| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 98.0% | 99.0% |
| Cumulative Return | -35.22% | -36.77% |
| CAGR﹪ | -26.85% | -28.11% |
| Sharpe | -7.44 | -7.68 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -7.11 | -7.34 |
| Sortino | -7.36 | -7.48 |
| Smart Sortino | -7.04 | -7.14 |
| Sortino/√2 | -5.21 | -5.29 |
| Smart Sortino/√2 | -4.97 | -5.05 |
| Omega | 0.19 | 0.19 |
| Max Drawdown | -50.68% | -52.16% |
| Longest DD Days | 273 | 273 |
| Volatility (ann.) | 31.8% | 31.09% |
| R^2 | 0.89 | 0.89 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | -0.53 | -0.54 |
| Skew | -1.82 | -1.62 |
| Kurtosis | 18.62 | 13.47 |
| Expected Daily | -0.13% | -0.14% |
| Expected Monthly | -2.52% | -2.66% |
| Expected Yearly | -19.52% | -20.48% |
| Kelly Criterion | -13.93% | -11.71% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.41% | -3.34% |
| Expected Shortfall (cVaR) | -3.41% | -3.34% |
| Max Consecutive Wins | 6 | 9 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | -0.18 | -0.18 |
| Gain/Pain (1M) | -0.5 | -0.53 |
| Payoff Ratio | 0.72 | 0.7 |
| Profit Factor | 0.82 | 0.82 |
| Common Sense Ratio | 0.61 | 0.5 |
| CPC Index | 0.31 | 0.31 |
| Tail Ratio | 0.74 | 0.62 |
| Outlier Win Ratio | 4.8 | 4.75 |
| Outlier Loss Ratio | 4.88 | 4.61 |
| MTD | -8.01% | -6.82% |
| 3M | -10.15% | -11.3% |
| 6M | -39.62% | -41.02% |
| YTD | -44.44% | -46.25% |
| 1Y | -42.83% | -44.29% |
| 3Y (ann.) | -26.85% | -28.11% |
| 5Y (ann.) | -26.85% | -28.11% |
| 10Y (ann.) | -26.85% | -28.11% |
| All-time (ann.) | -26.85% | -28.11% |
| Best Day | 11.37% | 10.2% |
| Worst Day | -14.27% | -13.96% |
| Best Month | 11.37% | 10.2% |
| Worst Month | -31.78% | -32.01% |
| Best Year | 16.6% | 17.63% |
| Worst Year | -44.44% | -46.25% |
| Avg. Drawdown | -3.94% | -3.72% |
| Avg. Drawdown Days | 23 | 21 |
| Recovery Factor | -0.7 | -0.7 |
| Ulcer Index | 0.23 | 0.23 |
| Serenity Index | -1.5 | -1.4 |
| Avg. Up Month | 4.01% | 3.96% |
| Avg. Down Month | -8.81% | -9.04% |
| Win Days | 52.48% | 53.85% |
| Win Month | 52.94% | 52.94% |
| Win Quarter | 42.86% | 42.86% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.97 | - |
| Alpha | 0.01 | - |
| Correlation | 94.45% | - |
| Treynor Ratio | -760.97% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 17.63 | 16.60 | 0.94 | - |
| 2022 | -46.25 | -44.44 | 0.96 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2022-07-21 | -50.68 | 273 |
| 2021-07-08 | 2021-08-10 | -4.35 | 33 |
| 2021-03-16 | 2021-04-22 | -4.01 | 37 |
| 2021-09-16 | 2021-09-27 | -2.59 | 11 |
| 2021-08-18 | 2021-09-01 | -2.39 | 14 |
| 2021-06-15 | 2021-07-01 | -1.97 | 16 |
| 2021-04-28 | 2021-05-05 | -1.62 | 7 |
| 2021-05-19 | 2021-05-26 | -1.46 | 7 |
| 2021-10-12 | 2021-10-20 | -0.96 | 8 |
| 2021-09-07 | 2021-09-13 | -0.88 | 6 |