | -1.59 | -0.99 |
| Avg. Up Month | 5.56% | 4.79% |
| Avg. Down Month | -14.47% | -11.27% |
| Win Days | 55.8% | 50.0% |
| Win Month | 66.67% | 33.33% |
| Win Quarter | 60.0% | 40.0% |
| Win Year | 33.33% | 33.33% |
| Beta | 0.17 | - |
| Alpha | 0.06 | - |
| Correlation | 17.66% | - |
| Treynor Ratio | -4241.59% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -7.49 | -0.89 | 0.12 | + |
| 2022 | -43.12 | -20.77 | 0.48 | + |
| 2023 | 2.50 | 6.65 | 2.66 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-25 | 2023-02-24 | -45.48 | 364 |
| 2022-01-27 | 2022-02-24 | -5.90 | 28 |
| 2021-11-23 | 2022-01-05 | -3.92 | 43 |
| 2022-01-06 | 2022-01-24 | -3.16 | 18 |