| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -16.25% | 4.22% |
| CAGR﹪ | -13.05% | 3.31% |
| Sharpe | -0.06 | 0.34 |
| Prob. Sharpe Ratio | 47.89% | 61.61% |
| Smart Sharpe | -0.05 | 0.33 |
| Sortino | -0.06 | 0.38 |
| Smart Sortino | -0.06 | 0.37 |
| Sortino/√2 | -0.04 | 0.27 |
| Smart Sortino/√2 | -0.04 | 0.26 |
| Omega | 0.99 | 0.99 |
| Max Drawdown | -45.48% | -35.46% |
| Longest DD Days | 364 | 364 |
| Volatility (ann.) | 51.65% | 37.41% |
| R^2 | 0.69 | 0.69 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | -0.29 | 0.09 |
| Skew | -8.52 | -8.79 |
| Kurtosis | 107.75 | 114.19 |
| Expected Daily | -0.08% | 0.02% |
| Expected Monthly | -1.47% | 0.34% |
| Expected Yearly | -5.74% | 1.39% |
| Kelly Criterion | -0.8% | -4.12% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.36% | -3.83% |
| Expected Shortfall (cVaR) | -5.36% | -3.83% |
| Max Consecutive Wins | 5 | 9 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | -0.01 | 0.11 |
| Gain/Pain (1M) | -0.06 | 0.39 |
| Payoff Ratio | 0.78 | 0.78 |
| Profit Factor | 0.99 | 1.11 |
| Common Sense Ratio | 1.02 | 1.23 |
| CPC Index | 0.43 | 0.47 |
| Tail Ratio | 1.04 | 1.11 |
| Outlier Win Ratio | 3.29 | 4.63 |
| Outlier Loss Ratio | 1.96 | 3.33 |
| MTD | 2.91% | 9.04% |
| 3M | 21.94% | 25.42% |
| 6M | 26.12% | 27.12% |
| YTD | 6.65% | 8.91% |
| 1Y | -18.21% | -3.39% |
| 3Y (ann.) | -13.05% | 3.31% |
| 5Y (ann.) | -13.05% | 3.31% |
| 10Y (ann.) | -13.05% | 3.31% |
| All-time (ann.) | -13.05% | 3.31% |
| Best Day | 9.32% | 8.19% |
| Worst Day | -40.61% | -29.76% |
| Best Month | 15.63% | 14.61% |
| Worst Month | -35.03% | -25.76% |
| Best Year | 6.65% | 8.91% |
| Worst Year | -20.77% | -6.4% |
| Avg. Drawdown | -14.61% | -5.66% |
| Avg. Drawdown Days | 113 | 49 |
| Recovery Factor | -0.36 | 0.12 |
| Ulcer Index | 0.29 | 0.22 |
| Serenity Index | -0.04 | 0.01 |
| Avg. Up Month | 5.23% | 6.76% |
| Avg. Down Month | -16.06% | -10.32% |
| Win Days | 55.8% | 54.42% |
| Win Month | 66.67% | 58.33% |
| Win Quarter | 60.0% | 80.0% |
| Win Year | 33.33% | 66.67% |
| Beta | 1.15 | - |
| Alpha | -0.18 | - |
| Correlation | 83.26% | - |
| Treynor Ratio | -14.14% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.23 | -0.89 | -0.40 | - |
| 2022 | -6.40 | -20.77 | 3.25 | - |
| 2023 | 8.91 | 6.65 | 0.75 | - |
| 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 |