| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | -11.13% | 6.0% |
| CAGR﹪ | -8.74% | 4.62% |
| Sharpe | -0.09 | 11.74 |
| Prob. Sharpe Ratio | 46.23% | 100.0% |
| Smart Sharpe | -0.09 | 11.51 |
| Sortino | -0.12 | 35.9 |
| Smart Sortino | -0.11 | 35.2 |
| Sortino/√2 | -0.08 | 25.38 |
| Smart Sortino/√2 | -0.08 | 24.89 |
| Omega | 0.98 | 0.98 |
| Max Drawdown | -40.89% | -1.25% |
| Longest DD Days | 300 | 202 |
| Volatility (ann.) | 37.91% | 0.47% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.21 | 3.68 |
| Skew | -3.81 | -0.12 |
| Kurtosis | 48.83 | -1.04 |
| Expected Daily | -0.04% | 0.02% |
| Expected Monthly | -0.84% | 0.42% |
| Expected Yearly | -5.73% | 2.95% |
| Kelly Criterion | -9.2% | 61.85% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.94% | -0.03% |
| Expected Shortfall (cVaR) | -3.94% | -0.03% |
| Max Consecutive Wins | 7 | 120 |
| Max Consecutive Losses | 6 | 65 |
| Gain/Pain Ratio | -0.02 | 4.61 |
| Gain/Pain (1M) | -0.07 | 4.61 |
| Payoff Ratio | 0.92 | 1.8 |
| Profit Factor | 0.98 | 5.61 |
| Common Sense Ratio | 1.18 | 16.01 |
| CPC Index | 0.43 | 7.63 |
| Tail Ratio | 1.21 | 2.85 |
| Outlier Win Ratio | 2.12 | 78.79 |
| Outlier Loss Ratio | 1.72 | 114.69 |
| MTD | 9.77% | 0.78% |
| 3M | 10.91% | 1.35% |
| 6M | 23.7% | 0.35% |
| YTD | -11.44% | 2.41% |
| 1Y | -11.17% | 2.68% |
| 3Y (ann.) | -8.74% | 4.62% |
| 5Y (ann.) | -8.74% | 4.62% |
| 10Y (ann.) | -8.74% | 4.62% |
| All-time (ann.) | -8.74% | 4.62% |
| Best Day | 10.54% | 0.12% |
| Worst Day | -25.28% | -0.02% |
| Best Month | 21.25% | 1.17% |
| Worst Month | -25.28% | -0.52% |
| Best Year | 0.35% | 3.5% |
| Worst Year | -11.44% | 2.41% |
| Avg. Drawdown | -9.09% | -1.25% |
| Avg. Drawdown Days | 66 | 202 |
| Recovery Factor | -0.27 | 4.78 |
| Ulcer Index | 0.23 | 0.01 |
| Serenity Index | -0.03 | 0.23 |
| Avg. Up Month | 5.67% | 0.82% |
| Avg. Down Month | -9.97% | -0.44% |
| Win Days | 47.67% | 75.47% |
| Win Month | 46.15% | 78.57% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 50.0% | 100.0% |
| Beta | -7.84 | - |
| Alpha | 0.4 | - |
| Correlation | -9.72% | - |
| Treynor Ratio | 1.42% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.50 | 0.35 | 0.10 | - |
| 2022 | 2.41 | -11.44 | -4.75 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-25 | 2022-12-22 | -40.89 | 300 |
| 2021-09-09 | 2021-11-22 | -6.72 | 74 |
| 2022-01-27 | 2022-02-21 | -6.35 | 25 |
| 2021-11-23 | 2022-01-05 | -4.70 | 43 |
| 2022-01-06 | 2022-01-24 | -2.96 | 18 |
| 2022-02-22 | 2022-02-24 | -1.92 | 2 |
| 2022-01-25 | 2022-01-26 | -0.06 | 1 |