| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | -21.73% | 13.47% |
| CAGR﹪ | -40.91% | 31.17% |
| Sharpe | -1.19 | 1.53 |
| Prob. Sharpe Ratio | 21.01% | 88.64% |
| Smart Sharpe | -1.07 | 1.38 |
| Sortino | -1.61 | 3.2 |
| Smart Sortino | -1.45 | 2.89 |
| Sortino/√2 | -1.14 | 2.27 |
| Smart Sortino/√2 | -1.03 | 2.04 |
| Omega | 0.82 | 0.82 |
| Max Drawdown | -37.93% | -5.89% |
| Longest DD Days | 100 | 59 |
| Volatility (ann.) | 37.69% | 18.57% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.11 | -0.11 |
| Calmar | -1.08 | 5.29 |
| Skew | 0.23 | 2.98 |
| Kurtosis | 1.77 | 18.79 |
| Expected Daily | -0.21% | 0.11% |
| Expected Monthly | -4.0% | 2.13% |
| Expected Yearly | -11.53% | 6.52% |
| Kelly Criterion | -29.62% | 14.29% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.08% | -1.81% |
| Expected Shortfall (cVaR) | -4.08% | -1.81% |
| Max Consecutive Wins | 5 | 3 |
| Max Consecutive Losses | 8 | 5 |
| Gain/Pain Ratio | -0.18 | 0.36 |
| Gain/Pain (1M) | -0.6 | 4.5 |
| Payoff Ratio | 0.7 | 1.72 |
| Profit Factor | 0.82 | 1.36 |
| Common Sense Ratio | 0.71 | 2.23 |
| CPC Index | 0.27 | 1.07 |
| Tail Ratio | 0.87 | 1.63 |
| Outlier Win Ratio | 2.7 | 4.82 |
| Outlier Loss Ratio | 1.91 | 6.09 |
| MTD | 3.28% | 7.35% |
| 3M | -25.4% | 10.68% |
| 6M | -21.73% | 13.47% |
| YTD | -16.95% | 11.14% |
| 1Y | -21.73% | 13.47% |
| 3Y (ann.) | -40.91% | 31.17% |
| 5Y (ann.) | -40.91% | 31.17% |
| 10Y (ann.) | -40.91% | 31.17% |
| All-time (ann.) | -40.91% | 31.17% |
| Best Day | 8.92% | 8.19% |
| Worst Day | -7.4% | -2.64% |
| Best Month | 5.93% | 7.35% |
| Worst Month | -19.59% | -2.45% |
| Best Year | -5.76% | 11.14% |
| Worst Year | -16.95% | 2.1% |
| Avg. Drawdown | -10.67% | -2.08% |
| Avg. Drawdown Days | 31 | 12 |
| Recovery Factor | -0.57 | 2.29 |
| Ulcer Index | 0.19 | 0.03 |
| Serenity Index | -0.08 | 1.39 |
| Avg. Up Month | 3.63% | 5.87% |
| Avg. Down Month | -4.58% | -0.56% |
| Win Days | 46.55% | 45.76% |
| Win Month | 50.0% | 66.67% |
| Win Quarter | 0.0% | 66.67% |
| Win Year | 0.0% | 100.0% |
| Beta | 0.07 | - |
| Alpha | -0.47 | - |
| Correlation | 3.62% | - |
| Treynor Ratio | -295.77% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.10 | -5.76 | -2.75 | - |
| 2022 | 11.14 | -16.95 | -1.52 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-17 | 2022-02-25 | -37.93 | 100 |
| 2021-09-24 | 2021-11-03 | -10.89 | 40 |
| 2021-09-13 | 2021-09-22 | -3.03 | 9 |
| 2021-11-09 | 2021-11-12 | -0.95 | 3 |
| 2021-11-05 | 2021-11-08 | -0.57 | 3 |